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Andrew Y. Chen

Not to be confused with: Andrew Chen

Personal Details

First Name:Andrew
Middle Name:Y.
Last Name:Chen
Suffix:
RePEc Short-ID:pch1244
[This author has chosen not to make the email address public]
http://andrewychen.com

Affiliation

Fisher College of Business
Ohio State University

Columbus, Ohio (United States)
http://fisher.osu.edu/
RePEc:edi:cbohsus (more details at EDIRC)

Research output

as
Jump to: Working papers

Working papers

  1. Andrew Y. Chen & Tom Zimmermann, 2021. "Open Source Cross-Sectional Asset Pricing," Finance and Economics Discussion Series 2021-037, Board of Governors of the Federal Reserve System (U.S.).
  2. Andrew Y. Chen & Mihail Velikov, 2020. "Zeroing in on the Expected Returns of Anomalies," Finance and Economics Discussion Series 2020-039, Board of Governors of the Federal Reserve System (U.S.).
  3. Andrew Y. Chen & Markus F. Ibert & Francisco Vazquez-Grande, 2020. "The Stock Market–Real Economy "Disconnect": A Closer Look," FEDS Notes 2020-10-14-2, Board of Governors of the Federal Reserve System (U.S.).
  4. Andrew Y. Chen, 2019. "The Limits of p-Hacking : A Thought Experiment," Finance and Economics Discussion Series 2019-016, Board of Governors of the Federal Reserve System (U.S.).
  5. Andrew Y. Chen & Tom Zimmermann, 2018. "Publication Bias and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2018-033, Board of Governors of the Federal Reserve System (U.S.).
  6. Andrew Y. Chen & Rebecca Wasyk & Fabian Winkler, 2017. "A Likelihood-Based Comparison of Macro Asset Pricing Models," Finance and Economics Discussion Series 2017-024, Board of Governors of the Federal Reserve System (U.S.).
  7. Andrew Y. Chen & Eric Engstrom & Olesya V. Grishchenko, 2016. "Has the Inflation Risk Premium Fallen? Is it Now Negative?," FEDS Notes 2016-04-04, Board of Governors of the Federal Reserve System (U.S.).
  8. Andrew Y. Chen, 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
  9. Andrew Y. Chen, 2014. "Habit, Production, and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2014-103, Board of Governors of the Federal Reserve System (U.S.).
  10. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Andrew Y. Chen & Tom Zimmermann, 2021. "Open Source Cross-Sectional Asset Pricing," Finance and Economics Discussion Series 2021-037, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Antoine Falck & Adam Rej & David Thesmar, 2021. "Why and how systematic strategies decay," Papers 2105.01380, arXiv.org.
    2. Liu, Yangyi & Luo, Ronghua & Zhao, Senyang, 2023. "Improving factor momentum: Statistical significance matters," Economics Letters, Elsevier, vol. 233(C).
    3. Zoran Stoiljkovic, 2023. "Applying Reinforcement Learning to Option Pricing and Hedging," Papers 2310.04336, arXiv.org.
    4. Vidal-Llana, Xenxo & Guillén, Montserrat, 2022. "Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    5. Andrew Y. Chen, 2022. "Most claimed statistical findings in cross-sectional return predictability are likely true," Papers 2206.15365, arXiv.org, revised Jan 2025.
    6. Andrew Y. Chen & Jack McCoy, 2022. "Missing Values Handling for Machine Learning Portfolios," Papers 2207.13071, arXiv.org, revised Jan 2024.
    7. Vitor Azevedo & Christopher Hoegner, 2023. "Enhancing stock market anomalies with machine learning," Review of Quantitative Finance and Accounting, Springer, vol. 60(1), pages 195-230, January.
    8. Kim, Junyong, 2024. "Zoom in on momentum," International Review of Financial Analysis, Elsevier, vol. 94(C).
    9. M. Hashem Pesaran & Ron P. Smith, 2023. "The Role of Pricing Errors in Linear Asset Pricing Models with Strong, Semi-Strong, and Latent Factors," CESifo Working Paper Series 10282, CESifo.
