Chen Xue

University of Cincinnati

Associate Professor of Finance

College of Business Administration

Cincinnati, OH 45221

United States

  • University of Cincinnati

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    • Tel: (513) 556-7078
SCHOLARLY PAPERS

19

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635

Scholarly Papers (19)

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1.

Replicating Anomalies

Downloads 13,179 ( 601)
Citation 221

Replicating Anomalies

Fisher College of Business Working Paper No. 2017-03-010, 28th Annual Conference on Financial Economics and Accounting, Charles A. Dice Center Working Paper No. 2017-10
Number of pages: 146 Posted: 03 May 2017 Last Revised: 27 Jul 2017
Kewei Hou, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 11,157 (789)
Citation 33

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Replication, P-Hacking, Anomalies, The q-Factor Model, Efficient Markets

Replicating Anomalies

Review of Financial Studies, forthcoming, Fisher College of Business Working Paper No. 2017-03-010, Charles A. Dice Center Working Paper No. 2017-10
Number of pages: 134 Posted: 31 Oct 2018
Kewei Hou, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 1,696 (17,930)
Citation 76

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Replication, factor investing, anomalies, microcaps, multiple testing

Replicating Anomalies

NBER Working Paper No. w23394
Number of pages: 130 Posted: 08 May 2017 Last Revised: 04 Jun 2023
Kewei Hou, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 326 (158,895)

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2.

Digesting Anomalies: An Investment Approach

Downloads 4,664 ( 3,576)
Citation 672

Digesting Anomalies: An Investment Approach

Review of Financial Studies, Forthcoming, Fisher College of Business Working Paper No. WP 2012-03-021, Dice Center Working Paper No. 2012-21
Number of pages: 182 Posted: 12 Oct 2014
Kewei Hou, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 2,917 (7,626)
Citation 93

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The q-factor model, anomalies, factor regressions

Digesting Anomalies: An Investment Approach

Fisher College of Business Working Paper No. 2012-03-021, Charles A. Dice Center Working Paper No. 2012-021
Number of pages: 95 Posted: 26 Sep 2012 Last Revised: 05 Dec 2012
Kewei Hou, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 1,682 (18,135)
Citation 22

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Asset pricing anomalies, investment, ROE, factor models, investment-based asset pricing

Digesting Anomalies: An Investment Approach

NBER Working Paper No. w18435
Number of pages: 85 Posted: 06 Oct 2012 Last Revised: 17 May 2023
Kewei Hou, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 65 (589,224)
Citation 422

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3.

A Comparison of New Factor Models

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Citation 56

A Comparison of New Factor Models

Fisher College of Business Working Paper No. 2015-03-05, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, Charles A. Dice Center Working Paper No. 2015-05
Number of pages: 67 Posted: 11 Nov 2014 Last Revised: 19 Apr 2017
Kewei Hou, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 4,366 (3,913)
Citation 63

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Q-factor model, investment-based asset pricing, capital markets anomalies, factor regressions

Which Factors?

NBER Working Paper No. w20682
Number of pages: 52 Posted: 17 Nov 2014 Last Revised: 07 Jul 2023
Kewei Hou, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 112 (417,326)
Citation 12

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4.

q5

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Citation 2

q5

Charles A. Dice Center Working Paper No. 2018-10, Fisher College of Business Working Paper No. 2018-03-010
Number of pages: 99 Posted: 05 Jun 2018 Last Revised: 31 Oct 2018
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 1,265 (27,883)
Citation 1

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The q5-Model, The q-Factor Model, The Expected Growth, The Investment CAPM, Factor Regressions, Anomalies

Q5

NBER Working Paper No. w24709
Number of pages: 61 Posted: 18 Jun 2018 Last Revised: 08 Jul 2023
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 114 (411,865)

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5.

The Economics of Value Investing

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The Economics of Value Investing

Charles A. Dice Center Working Paper No. 2017-16, Fisher College of Business Working Paper No. 2017-03-016
Number of pages: 69 Posted: 05 Jul 2017 Last Revised: 04 Dec 2017
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 926 (43,546)

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Value Investing, Security Analysis, The Investment CAPM, Efficient Markets

The Economics of Value Investing

NBER Working Paper No. w23563
Number of pages: 66 Posted: 10 Jul 2017 Last Revised: 21 May 2023
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 90 (485,852)

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6.

