Alexander Chinco

University of Illinois at Urbana-Champaign - College of Business

Champaign, IL 61820

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 28,705

SSRN RANKINGS

Top 28,705

in Total Papers Downloads

1,561

CITATIONS

1

Scholarly Papers (8)

Sparse Signals in the Cross-Section of Returns

Number of pages: 50 Posted: 16 May 2015 Last Revised: 17 Feb 2017
Alexander Chinco, Adam D. Clark-Joseph and Mao Ye
University of Illinois at Urbana-Champaign - College of Business, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 647 (38,228)

Abstract:

Loading...

Return Predictability, Out-of-Sample Fit, Sparsity, The LASSO

Sparse Signals in the Cross-Section of Returns

NBER Working Paper No. w23933
Number of pages: 55 Posted: 16 Oct 2017
Alexander Chinco, Adam D. Clark-Joseph and Mao Ye
University of Illinois at Urbana-Champaign - College of Business, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 17 (548,149)

Abstract:

Loading...

Investment-Horizon Spillovers: Evidence From Decomposing Trading-Volume Variance

Number of pages: 49 Posted: 04 Jan 2015 Last Revised: 02 Jun 2016
Alexander Chinco and Mao Ye
University of Illinois at Urbana-Champaign - College of Business and University of Illinois at Urbana-Champaign
Downloads 223 (133,986)

Abstract:

Loading...

Investment Horizon, Trading Volume, Wavelet Variance

Investment-Horizon Spillovers

Number of pages: 36 Posted: 05 Jun 2016 Last Revised: 25 Jul 2017
Alexander Chinco and Mao Ye
University of Illinois at Urbana-Champaign - College of Business and University of Illinois at Urbana-Champaign
Downloads 76 (311,785)

Abstract:

Loading...

Investment Horizon, Trading Volume, Wavelet Variance

3.
Downloads 298 ( 99,563)

The Sound of Many Funds Rebalancing

Number of pages: 36 Posted: 16 Apr 2016 Last Revised: 11 Nov 2017
Alexander Chinco and Vyacheslav Fos
University of Illinois at Urbana-Champaign - College of Business and Boston College - Department of Finance
Downloads 298 (99,073)

Abstract:

Loading...

Noise, Exchange-Traded Funds, Index-Linked Investing, Trading Volume

The Sound of Many Funds Rebalancing

CEPR Discussion Paper No. DP13561
Number of pages: 57 Posted: 07 Mar 2019 Last Revised: 11 Mar 2019
Alexander Chinco and Vyacheslav Fos
University of Illinois at Urbana-Champaign - College of Business and Boston College - Department of Finance
Downloads 0
  • Add to Cart

Abstract:

Loading...

Complexity, Indexing, noise, thresholds

4.

Estimating the Anomaly Baserate

Chicago Booth Research Paper No. 19-10, Fama-Miller Working Paper
Number of pages: 46 Posted: 01 Mar 2019
Alexander Chinco, Andreas Neuhierl and Michael Weber
University of Illinois at Urbana-Champaign - College of Business, University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 129 (217,934)

Abstract:

Loading...

Return Predictability, Data Mining, Penalized Regression

5.

Trading on Coincidences

Number of pages: 33 Posted: 12 Nov 2014 Last Revised: 14 Mar 2015
Alexander Chinco
University of Illinois at Urbana-Champaign - College of Business
Downloads 80 (299,427)

Abstract:

Loading...

Market Scale, Cognitive Control, Behavioral Finance, Coincidences

6.

Feature-Selection Risk

Number of pages: 42 Posted: 17 Oct 2014 Last Revised: 03 Jul 2015
Alexander Chinco
University of Illinois at Urbana-Champaign - College of Business
Downloads 75 (310,976)

Abstract:

Loading...

Feature-Selection Risk, Sparsity, Market Dimensions, Behavioral Finance

7.

Misinformed Speculators and Mispricing in the Housing Market

NBER Working Paper No. w19817
Number of pages: 42 Posted: 17 Jan 2014
Alexander Chinco and Christopher J. Mayer
University of Illinois at Urbana-Champaign - College of Business and Columbia Business School - Finance and Economics
Downloads 10 (570,012)
Citation 1

Abstract:

Loading...

8.

Investment-Horizon Spillovers

NBER Working Paper No. w23650
Number of pages: 37 Posted: 11 Aug 2017
Alexander Chinco and Mao Ye
University of Illinois at Urbana-Champaign - College of Business and University of Illinois at Urbana-Champaign
Downloads 6 (594,446)

Abstract:

Loading...