    10. Andrew Y. Chen & Tom Zimmermann, 2022. "Publication Bias in Asset Pricing Research," Papers 2209.13623, arXiv.org, revised Sep 2023.
    11. Qiao, Fang, 2024. "Do analysts disseminate anomaly information in China?," Journal of Banking & Finance, Elsevier, vol. 165(C).
    12. Shi, Huai-Long & Chen, Huayi, 2023. "Revisiting asset co-movement: Does network topology really matter?," Research in International Business and Finance, Elsevier, vol. 66(C).
    13. Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Working Papers 202111, Geary Institute, University College Dublin.
    14. Penaranda, Francisco & Sentana, Enrique, 2024. "Portfolio management with big data," CEPR Discussion Papers 19314, C.E.P.R. Discussion Papers.
    15. Harvey, Campbell R. & Liu, Yan, 2021. "Lucky factors," Journal of Financial Economics, Elsevier, vol. 141(2), pages 413-435.
    16. Andrew Y. Chen, 2022. "Do t-Statistic Hurdles Need to be Raised?," Papers 2204.10275, arXiv.org, revised Apr 2024.
    17. Azevedo, Vitor, 2023. "Analysts’ underreaction and momentum strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    18. Nusret Cakici & Christian Fieberg & Daniel Metko & Adam Zaremba, 2024. "Do Anomalies Really Predict Market Returns? New Data and New Evidence," Review of Finance, European Finance Association, vol. 28(1), pages 1-44.
    19. Božović, Miloš, 2024. "VIX-managed portfolios," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    20. Yin Chen & Roni Israelov, 2024. "Income illusions: challenging the high yield stock narrative," Journal of Asset Management, Palgrave Macmillan, vol. 25(2), pages 190-202, March.
    21. Evaluator 1, 2024. "Evaluation 1 of "Biodiversity Risk"," The Unjournal Evaluations 2024-151, The Unjournal.
    22. Vitor Azevedo & Georg Sebastian Kaiser & Sebastian Mueller, 2023. "Stock market anomalies and machine learning across the globe," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 419-441, September.
    23. Simon, Frederik & Weibels, Sebastian & Zimmermann, Tom, 2023. "Deep parametric portfolio policies," CFR Working Papers 23-01, University of Cologne, Centre for Financial Research (CFR).
    24. Pallavi Basu & Luella Fu & Alessio Saretto & Wenguang Sun, 2021. "Empirical Bayes Control of the False Discovery Exceedance," Working Papers 2115, Federal Reserve Bank of Dallas.
    25. Bui, Dien Giau & Kong, De-Rong & Lin, Chih-Yung & Lin, Tse-Chun, 2023. "Momentum in machine learning: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    26. Chen, Andrew Y. & McCoy, Jack, 2024. "Missing values handling for machine learning portfolios," Journal of Financial Economics, Elsevier, vol. 155(C).
    27. Hollstein, Fabian & Prokopczuk, Marcel, 2022. "Testing Factor Models in the Cross-Section," Journal of Banking & Finance, Elsevier, vol. 145(C).
    28. Jianqing Fan & Weining Wang & Yue Zhao, 2024. "Conditional nonparametric variable screening by neural factor regression," Papers 2408.10825, arXiv.org.
    29. Beckmeyer, Heiner & Wiedemann, Timo, 2022. "Recovering Missing Firm Characteristics with Attention-Based Machine Learning," VfS Annual Conference 2022 (Basel): Big Data in Economics 264135, Verein für Socialpolitik / German Economic Association.
    30. Andrew Y. Chen, 2021. "The Limits of p‐Hacking: Some Thought Experiments," Journal of Finance, American Finance Association, vol. 76(5), pages 2447-2480, October.
    31. Chen, Zilin & Da, Zhi & Huang, Dashan & Wang, Liyao, 2023. "Presidential economic approval rating and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 147(1), pages 106-131.
    32. Kumar, Rajnish & Lawrence, Edward R. & Prakash, Arun & Rodríguez, Iván M., 2023. "Additions to and deletions from the S&P 500 index: A resolution to the asymmetric price response puzzle," Journal of Banking & Finance, Elsevier, vol. 154(C).

