20 citations · 24 across the 5 of their papers we have counts for
5 papers
What Useful Alphas?
Andrew Y. Chen, Ivo Welch
This paper examines about 200 published long-short anomaly equity portfolios (Chen and Zimmermann, 2022). Over the period through 2005 (December 2005 and earlier) and across all st…
Does Peer-Reviewed Research Help Predict Stock Returns?
Andrew Y. Chen, Alejandro Lopez-Lira, Tom Zimmermann
Mining 29,000 accounting ratios for t-statistics leads to cross-sectional return predictability similar to the peer review process. For both, of predictabilit…
Publication Bias in Asset Pricing Research
Andrew Y. Chen, Tom Zimmermann
Researchers are more likely to share notable findings. As a result, published findings tend to overstate the magnitude of real-world phenomena. This bias is a natural concern for a…
Missing Values Handling for Machine Learning Portfolios
Andrew Y. Chen, Jack McCoy
We characterize the structure and origins of missingness for 159 cross-sectional return predictors and study missing value handling for portfolios constructed using machine learnin…
Do t-Statistic Hurdles Need to be Raised?
Andrew Y. Chen
Many scholars have called for raising statistical hurdles to guard against false discoveries in academic publications. I show these calls may be difficult to justify empirically. P…