Yichun He
I am a doctoral student in Finance at the UCI Paul Merage School of Business. My research interests include empirical asset pricing, investments, financial intermediaries, FinTech.
Education
MS in Finance, University of Rochester
BA in Finance, Renmin University of China
Email
yichunh2 [at] uci.edu
Work in Progress
Investor Attention to Mutual Fund Disclosure and Information Efficiency, with Jinfei Sheng and Qiguang WangÂ
Conference: China International Conference in Finance (2024, scheduled), Hawaii Accounting Research Conference (2024), UCI Brownbag (2023)
Abstract: Mutual fund disclosures contain substantial value-related information for the stock market. Both institutional and retail investors have strong incentives to acquire information from these disclosures. This paper studies how attention to mutual funds disclosure affects information efficiency in the stock market, using EDGAR server log data that tracks downloads of mutual fund filings. We find attention to fund disclosures improves information efficiency. The sensitivity of immediate return response to earnings surprise is stronger for stocks that are included in the portfolios of mutual funds with heightened investor attention. The subsequent post-earnings announcement drift (PEAD) is attenuated. The effect is significant in both institutional attention and retail attention. The effect can be explained by the increased attention to stocks and information transmission from funds to investors. Overall, these findings suggest that attention towards fund disclosure matters for market efficiency.