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 16,002

SSRN RANKINGS

Top 16,002

in Total Papers Downloads

3,158

SSRN CITATIONS
Rank 19,589

SSRN RANKINGS

Top 19,589

in Total Papers Citations

18

CROSSREF CITATIONS

25

Scholarly Papers (13)

1.

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
Federal Reserve Board and Pennsylvania State University
Downloads 639 (42,688)
Citation 13

Abstract:

Loading...

Stock Return Anomalies, Mispricing, Trading Costs

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
Federal Reserve Board and QuantCo, Inc.
Downloads 564 (49,557)
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. 2018-033
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 75 (335,277)
Citation 3

Abstract:

Loading...

Data mining, Mispricing, Publication bias, Stock return anomalies

3.

The Limits of p-Hacking: A Thought Experiment

Number of pages: 16 Posted: 16 Nov 2018 Last Revised: 21 Jul 2019
Andrew Y. Chen
Federal Reserve Board
Downloads 582 (48,272)

Abstract:

Loading...

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
Federal Reserve Board
Downloads 277 (114,909)
Citation 2

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
Federal Reserve Board
Downloads 46 (428,735)
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: 15 Nov 2019
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 198 (160,706)
Citation 1

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. 2017-024
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 53 (402,498)

Abstract:

Loading...

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 187 (169,470)
Citation 3

Abstract:

Loading...

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

7.

Do T-Stat Hurdles Need to Be Raised?

Number of pages: 44 Posted: 16 Oct 2018 Last Revised: 17 Mar 2020
Andrew Y. Chen
Federal Reserve Board
Downloads 128 (232,758)
Citation 4

Abstract:

Loading...

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

8.

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 115 (252,024)

Abstract:

Loading...

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

9.

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 78 (324,239)
Citation 2

Abstract:

Loading...

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

10.

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 73 (336,850)
Citation 2

Abstract:

Loading...

Equity Premium Puzzle, Production Economy, Semi-Parametric Restrictions

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
Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 63 (364,494)
Citation 2

Abstract:

Loading...

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 41 (440,156)
Citation 1

Abstract:

Loading...

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 39 (448,539)

Abstract:

Loading...

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