Andrew Y. Chen

Board of Governors of the Federal Reserve System

Sr. Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

http://sites.google.com/site/chenandrewy/

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 9,591

in Total Papers Downloads

5,412

SSRN CITATIONS
Rank 16,068

SSRN RANKINGS

Top 16,068

in Total Papers Citations

40

CROSSREF CITATIONS

24

Scholarly Papers (16)

1.

Open Source Cross-Sectional Asset Pricing

Number of pages: 45 Posted: 12 Jun 2020
Andrew Y. Chen and Tom Zimmermann
Board of Governors of the Federal Reserve System and University of Cologne
Downloads 1,127 (20,683)
Citation 2

Abstract:

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stock market anomalies, replication, asset pricing

2.
Downloads 815 ( 32,985)
Citation 10

Zeroing in on the Expected Returns of Anomalies

Finance Down Under, 2019, Building on the Best from the Cellars of Finance
Number of pages: 59 Posted: 21 Nov 2017 Last Revised: 18 Mar 2020
Andrew Y. Chen and Mihail Velikov
Board of Governors of the Federal Reserve System and Pennsylvania State University
Downloads 724 (38,130)
Citation 14

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Stock Return Anomalies, Mispricing, Trading Costs

Zeroing in on the Expected Returns of Anomalies

FEDS Working Paper No. 2020-039
Number of pages: 72 Posted: 12 Jun 2020
Andrew Y. Chen and Mihail Velikov
Board of Governors of the Federal Reserve System and Pennsylvania State University
Downloads 91 (315,713)

Abstract:

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3.

Financing Concerns in April 2020 Appear Worse Than in 2008 Based on Earnings Calls

Number of pages: 5 Posted: 05 May 2020
Andrew Y. Chen and Jie Yang
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 745 (37,257)

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Publication Bias and the Cross-Section of Stock Returns

Number of pages: 68 Posted: 30 Jun 2016 Last Revised: 14 Oct 2019
Andrew Y. Chen and Tom Zimmermann
Board of Governors of the Federal Reserve System and QuantCo, Inc.
Downloads 629 (46,146)
Citation 4

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Stock return anomalies, publication bias, data mining, mispricing, replication, p-hacking

Publication Bias and the Cross-Section of Stock Returns

FEDS Working Paper No. 2018-033
Number of pages: 73 Posted: 06 Jun 2018 Last Revised: 29 Apr 2020
Andrew Y. Chen and Tom Zimmermann
Board of Governors of the Federal Reserve System and University of Cologne
Downloads 82 (337,069)
Citation 1

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Data mining, Mispricing, Publication bias, Stock return anomalies

5.

The Limits of p-Hacking: Some Thought Experiments

Number of pages: 43 Posted: 16 Nov 2018 Last Revised: 18 Sep 2020
Andrew Y. Chen
Board of Governors of the Federal Reserve System
Downloads 628 (46,985)

Abstract:

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Stock return anomalies, publication bias, data mining, multiple testing, p-hacking

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

Number of pages: 67 Posted: 13 Aug 2014 Last Revised: 03 Feb 2017
Andrew Y. Chen
Board of Governors of the Federal Reserve System
Downloads 295 (114,806)
Citation 8

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time-varying risk premia, the equity premium puzzle, time-varying consumption volatility, habit, precautionary saving

Precautionary Volatility and Asset Prices

FEDS Working Paper No. 2014-59
Number of pages: 63 Posted: 30 Aug 2014
Andrew Y. Chen
Board of Governors of the Federal Reserve System
Downloads 47 (449,870)
Citation 1

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Time-varying risk premia, the equity premium puzzle, time-varying volatility, habit, precautionary savings

In Full-Information Estimates, Long-Run Risks Explain at Most a Quarter of P/D Variance, and Habit Explains even Less

Number of pages: 64 Posted: 01 Feb 2016 Last Revised: 15 Nov 2019
Andrew Y. Chen, Fabian Winkler and Rebecca Wasyk
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 207 (163,962)