  2. Andrew Y. Chen & Mihail Velikov, 2020. "Zeroing in on the Expected Returns of Anomalies," Finance and Economics Discussion Series 2020-039, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Weimin Liu & Di Luo & Seyoung Park & Huainan Zhao, 2022. "The cross‐sectional return predictability of employment growth: A liquidity risk explanation," The Financial Review, Eastern Finance Association, vol. 57(1), pages 155-178, February.
    2. Chen, Andrew Y. & Zimmermann, Tom, 2020. "Open source cross-sectional asset pricing," CFR Working Papers 20-04, University of Cologne, Centre for Financial Research (CFR).
    3. Banegas, Ayelen & Rosa, Carlo, 2022. "A look under the hood of momentum funds," Economics Letters, Elsevier, vol. 217(C).
    4. Zaremba, Adam & Cakici, Nusret & Bianchi, Robert J. & Long, Huaigang, 2023. "Interest rate changes and the cross-section of global equity returns," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).

  3. Andrew Y. Chen, 2019. "The Limits of p-Hacking : A Thought Experiment," Finance and Economics Discussion Series 2019-016, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Chen, Andrew Y. & Zimmermann, Tom, 2020. "Open source cross-sectional asset pricing," CFR Working Papers 20-04, University of Cologne, Centre for Financial Research (CFR).