Which Factors

Fisher College of Business Working Paper No. 2018-03-003, Charles A. Dice Center Working Paper No. 2018-03-03
Number of pages: 52 Posted: 06 Mar 2018 Last Revised: 12 Jul 2018
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 957 (42,224)
Citation 4

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The q-factor model, the Q5 model, factor spanning tests, the investment CAPM, factor investing

7.

Intangible Assets and Cross-Sectional Stock Returns: Evidence from Structural Estimation

Number of pages: 37 Posted: 28 Feb 2010 Last Revised: 02 Jan 2015
Erica X. N. Li, Laura Xiaolei Liu and Chen Xue
Cheung Kong Graduate School of Business, Guanghua School of Management, Peking University and University of Cincinnati
Downloads 792 (54,735)
Citation 11

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investment-based asset pricing, intangible assets, structural estimation, R&D, investment specific technological change, adjustment costs, structural estimation, GMM

8.

An Augmented q-Factor Model with Expected Growth

Review of Finance, Forthcoming
Number of pages: 54 Posted: 19 Mar 2020
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 774 (56,618)
Citation 153

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The expected growth factor, factor models, the q5 model, the investment theory

9.

Security Analysis: An Investment Perspective

Downloads 616 (75,797)

Security Analysis: An Investment Perspective

Fisher College of Business Working Paper No. 2019-03-016, Charles A. Dice Center Working Paper No. 2019-16
Number of pages: 71 Posted: 08 Jul 2019
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 547 (86,870)

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Security analysis, q^5, the investment theory, quality minus junk, fundamental score, “magic formula,” agnostic fundamental analysis

Security Analysis: An Investment Perspective

NBER Working Paper No. w26060
Number of pages: 71 Posted: 14 Sep 2020 Last Revised: 17 Mar 2023
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 69 (570,169)

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10.

Aggregation, Capital Heterogeneity, and the Investment CAPM

Downloads 602 (77,989)
Citation 15

Aggregation, Capital Heterogeneity, and the Investment CAPM

Charles A Dice Center Working Paper No. 2017-19, Fisher College of Business Working Paper No. 2017-03-19
Number of pages: 98 Posted: 03 Oct 2017 Last Revised: 12 Jun 2019
Andrei S. Gonçalves, Chen Xue and Lu Zhang
Ohio State University (OSU) - Fisher College of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 435 (114,677)
Citation 13

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The Investment Model of Asset Pricing, GMM, Structural Estimation, Anomalies, Joint Estimation

Aggregation, Capital Heterogeneity, and the Investment CAPM

Review of Financial Studies, Forthcoming
Number of pages: 97 Posted: 20 Jun 2019
Andrei S. Gonçalves, Chen Xue and Lu Zhang
Ohio State University (OSU) - Fisher College of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 125 (384,449)
Citation 1

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The Investment CAPM, GMM, Aggregation, Working Capital, Value, Momentum, Investment, Profitability, Joint Estimation

Does the Investment Model Explain Value and Momentum Simultaneously?

NBER Working Paper No. w23910
Number of pages: 62 Posted: 09 Oct 2017 Last Revised: 01 May 2023
Andrei S. Gonçalves, Chen Xue and Lu Zhang
Ohio State University (OSU) - Fisher College of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 42 (723,296)

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11.

Which Factors?

Review of Finance, Forthcoming, Fisher College of Business Working Paper No. 2018-03-003, Charles A. Dice Center Working Paper No. 2018-03-03
Number of pages: 38 Posted: 22 Oct 2018
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 434 (116,186)
Citation 7

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The q-factor model, the q^5 model, spanning regressions, the investment CAPM

12.