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Long run risks, Rare Disasters, Habit, Bayesian Estimation, Particle Filter, Time-Varying Beliefs, Time-Varying Preferences, Excess Volatility

A Likelihood-Based Comparison of Macro Asset Pricing Models

FEDS Working Paper No. 2017-024
Number of pages: 48 Posted: 24 Mar 2017
Andrew Y. Chen, Rebecca Wasyk and Fabian Winkler
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 58 (408,175)

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Bayesian Estimation, Equity Premium Puzzle, Excess Volatility, Habit, Long run risks, Particle Filter, Rare Disasters

8.

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

Number of pages: 57 Posted: 13 Apr 2016 Last Revised: 06 Oct 2017
Andrew Y. Chen
Board of Governors of the Federal Reserve System
Downloads 198 (171,321)
Citation 5

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Equity Premium Puzzle, Value Premium, Production, Time-varying Consumption Volatility

9.

Do T-Stat Hurdles Need to Be Raised?

Number of pages: 44 Posted: 16 Oct 2018 Last Revised: 17 Mar 2020
Andrew Y. Chen
Board of Governors of the Federal Reserve System
Downloads 153 (214,479)
Citation 4

Abstract:

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Stock Return Anomalies, Publication Bias, Data Mining, Multiple Testing, P-Hacking

10.

The Limits of P-Hacking: A Thought Experiment

FEDS Working Paper No. 2019-016
Number of pages: 16 Posted: 26 Mar 2019
Andrew Y. Chen
Board of Governors of the Federal Reserve System
Downloads 122 (256,362)

Abstract:

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Stock return anomalies, Multiple testing, p-hacking, Publication bias

11.

External Habit in a Production Economy

Fisher College of Business Working Paper No. 2013-03-16, Charles A. Dice Center Working Paper No. 2013-16
Number of pages: 62 Posted: 06 Oct 2013
Andrew Y. Chen
Board of Governors of the Federal Reserve System
Downloads 79 (341,428)
Citation 2

Abstract:

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time-varying risk premiums, the equity premium puzzle, time-varying consumption volatility, habit

12.

Semi-Parametric Restrictions on Production-Based Asset Pricing Models

Number of pages: 60 Posted: 07 Mar 2016 Last Revised: 21 Apr 2016
Andrew Y. Chen
Board of Governors of the Federal Reserve System
Downloads 74 (354,529)
Citation 2

Abstract:

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Equity Premium Puzzle, Production Economy, Semi-Parametric Restrictions

13.

An Irrelevance Theorem for Risk Aversion and Time-Varying Risk

Number of pages: 47 Posted: 24 Mar 2018 Last Revised: 19 Aug 2019
Andrew Y. Chen and Francisco Palomino
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 72 (359,974)
Citation 2

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Equity Premium Puzzle, Time-Varying Risk Premiums, Risk Aversion, Irrelevance, Volatility Puzzle, Business Cycles

14.

Prudential Uncertainty Causes Time-Varying Risk Premiums

Number of pages: 59 Posted: 17 Nov 2012
Andrew Y. Chen
Board of Governors of the Federal Reserve System
Downloads 41 (466,186)
Citation 1

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Time-varying risk premiums, the equity premium, consumption volatility, general equilibrium

15.

Habit, Production, and the Cross-Section of Stock Returns

FEDS Working Paper No. 2014-103
Number of pages: 44 Posted: 10 Dec 2014
Andrew Y. Chen
Board of Governors of the Federal Reserve System
Downloads 40 (470,569)

Abstract:

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Equity premium puzzle, value premium, production, time-varying consumption volatility

16.

The Stock Market–Real Economy "Disconnect": A Closer Look

FEDS Notes No. 2020-10-14-2 https://doi.org/10.17016/2380-7172.2800
Posted: 21 Oct 2020
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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