Alex Chinco

University of Illinois at Urbana-Champaign - College of Business

Champaign, IL 61820

United States

http://www.alexchinco.com

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 23,943

in Total Papers Downloads

2,051

SSRN CITATIONS
Rank 10,792

SSRN RANKINGS

Top 10,792

in Total Papers Citations

29

CROSSREF CITATIONS

63

Scholarly Papers (10)

1.
Downloads 710 ( 36,529)
Citation 13

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 680 (38,158)
Citation 2

Abstract:

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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 30 (497,803)
Citation 6

Abstract:

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2.
Downloads 327 ( 95,391)
Citation 11

The Sound of Many Funds Rebalancing

Number of pages: 36 Posted: 16 Apr 2016 Last Revised: 11 Nov 2017
Alex Chinco and Vyacheslav Fos
University of Illinois at Urbana-Champaign - College of Business and Boston College - Department of Finance
Downloads 327 (94,780)
Citation 11

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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
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 229 (138,282)
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 77 (326,962)

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Investment Horizon, Trading Volume, Wavelet Variance

4.
Downloads 258 (123,135)
Citation 3

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
University of Illinois at Urbana-Champaign - College of Business, University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 211 (149,734)
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, University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 41 (445,250)

Abstract:

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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, University of Notre Dame - Department of Finance and University of Chicago - Finance
Downloads 6 (659,229)
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5.

Risk-Factor Irrelevance

Number of pages: 47 Posted: 13 Dec 2019
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 226 (141,115)
Citation 3

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Risk Factors, Expected Returns, Correlation Neglect, Asset Pricing

6.

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 82 (311,970)

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Market Scale, Cognitive Control, Behavioral Finance, Coincidences

7.

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 81 (314,262)
Citation 5

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

8.

The Madness Of Crowds And The Likelihood Of Bubbles

Number of pages: 54 Posted: 05 Feb 2020
Alex Chinco
University of Illinois at Urbana-Champaign - College of Business
Downloads 42 (436,161)

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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 12 (591,535)
Citation 6

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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 7 (624,688)
Citation 1

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