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

18

DOWNLOADS
Rank 5,407

SSRN RANKINGS

Top 5,407

in Total Papers Downloads

11,614

SSRN CITATIONS
Rank 10,655

SSRN RANKINGS

Top 10,655

in Total Papers Citations

76

CROSSREF CITATIONS

39

Scholarly Papers (18)

1.
Downloads 5,576 ( 2,122)
Citation 12

Open Source Cross-Sectional Asset Pricing

Critical Finance Review, Forthcoming
Number of pages: 69 Posted: 12 Jun 2020 Last Revised: 17 Jun 2021
Andrew Y. Chen and Tom Zimmermann
Board of Governors of the Federal Reserve System and University of Cologne
Downloads 5,471 (2,159)
Citation 11

Abstract:

Loading...

stock market anomalies, replication, asset pricing

Open Source Cross-Sectional Asset Pricing

FEDS Working Paper No. 2021-37
Number of pages: 66 Posted: 30 Jun 2021 Last Revised: 07 Sep 2021
Andrew Y. Chen and Tom Zimmermann
Board of Governors of the Federal Reserve System and University of Cologne
Downloads 105 (369,233)
Citation 1

Abstract:

Loading...

replications, Stock market anomalies

2.
Downloads 1,400 ( 20,646)
Citation 12

Zeroing in on the Expected Returns of Anomalies

Number of pages: 72 Posted: 21 Nov 2017 Last Revised: 28 Sep 2021
Andrew Y. Chen and Mihail Velikov
Board of Governors of the Federal Reserve System and Pennsylvania State University
Downloads 1,227 (24,669)
Citation 18

Abstract:

Loading...

Stock Return Anomalies, Mispricing, Trading Costs

Zeroing in on the Expected Returns of Anomalies

FEDS Working Paper No. 2020-39
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 173 (250,846)

Abstract:

Loading...

trading costs, Mispricing, Stock return anomalies, Anomaly zoo

3.

The Limits of p-Hacking: Some Thought Experiments

Journal of Finance, Forthcoming
Number of pages: 46 Posted: 16 Nov 2018 Last Revised: 08 Jun 2021
Andrew Y. Chen
Board of Governors of the Federal Reserve System
Downloads 1,003 (33,544)
Citation 1

Abstract:

Loading...

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

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, Tom Zimmermann and Tom Zimmermann
Board of Governors of the Federal Reserve System and University of CologneQuantCo, Inc.
Downloads 784 (46,407)
Citation 5

Abstract:

Loading...

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

Publication Bias and the Cross-Section of Stock Returns

FEDS Working Paper No. 2018-33
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 128 (320,265)
Citation 8

Abstract:

Loading...

5.

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 815 (44,700)

Abstract:

Loading...

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 356 (123,319)
Citation 12

Abstract:

Loading...

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 50 (558,974)
Citation 1

Abstract:

Loading...

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: 23 Jun 2021
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 246 (181,322)

Abstract:

Loading...

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. 2017-24
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 70 (473,550)

Abstract:

Loading...

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 242 (184,874)
Citation 5

Abstract:

Loading...

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

9.

Do T-Stat Hurdles Need to Be Raised?

Number of pages: 37 Posted: 16 Oct 2018 Last Revised: 19 Jan 2022
Andrew Y. Chen
Board of Governors of the Federal Reserve System
Downloads 232 (192,529)
Citation 3

Abstract:

Loading...

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

10.

The Limits of P-Hacking: A Thought Experiment

FEDS Working Paper No. 2019-16
Number of pages: 16 Posted: 26 Mar 2019 Last Revised: 30 Mar 2019
Andrew Y. Chen
Board of Governors of the Federal Reserve System
Downloads 166 (259,620)

Abstract:

Loading...

11.

Most Claimed Statistical Findings in Cross-Sectional Return Predictability Are Likely True

Number of pages: 40 Posted: 31 Aug 2021 Last Revised: 08 Oct 2021
Andrew Y. Chen
Board of Governors of the Federal Reserve System
Downloads 151 (280,611)

Abstract:

Loading...

stock market predictability, stock market anomalies, p-hacking, multiple testing

12.

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 109 (357,616)
Citation 2

Abstract:

Loading...

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

13.

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 98 (383,777)
Citation 2

Abstract:

Loading...

Equity Premium Puzzle, Production Economy, Semi-Parametric Restrictions

14.

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 93 (396,738)
Citation 2

Abstract:

Loading...

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

15.

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 48 (558,362)
Citation 1

Abstract:

Loading...

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

16.

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 47 (563,119)

Abstract:

Loading...

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

17.

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

FEDS Notes No. 2020-10-14-2
Posted: 21 Oct 2020
Board of Governors of the Federal Reserve System, Copenhagen Business School - Department of Finance and Board of Governors of the Federal Reserve System

Abstract:

Loading...

18.

Has the Inflation Risk Premium Fallen? Is it Now Negative?

FEDS Notes No. 2016-04-04
Posted: 17 Mar 2016
Andrew Y. Chen, Eric Engstrom and Olesya V. Grishchenko
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

Abstract:

Loading...