20 citations · 22 across the 3 of their papers we have counts for
3 papers
q-fin.GN2022★ 2 cited
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…
stat.ME2022★ 20 cited
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…
q-fin.GN2022
Most claimed statistical findings in cross-sectional return predictability are likely true
Andrew Y. Chen
The false discovery rate (FDR) measures the share of false positives in a set of statistical tests. I develop simple and intuitive bounds on the FDR in cross-sectional predictabili…