Alex Chinco

University of Illinois at Urbana-Champaign - College of Business

Champaign, IL 61820

United States

http://www.alexchinco.com

SCHOLARLY PAPERS

11

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2,315

SSRN CITATIONS
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SSRN RANKINGS

Top 8,633

in Total Papers Citations

65

CROSSREF CITATIONS

67

Scholarly Papers (11)

1.
Downloads 737 ( 36,587)
Citation 19

Sparse Signals in the Cross-Section of Returns

Number of pages: 50 Posted: 16 May 2015 Last Revised: 17 Feb 2017
Alex 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 702 (38,496)
Citation 3

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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
Alex 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 35 (491,322)
Citation 10

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2.

Necessary Evidence For A Risk Factor’s Relevance

Number of pages: 48 Posted: 13 Dec 2019 Last Revised: 30 Apr 2020
University of Illinois at Urbana-Champaign - College of Business, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 359 (90,086)
Citation 4

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Risk Factors, Expected Returns, Correlation Neglect, Asset Pricing

3.
Downloads 344 ( 94,573)
Citation 15

The Sound of Many Funds Rebalancing

Number of pages: 59 Posted: 16 Apr 2016 Last Revised: 12 May 2020
Alex Chinco and Vyacheslav Fos
University of Illinois at Urbana-Champaign - College of Business and Boston College - Department of Finance
Downloads 344 (93,915)
Citation 13

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Noise, Thresholds, Complexity, Indexing

The Sound of Many Funds Rebalancing

CEPR Discussion Paper No. DP13561
Number of pages: 57 Posted: 07 Mar 2019 Last Revised: 11 Mar 2019
Alex Chinco and Vyacheslav Fos
University of Illinois at Urbana-Champaign - College of Business and Boston College - Department of Finance
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Complexity, Indexing, noise, thresholds

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

Number of pages: 49 Posted: 04 Jan 2015 Last Revised: 02 Jun 2016
Alex Chinco and Mao Ye
University of Illinois at Urbana-Champaign - College of Business and University of Illinois at Urbana-Champaign
Downloads 232 (142,850)
Citation 2

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Investment Horizon, Trading Volume, Wavelet Variance

Investment-Horizon Spillovers

Number of pages: 36 Posted: 05 Jun 2016 Last Revised: 25 Jul 2017
Alex Chinco and Mao Ye
University of Illinois at Urbana-Champaign - College of Business and University of Illinois at Urbana-Champaign
Downloads 85 (320,837)

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Investment Horizon, Trading Volume, Wavelet Variance

5.
Downloads 282 (117,481)
Citation 6

Estimating the Anomaly Base Rate

Chicago Booth Research Paper No. 19-10
Number of pages: 62 Posted: 01 Mar 2019 Last Revised: 20 Nov 2019
Alex Chinco, Andreas Neuhierl and Michael Weber
University of Illinois at Urbana-Champaign - College of Business, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 233 (142,205)
Citation 3

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Return Predictability, Data Mining, Empirical Bayes, Penalized Regressions

Estimating the Anomaly Base Rate

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-135
Number of pages: 62 Posted: 21 Nov 2019
Alex Chinco, Andreas Neuhierl and Michael Weber
University of Illinois at Urbana-Champaign - College of Business, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 43 (454,642)

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Return Predictability, Data Mining, Empirical Bayes, Penalized Regressions

Estimating the Anomaly Base Rate

NBER Working Paper No. w26493
Number of pages: 62 Posted: 27 Nov 2019
Alex Chinco, Andreas Neuhierl and Michael Weber
University of Illinois at Urbana-Champaign - College of Business, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 6 (685,675)
Citation 3
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6.

Feature-Selection Risk

Number of pages: 42 Posted: 17 Oct 2014 Last Revised: 03 Jul 2015
Alex Chinco
University of Illinois at Urbana-Champaign - College of Business
Downloads 86 (315,747)
Citation 5

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

7.

Trading on Coincidences

Number of pages: 33 Posted: 12 Nov 2014 Last Revised: 14 Mar 2015
Alex Chinco
University of Illinois at Urbana-Champaign - College of Business
Downloads 85 (318,059)

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Market Scale, Cognitive Control, Behavioral Finance, Coincidences

8.

The Madness Of Crowds And The Likelihood Of Bubbles

Number of pages: 55 Posted: 05 Feb 2020 Last Revised: 09 Jul 2020
Alex Chinco
University of Illinois at Urbana-Champaign - College of Business
Downloads 76 (339,847)
Citation 3

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Limits To Arbitrage, Speculative Bubbles, Social Interactions

9.

Misinformed Speculators and Mispricing in the Housing Market

NBER Working Paper No. w19817
Number of pages: 42 Posted: 17 Jan 2014
Alex Chinco and Christopher J. Mayer
University of Illinois at Urbana-Champaign - College of Business and Columbia Business School - Finance and Economics
Downloads 13 (608,527)
Citation 15

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10.

Investment-Horizon Spillovers

NBER Working Paper No. w23650
Number of pages: 37 Posted: 11 Aug 2017
Alex Chinco and Mao Ye
University of Illinois at Urbana-Champaign - College of Business and University of Illinois at Urbana-Champaign
Downloads 11 (622,341)

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11.

Necessary Evidence for a Risk Factor's Relevance

NBER Working Paper No. w27227
Number of pages: 49 Posted: 26 May 2020
University of Illinois at Urbana-Champaign - College of Business, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 5 (664,423)
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