  4. Andrew Y. Chen & Tom Zimmermann, 2018. "Publication Bias and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2018-033, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Alexander M. Chinco & Andreas Neuhierl & Michael Weber, 2019. "Estimating The Anomaly Base Rate," NBER Working Papers 26493, National Bureau of Economic Research, Inc.
    2. Yukun Liu & Aleh Tsyvinski, 2018. "Risks and Returns of Cryptocurrency," NBER Working Papers 24877, National Bureau of Economic Research, Inc.
    3. Chen, Hailiang & Hwang, Byoung-Hyoun, 2022. "Listening in on investors’ thoughts and conversations," Journal of Financial Economics, Elsevier, vol. 145(2), pages 426-444.
    4. Xiong, Ruoxuan & Pelger, Markus, 2023. "Large dimensional latent factor modeling with missing observations and applications to causal inference," Journal of Econometrics, Elsevier, vol. 233(1), pages 271-301.
    5. Andrew Y. Chen & Alejandro Lopez-Lira & Tom Zimmermann, 2022. "Does Peer-Reviewed Research Help Predict Stock Returns?," Papers 2212.10317, arXiv.org, revised Jun 2024.
    6. Andrew Y. Chen, 2022. "Most claimed statistical findings in cross-sectional return predictability are likely true," Papers 2206.15365, arXiv.org, revised Jan 2025.
    7. Jacobs, Heiko & Müller, Sebastian, 2020. "Anomalies across the globe: Once public, no longer existent?," Journal of Financial Economics, Elsevier, vol. 135(1), pages 213-230.
    8. Andrew Y. Chen, 2019. "The Limits of p-Hacking : A Thought Experiment," Finance and Economics Discussion Series 2019-016, Board of Governors of the Federal Reserve System (U.S.).
    9. Andrew Y. Chen & Tom Zimmermann, 2022. "Publication Bias in Asset Pricing Research," Papers 2209.13623, arXiv.org, revised Sep 2023.
    10. Alexandre Ripamonti & Raphael Videira & Denis Ichimura, 2020. "Asymmetric information and daily stock prices in Brazil," Estudios Gerenciales, Universidad Icesi, vol. 36(157), pages 465-472, December.
    11. Andrew Y. Chen, 2022. "Do t-Statistic Hurdles Need to be Raised?," Papers 2204.10275, arXiv.org, revised Apr 2024.
    12. Cujean, Julien & Andrei, Daniel & Fournier, Mathieu, 2019. "The Low-Minus-High Portfolio and the Factor Zoo," CEPR Discussion Papers 14153, C.E.P.R. Discussion Papers.
    13. Chen, Andrew Y. & Zimmermann, Tom, 2020. "Open source cross-sectional asset pricing," CFR Working Papers 20-04, University of Cologne, Centre for Financial Research (CFR).
    14. Andrew C. Chang & Trace J. Levinson, 2020. "Raiders of the Lost High-Frequency Forecasts: New Data and Evidence on the Efficiency of the Fed's Forecasting," Finance and Economics Discussion Series 2020-090, Board of Governors of the Federal Reserve System (U.S.).
    15. Andrew Y. Chen & Chukwuma Dim, 2023. "High-Throughput Asset Pricing," Papers 2311.10685, arXiv.org, revised Mar 2024.
    16. Berggrun, Luis & Cardona, Emilio & Lizarzaburu, Edmundo, 2024. "Evaluating asset pricing anomalies: Evidence from Latin America," Research in International Business and Finance, Elsevier, vol. 70(PB).
    17. Yukun Liu & Aleh Tsyvinski & Xi Wu, 2019. "Common Risk Factors in Cryptocurrency," NBER Working Papers 25882, National Bureau of Economic Research, Inc.
    18. Andrew Y. Chen & Mihail Velikov, 2020. "Zeroing in on the Expected Returns of Anomalies," Finance and Economics Discussion Series 2020-039, Board of Governors of the Federal Reserve System (U.S.).
    19. Chen, Andrew Y. & McCoy, Jack, 2024. "Missing values handling for machine learning portfolios," Journal of Financial Economics, Elsevier, vol. 155(C).
    20. Vincent, Kendro & Hsu, Yu-Chin & Lin, Hsiou-Wei, 2021. "Investment styles and the multiple testing of cross-sectional stock return predictability," Journal of Financial Markets, Elsevier, vol. 56(C).
    21. Andrew Y. Chen, 2021. "The Limits of p‐Hacking: Some Thought Experiments," Journal of Finance, American Finance Association, vol. 76(5), pages 2447-2480, October.
    22. Cakici, Nusret & Zaremba, Adam & Bianchi, Robert J. & Pham, Nga, 2021. "False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927–1987)," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    23. Jiří Witzany, 2021. "A Bayesian Approach to Measurement of Backtest Overfitting," Risks, MDPI, vol. 9(1), pages 1-22, January.