Cross-Sectional Tobin's Q

Downloads 424 (119,418)
Citation 1

Cross-Sectional Tobin's Q

AFA 2013 San Diego Meetings Paper
Number of pages: 43 Posted: 26 Feb 2012 Last Revised: 27 Feb 2012
Frederico Belo, Chen Xue and Lu Zhang
INSEAD, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 197 (262,351)
Citation 1

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Tobin's Q, investment, valuation, structural estimation

Cross-Sectional Tobin's Q

Number of pages: 43 Posted: 16 Mar 2010 Last Revised: 27 Feb 2012
Frederico Belo, Chen Xue and Lu Zhang
INSEAD, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 172 (296,223)

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Tobin's Q, the value spread, investment, valuation, structural estimation

Cross-Sectional Tobin's Q

NBER Working Paper No. w16336
Number of pages: 44 Posted: 07 Sep 2010 Last Revised: 20 Feb 2022
Frederico Belo, Chen Xue and Lu Zhang
INSEAD, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 55 (641,566)

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13.

The Economics of Security Analysis

Management Science, Forthcoming
Number of pages: 77 Posted: 08 Jun 2022
Kewei Hou, Haitao Mo, Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance, University of Kansas, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 385 (133,472)
Citation 1

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The investment CAPM, cross-sectionally varying expected returns, Graham and Dodd (1934), security analysis, active equity funds, the q5 model, Buffett’s alpha

14.

A Supply Approach to Valuation

Review of Financial Studies, Forthcoming
Number of pages: 69 Posted: 08 Sep 2013
Frederico Belo, Chen Xue and Lu Zhang
INSEAD, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 272 (193,116)
Citation 4

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Valuation, Tobin's q, investment, structural estimation

15.

Does Costly Reversibility Matter for U.S. Public Firms?

Fisher College of Business Working Paper No. 2019-03-025, Charles A. Dice Working Paper No. 2019-25
Number of pages: 50 Posted: 09 Oct 2019
Hang Bai, Erica X. N. Li, Chen Xue and Lu Zhang
University of Connecticut - Department of Finance, Cheung Kong Graduate School of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 226 (231,494)

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costly reversibility, the value premium, the standard investment model, simulated method of moments, operating leverage

16.

Asymmetric Investment Rates

Downloads 175 (291,790)

Asymmetric Investment Rates

Fisher College of Business Working Paper No. 2022-03-003, Charles A. Dice Working Paper No. 2022-03
Number of pages: 129 Posted: 13 Apr 2022
Hang Bai, Erica X. N. Li, Chen Xue and Lu Zhang
University of Connecticut - Department of Finance, Cheung Kong Graduate School of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 157 (320,301)

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Asymmetry, lumpy investment, national accounting, financial accounting, economic depreciation, current-cost capital, the investment rate

Asymmetric Investment Rates

NBER Working Paper No. w29957
Number of pages: 80 Posted: 18 Apr 2022 Last Revised: 10 May 2023
Hang Bai, Erica X. N. Li, Chen Xue and Lu Zhang
University of Connecticut - Department of Finance, Cheung Kong Graduate School of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 18 (929,938)

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17.

An Investment-Based Investigation of Mutual Fund Performance

Number of pages: 51 Posted: 04 Oct 2012 Last Revised: 18 Mar 2013
Chen Xue
University of Cincinnati
Downloads 165 (306,858)
Citation 2

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Mutual fund performance, Investment-based asset pricing

18.

Does Costly Reversibility Matter for U.S. Public Firms?

NBER Working Paper No. w26372
Number of pages: 50 Posted: 14 Oct 2019 Last Revised: 22 Jan 2023
Hang Bai, Erica X. N. Li, Chen Xue and Lu Zhang
University of Connecticut - Department of Finance, Cheung Kong Graduate School of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 140 (351,261)
Citation 1

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19.

The Cross Section of Expected Real Estate Returns: Insights from Investment-Based Asset Pricing

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The Cross Section of Expected Real Estate Returns: Insights from Investment-Based Asset Pricing

Journal of Real Estate Finance and Economics, Vol. 54, No. 3, 2017
Posted: 18 Mar 2017
Shaun A. Bond and Chen Xue
UQ Business School and University of Cincinnati

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REITs; Asset Pricing

The Cross Section of Expected Real Estate Returns: Insights from Investment-Based Asset Pricing

Journal of Real Estate Finance and Economics, Vol. 54, No. 3, 2017, University of Cincinnati Lindner College of Business Research Paper
Posted: 03 Nov 2017
Shaun A. Bond and Chen Xue
UQ Business School and University of Cincinnati

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REITs, Asset pricing