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Andrew Y. Chen

Federal Reserve (from arXiv:2311.10685, 2023) · ORCID · OpenAlex

16 papers in scope · 15 published · 2 on the econ.EM arXiv · 385 citations · h-index 6 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Campbell R. Harvey
  2. Chukwuma Dim
  3. Andrew Chen
  4. Yan Liu
  5. Maximilian Kasy
  6. Linda Schilling
  7. Andreas Neuhierl
  8. Xinjie Ma
  9. Isaiah Andrews
  10. Ron Smith
  11. Frank Schorfheide
  12. Yuan Liao
  13. M. Hashem Pesaran
  14. Laura Liu
  15. Hyungsik Roger Moon
  16. Kunpeng Li
  17. Jann Spiess
  18. Jianqing Fan
  19. S.K. Lee
  20. Sjur Westgaard

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(2 of 16)

Do t -Statistic Hurdles Need to Be Raised?
published2024 · Management Science · 4 citations · first circulated 2022
Paper profile Management Science arXiv:2204.10275
Missing values handling for machine learning portfolios
published2024 · Journal of Financial Economics · 36 citations · first circulated 2022
with Jack McCoy
Journal of Financial Economics
High-Throughput Asset Pricing
working paper2023 · arXiv · 2 citations
with Chukwuma Dim
Paper profile arXiv arXiv:2311.10685
Zeroing In on the Expected Returns of Anomalies
published2022 · Journal of Financial and Quantitative Analysis · 116 citations · first circulated 2020
with Mihail Velikov
Journal of Financial and Quantitative Analysis
The Limits of p ‐Hacking: Some Thought Experiments
published2021 · The Journal of Finance · 56 citations
The Journal of Finance
In Full-Information Estimates, Long-Run Risks Explain at Most a Quarter of P/D Variance, and Habit Explains Even Less
published2021 · Critical Finance Review · 5 citations
with Fabian Winkler, Rebecca Wasyk
Critical Finance Review
The Stock Market–Real Economy "Disconnect": A Closer Look
published2020 · FEDS Notes · 5 citations
with Markus Ibert, Francisco Vazquez-Grande
FEDS Notes
Publication Bias and the Cross-Section of Stock Returns
published2019 · The Review of Asset Pricing Studies · 83 citations · first circulated 2018
with Tom Zimmermann
The Review of Asset Pricing Studies
The Limits of p-Hacking: A Thought Experiment
published2019 · Finance and Economics Discussion Series · 2 citations
Finance and Economics Discussion Series
An Irrelevance Theorem for Risk Aversion and Time-Varying Risk
published2018 · Review of Economic Dynamics · 1 citations
with Francisco Palomino
Review of Economic Dynamics
A General Equilibrium Model of the Value Premium with Time-Varying Risk Premia
published2017 · The Review of Asset Pricing Studies · 6 citations · first circulated 2016
The Review of Asset Pricing Studies
External Habit in a Production Economy: A Model of Asset Prices and Consumption Volatility Risk
published2017 · Review of Financial Studies · 55 citations · first circulated 2013
Review of Financial Studies
A Likelihood-Based Comparison of Macro Asset Pricing Models
published2017 · Finance and Economics Discussion Series · first circulated 2016
with Rebecca Wasyk, Fabian Winkler
Finance and Economics Discussion Series
Has the Inflation Risk Premium Fallen? Is it Now Negative?
published2016 · FEDS Notes · 10 citations
with Eric Engström, Olesya V. Grishchenko
FEDS Notes
Precautionary Volatility and Asset Prices
published2014 · Finance and Economics Discussion Series · 4 citations
Finance and Economics Discussion Series
Habit, Production, and the Cross-Section of Stock Returns
published2014 · Finance and Economics Discussion Series
Finance and Economics Discussion Series

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.