  5. Andrew Y. Chen & Eric Engstrom & Olesya V. Grishchenko, 2016. "Has the Inflation Risk Premium Fallen? Is it Now Negative?," FEDS Notes 2016-04-04, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Stefano Neri & Giuseppe Ferrero, 2017. "Monetary policy in a low interest rate environment," Questioni di Economia e Finanza (Occasional Papers) 392, Bank of Italy, Economic Research and International Relations Area.
    2. Olesya Grishchenko & Sarah Mouabbi & Jean‐Paul Renne, 2019. "Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(5), pages 1053-1096, August.
    3. Lael Brainard, 2018. "Sustaining Full Employment and Inflation around Target : a speech at the Forecasters Club of New York, New York, New York, May 31, 2018," Speech 1005, Board of Governors of the Federal Reserve System (U.S.).
    4. Jonathan Goldberg & Elizabeth C. Klee & Edward Simpson Prescott & Paul R. Wood, 2020. "Monetary Policy Strategies and Tools: Financial Stability Considerations," Finance and Economics Discussion Series 2020-074, Board of Governors of the Federal Reserve System (U.S.).
    5. Allayioti, Anastasia & Arioli, Rodolfo & Bates, Colm & Botelho, Vasco & Fagandini, Bruno & Fonseca, Luís & Healy, Peter & Meyler, Aidan & Minasian, Ryan & Zahrt, Octavia, 2024. "A look back at 25 years of the ECB SPF," Occasional Paper Series 364, European Central Bank.
    6. Dongho Song, 2017. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
    7. Marente Vlekke & Martin Mellens & Siem Jan Koopmans, 2020. "An assessment of the Phillips curve over time: evidence for the United States and the euro area," CPB Discussion Paper 416, CPB Netherlands Bureau for Economic Policy Analysis.
    8. Alberto Di Iorio & Marco Fanari, 2020. "Break-even inflation rates: the Italian case," Questioni di Economia e Finanza (Occasional Papers) 578, Bank of Italy, Economic Research and International Relations Area.
    9. Robert Amano & Thomas Carter & Sylvain Leduc, 2019. "Precautionary Pricing: The Disinflationary Effects of ELB Risk," Working Paper Series 2019-26, Federal Reserve Bank of San Francisco.
    10. Lael Brainard, 2018. "What Do We Mean by Neutral and What Role Does It Play in Monetary Policy?: a speech at the Detroit Economic Club, Detroit, Michigan," Speech 1011, Board of Governors of the Federal Reserve System (U.S.).
    11. Jamel Boukhatem & Zied Ftiti & Jean Michel Sahut, 2021. "Bond market and macroeconomic stability in East Asia: a nonlinear causality analysis," Annals of Operations Research, Springer, vol. 297(1), pages 53-76, February.
    12. Leo Krippner & Michael Callaghan, 2016. "Short-term risk premiums and policy rate expectations in the United States," Reserve Bank of New Zealand Analytical Notes series AN2016/07, Reserve Bank of New Zealand.
    13. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur & Yiangou, Jonathan, 2019. "A tale of two decades: the ECB’s monetary policy at 20," Working Paper Series 2346, European Central Bank.
    14. Lael Brainard, 2016. "The Economic Outlook and Implications for Monetary Policy: a speech at the Council on Foreign Relations, Washington, D.C., June 3, 2016," Speech 899, Board of Governors of the Federal Reserve System (U.S.).

  6. Andrew Y. Chen, 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Andrew Y. Chen, 2014. "Habit, Production, and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2014-103, Board of Governors of the Federal Reserve System (U.S.).

  7. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.

    Cited by:

    1. Adriana Grasso & Filippo Natoli, 2018. "Consumption volatility risk and the inversion of the yield curve," Temi di discussione (Economic working papers) 1169, Bank of Italy, Economic Research and International Relations Area.
    2. Indrajit Mitra & Yu Xu, 2020. "Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates," FRB Atlanta Working Paper 2020-20, Federal Reserve Bank of Atlanta.
    3. Weiwei Liu, 2019. "An empirical study of the risk-free rate and the expected consumption growth," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(6), pages 1-5.
    4. Mahdi Nezafat & Ctirad Slavik, 2021. "Asset Prices and Business Cycles with Liquidity Shocks," CERGE-EI Working Papers wp711, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    5. Andrew Y. Chen & Rebecca Wasyk & Fabian Winkler, 2017. "A Likelihood-Based Comparison of Macro Asset Pricing Models," Finance and Economics Discussion Series 2017-024, Board of Governors of the Federal Reserve System (U.S.).
    6. Ruan, Xinfeng & Zhang, Jin E., 2018. "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 42-60.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (4) 2015-01-09 2020-06-15 2020-11-09 2021-07-19
  2. NEP-MAC: Macroeconomics (3) 2013-11-02 2016-09-04 2017-03-26
  3. NEP-DGE: Dynamic General Equilibrium (2) 2013-11-02 2014-10-03
  4. NEP-UPT: Utility Models and Prospect Theory (2) 2014-10-03 2016-09-04
  5. NEP-ECM: Econometrics (1) 2018-06-18
  6. NEP-FDG: Financial Development and Growth (1) 2020-11-09
  7. NEP-HPE: History and Philosophy of Economics (1) 2019-04-01
  8. NEP-MST: Market Microstructure (1) 2020-06-15

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