Publications

Do t-stat Hurdles Need to be Raised? 

• Forthcoming, Management Science 

• No, not really, because (1) t-hurdles are not identified due to publication bias and (2) strongly identified statistics make asset pricing look pretty good.

• Paper (April 2024), Code

  • The Sep 2023 draft addresses issues in this referee report.  The previous draft (Apr 2022) addresses this referee report. 

• Old Draft (February 2020), Old Code

  • This old draft modeled standard errors, which could in principle help with identification (Andrews and Kasy 2019).  But because there are so few observations of insignificant t-stats it doesn't change the main results.

Missing Values Handling for Machine Learning Portfolios (with Jack McCoy) 

• • Forthcoming, Journal of Financial Economics

  • Imputing with cross-sectional means is fine because the observed data provide little information about the missing data.

  • Published Version,  Working Paper (January 2024), Code, Internet Appendix

  • Data for 159 cross-sectional predictors imputed using various methods (Gdrive Folder) 

Publication Bias in Asset Pricing Research (with Tom Zimmermann) 

• • Oxford Research Encyclopedia of Economics and Finance, 2023

  • (Lightly-Refereed)

  • Working Paper (September 2023),  Published Version,  Code

  • We review the evidence on publication bias in anomalies and clarify common misinterpretations ("insignificant findings" are not "false findings").

Open Source Cross-Sectional Asset Pricing (with Tom Zimmermann)

• • Critical Finance Review 2022, Lead Article

  • We provide data and code for about 200 cross-sectional predictors that reproduces statistical significance nearly 100% of the time.

  • Published Version, Working Paper (pdf), Slides, Online Appendix

  • For code and data, please see the dedicated page: www.openassetpricing.com.  Last release: August 2023 (with data through 2022) 

  • Media Coverage: alpha architect, The Scientific Investor, Institutional Money (German)

Zeroing in on the Expected Returns of Anomalies (with Mihail Velikov)

• • Journal of Financial and Quantitative Analysis, 2023

    • 2023 William F. Sharpe Award for Scholarship in Financial Research

    • Eastern Finance Association 2019 Outstanding Paper in Investments (Trading Strategies) 

  • After adjusting for trading costs, stale data, and data-mining, anomalies' expected returns are close to zero.

  • Published Version (Open Access)

  • Code (main results), Code (easy high-frequency spreads), Data for low-frequency effective spreads, Data for long-short returns, Jacobs-Levy Presentation (YouTube) 

  • Media Coverage: Wharton's Behind the Markets Podcast (at the Jacobs-Levy 2019 Conference)

The Limits of P-Hacking: Some Thought Experiments

• • Journal of Finance 2021

  • If you think about it carefully, p-hacking is not a plausible explanation for roughly 100 stock market "factors."

  • Published Version, Working Paper (pdf), Code (Matlab), Slides 

  • Media Coverage: Marginal Revolution

Publication Bias and the Cross-Section of Stock Returns (with Tom Zimmermann)

• • Review of Asset Pricing Studies 2020, RAPS Rising Scholar Award 2021 

  • For the typical anomaly, publication bias accounts for only 12% of the in-sample return.   

  • Published Version, Working Paper (pdf),  2017 Version (had  empirical Bayes FDR estimates)

  • Slides, Code (Matlab + Fortran) 

  • JF rejection letters, our appeal, and the appeal's rejection (thought people might find the process interesting)

  • Data 

    • Caution: the monthly returns data from this paper lists the next month's return, not the (standard) current month's return.   Thank you Chris Jeong Yoo (USC Econ) for pointing this out.  We chose not update this data to have the more standard timing to keep things simple. 

    • Please use our newer open source data which we are still maintaining.

    • Summary Stats for each Predictor's Long-Short Portfolio (xlsx), Monthly Long-Short Returns for each Predictor (csv), Monthly Returns for each Portfolio for each Predictor (Zipped csvs), Hand-collected summary stats for 77 long-short portfolios (xlsx)

  • Media coverage: Bloomberg

In Full-Information Estimates, Long-Run Risks Explain at Most a Quarter of P/D Variance, and Habit Explains Even Less  (with Fabian Winkler and Rebecca Wasyk)

• • Critical Finance Review 2021, Lead Article 

  • If you push macro finance models beyond moment matching, it's not pretty.  Also, long-run risks is a misnomer.

  • Published Version, SSRN Version, Code (Matlab + Fortran)

A General Equilibrium Model of the Value Premium with Time-Varying Risk Premia

• • Review of Asset Pricing Studies 2018

  • A general equilibrium production model replicates moments of the equity premium and value premium.  

  • Published Version, SSRN Version,  Slides, Code [Fortran + Matlab]

External Habit in a Production Economy: a Model of Asset Prices and Consumption Volatility Risk

• • Review of Financial Studies 2017

  • The textbook RBC model with external habit and adjustment costs matches all the asset prices facts in Campbell and Cochrane (1999), the consumption volatility facts in Bansal-Kiku-Yaron (2012), as well as basic business cycle moments.  

  • Published Version , Working Paper (SSRN)  Online Appendix  Slides

  • Code (most not used in published version, but they all work pretty well)

Old Biology Publications

• Chen, A., Leikina, E., Melikov, K., Podbilewicz, B., Kozlov, M.M., and Chernomordik, L.V. Fusion-pore expansion during syncytium formation is restricted by an actin network. Journal of Cell Science. 121, 3619-3628 (2008).

• Leikina, E., Delanoe-Ayari, H., Melikov, K., Cho, M., Chen, A., Waring, A.J., Wang, W., Xie, Y., Loo, J.A., Lehrer, R.I., and Chernomordik, L.V. Carbohydrate-binding molecules inhibit viral fusion andentry by crosslinking membrane glycoproteins. Nature Immunology. 6, 995-1001(2005).