Alex Chinco

City University of NY, Baruch College, Zicklin School of Business

One Bernard Baruch Way

New York , NY 10010

United States

http://www.alexchinco.com

SCHOLARLY PAPERS

15

DOWNLOADS

5,921

SSRN CITATIONS

111

CROSSREF CITATIONS

80

Scholarly Papers (15)

1.

A New Test Of Risk Factor Relevance

Journal of Finance, Forthcoming
Number of pages: 58 Posted: 13 Dec 2019 Last Revised: 11 Apr 2022
City University of NY, Baruch College, Zicklin School of Business, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 1,299 (23,141)
Citation 4

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Risk Factors, Expected Returns, Asset Pricing

2.

Survey Curious? Start-Up Guide and Best Practices For Running Surveys and Experiments Online

Number of pages: 35 Posted: 24 Nov 2020
University of Chicago - Booth School of Business, City University of NY, Baruch College, Zicklin School of Business, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 1,222 (25,388)
Citation 3

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Online, Surveys, Experiments, Finance, Economics, Research Methods

3.
Downloads 917 ( 38,258)
Citation 32

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
City University of NY, Baruch College, Zicklin School of Business, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 813 (44,442)
Citation 2

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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 Last Revised: 29 Nov 2022
Alex Chinco, Adam D. Clark-Joseph and Mao Ye
City University of NY, Baruch College, Zicklin School of Business, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 104 (373,518)
Citation 22

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4.
Downloads 525 ( 79,211)
Citation 17

The Sound of Many Funds Rebalancing

Number of pages: 59 Posted: 16 Apr 2016 Last Revised: 12 May 2020
Alex Chinco and Vyacheslav Fos
City University of NY, Baruch College, Zicklin School of Business and Boston College - Department of Finance
Downloads 524 (78,559)
Citation 16

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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
City University of NY, Baruch College, Zicklin School of Business and Boston College - Department of Finance
Downloads 1 (983,230)
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Complexity, Indexing, noise, thresholds

5.

The Passive-Ownership Share Is Double What You Think It Is

Number of pages: 48 Posted: 10 Sep 2022 Last Revised: 21 Nov 2022
Alex Chinco and Marco Sammon
City University of NY, Baruch College, Zicklin School of Business and Harvard Business School
Downloads 488 (86,654)

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Passive ownership, Index funds, Reconstitution day, Pre-positioned trades, Information-based asset-pricing models

6.
Downloads 388 (113,250)
Citation 11

Estimating the Anomaly Base Rate

Chicago Booth Research Paper No. 19-10, Fama-Miller Working Paper
Number of pages: 62 Posted: 01 Mar 2019 Last Revised: 20 Nov 2019
Alex Chinco, Andreas Neuhierl and Michael Weber
City University of NY, Baruch College, Zicklin School of Business, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 308 (144,734)
Citation 4

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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
City University of NY, Baruch College, Zicklin School of Business, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 61 (511,912)

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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 Last Revised: 21 Nov 2022
Alex Chinco, Andreas Neuhierl and Michael Weber
City University of NY, Baruch College, Zicklin School of Business, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
Downloads 19 (773,971)
Citation 4

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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
City University of NY, Baruch College, Zicklin School of Business and University of Illinois at Urbana-Champaign
Downloads 241 (185,883)
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
City University of NY, Baruch College, Zicklin School of Business and University of Illinois at Urbana-Champaign
Downloads 99 (388,752)

Abstract:

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Investment Horizon, Trading Volume, Wavelet Variance

8.

Model Identification vs. Market Efficiency

Number of pages: 35 Posted: 12 Feb 2021 Last Revised: 08 Nov 2022
Alex Chinco
City University of NY, Baruch College, Zicklin School of Business
Downloads 241 (186,463)

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Model Identification, Market Efficiency, Random Anchoring Errors

9.

The Ex Ante Likelihood Of Bubbles

Number of pages: 46 Posted: 05 Feb 2020 Last Revised: 04 Oct 2021
Alex Chinco
City University of NY, Baruch College, Zicklin School of Business
Downloads 195 (227,023)
Citation 7

Abstract:

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Limits To Arbitrage, Speculative Bubbles, Social Interactions

10.

Trading on Coincidences

Number of pages: 33 Posted: 12 Nov 2014 Last Revised: 14 Mar 2015
Alex Chinco
City University of NY, Baruch College, Zicklin School of Business
Downloads 107 (366,326)

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Market Scale, Cognitive Control, Behavioral Finance, Coincidences

11.

Feature-Selection Risk

Number of pages: 42 Posted: 17 Oct 2014 Last Revised: 03 Jul 2015
Alex Chinco
City University of NY, Baruch College, Zicklin School of Business
Downloads 104 (370,977)
Citation 4

Abstract:

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

12.

Necessary Evidence for a Risk Factor's Relevance

NBER Working Paper No. w27227
Number of pages: 49 Posted: 26 May 2020 Last Revised: 29 Nov 2022
City University of NY, Baruch College, Zicklin School of Business, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 38 (614,184)
Citation 2

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13.

Misinformed Speculators and Mispricing in the Housing Market

NBER Working Paper No. w19817
Number of pages: 42 Posted: 17 Jan 2014 Last Revised: 26 Aug 2022
Alex Chinco and Christopher J. Mayer
City University of NY, Baruch College, Zicklin School of Business and Columbia University - Columbia Business School, Finance
Downloads 25 (700,142)
Citation 24

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14.

Investment-Horizon Spillovers

NBER Working Paper No. w23650
Number of pages: 37 Posted: 11 Aug 2017 Last Revised: 15 Aug 2022
Alex Chinco and Mao Ye
City University of NY, Baruch College, Zicklin School of Business and University of Illinois at Urbana-Champaign
Downloads 23 (715,760)

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15.

Proving You Can Pick Stocks Without Revealing How

Number of pages: 37 Posted: 08 Dec 2022
Alex Chinco
City University of NY, Baruch College, Zicklin School of Business
Downloads 9 (844,759)

Abstract:

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Zero-Knowledge Proofs, Homomorphic Encryption, Active Management, Cross-sectional Predictability