Andrew Y. Chen

Federal Reserve Board

Sr. Economist

20th and C Streets, NW

Washington, DC 20551

United States

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

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 17,941

SSRN RANKINGS

Top 17,941

in Total Papers Downloads

2,597

CITATIONS

0

Scholarly Papers (13)

1.

The Limits of Data Mining: A Thought Experiment

Number of pages: 14 Posted: 16 Nov 2018
Andrew Y. Chen
Federal Reserve Board
Downloads 530 (50,162)

Abstract:

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

2.

Accounting for the Anomaly Zoo: A Trading Cost Perspective

Finance Down Under 2019 Building on the Best from the Cellars of Finance
Number of pages: 53 Posted: 21 Nov 2017 Last Revised: 14 Jan 2019
Andrew Y. Chen and Mihail Velikov
Federal Reserve Board and Federal Reserve Bank of Richmond
Downloads 485 (56,122)

Abstract:

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Stock Return Anomalies, Mispricing, Trading Costs

Publication Bias and the Cross-Section of Stock Returns

Number of pages: 65 Posted: 30 Jun 2016 Last Revised: 28 Feb 2019
Andrew Y. Chen and Tom Zimmermann
Federal Reserve Board and QuantCo, Inc.
Downloads 422 (65,937)

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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: 21 Feb 2019
Andrew Y. Chen and Tom Zimmermann
Federal Reserve Board and University of Cologne
Downloads 48 (392,968)

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Data mining, Mispricing, Publication bias, Stock return anomalies

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
Federal Reserve Board
Downloads 253 (117,422)

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
Federal Reserve Board
Downloads 41 (419,382)

Abstract:

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

Full-Information Examinations of Long-Run Risks and Habit

Number of pages: 60 Posted: 01 Feb 2016 Last Revised: 18 Oct 2018
Andrew Y. Chen, Fabian Winkler and Rebecca Wasyk
Federal Reserve Board, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 180 (163,367)

Abstract:

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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
Federal Reserve Board, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 45 (403,901)

Abstract:

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

6.

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
Federal Reserve Board
Downloads 177 (165,756)

Abstract:

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

7.

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
Federal Reserve Board
Downloads 83 (291,847)

Abstract:

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

8.

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
Federal Reserve Board
Downloads 77 (305,131)

Abstract:

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

9.

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
Federal Reserve Board
Downloads 68 (327,071)

Abstract:

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Equity Premium Puzzle, Production Economy, Semi-Parametric Restrictions

10.

Do T-Stat Hurdles Need to Be Raised? Identification of Publication Bias in the Cross-Section of Stock Returns

Number of pages: 62 Posted: 16 Oct 2018 Last Revised: 19 May 2019
Andrew Y. Chen
Federal Reserve Board
Downloads 65 (334,895)

Abstract:

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

11.

An Irrelevance Theorem for Risk Aversion and Time-Varying Risk

Number of pages: 33 Posted: 24 Mar 2018 Last Revised: 28 Nov 2018
Andrew Y. Chen and Francisco Palomino
Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 50 (379,537)

Abstract:

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

12.

Prudential Uncertainty Causes Time-Varying Risk Premiums

Number of pages: 59 Posted: 17 Nov 2012
Andrew Y. Chen
Federal Reserve Board
Downloads 39 (418,630)

Abstract:

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

13.

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
Federal Reserve Board
Downloads 34 (438,893)

Abstract:

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