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

13

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Top 16,274

in Total Papers Downloads

3,845

SSRN CITATIONS
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SSRN RANKINGS

Top 7,024

in Total Papers Citations

111

CROSSREF CITATIONS

79

Scholarly Papers (13)

1.

A New Test Of Risk Factor Relevance

Journal of Finance, Forthcoming
Number of pages: 55 Posted: 13 Dec 2019 Last Revised: 23 Jul 2021
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 869 (34,250)
Citation 3

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Risk Factors, Expected Returns, Asset Pricing

2.
Downloads 793 ( 38,871)
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 743 (41,857)
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: 24 May 2021
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 50 (483,025)
Citation 22

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3.

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 658 (49,922)
Citation 2

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

4.
Downloads 453 ( 79,714)
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 452 (79,168)
Citation 16

Abstract:

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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 (823,662)
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Complexity, Indexing, noise, thresholds

5.
Downloads 340 (110,849)
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 280 (135,700)
Citation 4

Abstract:

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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 52 (474,541)

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 Last Revised: 23 May 2021
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 8 (756,483)
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 235 (161,939)
Citation 2

Abstract:

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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 90 (351,725)

Abstract:

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Investment Horizon, Trading Volume, Wavelet Variance

7.

The Ex Ante Likelihood Of Bubbles

Number of pages: 46 Posted: 05 Feb 2020 Last Revised: 10 Aug 2021
Alex Chinco
City University of NY, Baruch College, Zicklin School of Business
Downloads 129 (272,678)
Citation 7

Abstract:

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Limits To Arbitrage, Speculative Bubbles, Social Interactions

8.

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 92 (343,996)
Citation 4

Abstract:

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

9.

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 91 (346,400)

Abstract:

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Market Scale, Cognitive Control, Behavioral Finance, Coincidences

10.

Cognitive Errors As Canary Traps

Number of pages: 40 Posted: 12 Feb 2021 Last Revised: 14 Sep 2021
Alex Chinco
City University of NY, Baruch College, Zicklin School of Business
Downloads 50 (474,777)

Abstract:

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Model Identification, Cognitive Errors, Market Efficiency

11.

Investment-Horizon Spillovers

NBER Working Paper No. w23650
Number of pages: 37 Posted: 11 Aug 2017 Last Revised: 14 Feb 2021
Alex Chinco and Mao Ye
City University of NY, Baruch College, Zicklin School of Business and University of Illinois at Urbana-Champaign
Downloads 17 (657,953)

Abstract:

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12.

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 2021
Alex Chinco and Christopher J. Mayer
City University of NY, Baruch College, Zicklin School of Business and Columbia Business School - Finance and Economics
Downloads 17 (657,953)
Citation 24

Abstract:

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13.

Necessary Evidence for a Risk Factor's Relevance

NBER Working Paper No. w27227
Number of pages: 49 Posted: 26 May 2020 Last Revised: 24 May 2021
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 11 (703,563)
Citation 1
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