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 7,116

SSRN RANKINGS

Top 7,116

in Total Papers Downloads

7,931

SSRN CITATIONS
Rank 11,037

SSRN RANKINGS

Top 11,037

in Total Papers Citations

77

CROSSREF CITATIONS

36

Scholarly Papers (18)

1.
Downloads 2,927 ( 5,250)
Citation 11

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 2,921 (5,164)
Citation 11

Abstract:

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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 6 (774,151)

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2.
Downloads 952 ( 30,189)
Citation 12

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 836 (35,666)
Citation 18

Abstract:

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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 116 (296,352)

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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 852 (35,263)
Citation 1

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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 and Tom Zimmermann
Board of Governors of the Federal Reserve System and QuantCo, Inc.
Downloads 721 (43,646)
Citation 5

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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. 2018-33
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 104 (320,216)
Citation 8

Abstract:

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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 779 (39,873)

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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 313 (120,657)
Citation 12

Abstract:

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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 48 (492,039)
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: 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 228 (166,900)

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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. 2017-24
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 63 (432,721)

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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 210 (180,873)
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 190 (198,184)
Citation 3

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. 2019-16
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 146 (247,916)

Abstract:

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11.

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 91 (346,711)
Citation 2

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

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 82 (369,502)
Citation 2

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Equity Premium Puzzle, Production Economy, Semi-Parametric Restrictions

13.

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 82 (369,502)
Citation 2

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

14.

Most claimed statistical findings in cross-sectional return predictability are likely true

Number of pages: 38 Posted: 31 Aug 2021
Andrew Y. Chen
Board of Governors of the Federal Reserve System
Downloads 57 (448,398)

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

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 45 (496,407)
Citation 1

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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 41 (514,548)

Abstract:

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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, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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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

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