5 papers
An Irrelevance Theorem for Risk Aversion and Time-Varying Risk
Andrew Chen, Francisco Palomino
We provide a theorem on the role of risk and risk attitudes in macroeconomic models that clarifies and extends the Tallarini (2000) separation result. Under (1) separation of inter…
Hedging the Singularity
Andrew Y. Chen
AI stocks trade at extraordinary valuations. We develop an asset pricing model in which investors use AI stocks to hedge against an AI singularity that displaces their consumption.…
Most claimed statistical findings in cross-sectional return predictability are likely true
Andrew Y. Chen
The false discovery rate (FDR) measures the share of false positives in a set of statistical tests. I develop simple and intuitive bounds on the FDR in cross-sectional predictabili…
Optimal Post-Hoc Theorizing
Andrew Y. Chen
For many economic questions, the empirical results are not interesting unless they are strong. For these questions, theorizing before the results are known is not always optimal. I…
High-Throughput Asset Pricing
Andrew Y. Chen, Chukwuma Dim
We apply empirical Bayes (EB) to mine data on 136,000 long-short strategies constructed from accounting ratios, past returns, and ticker symbols. This ``high-throughput asset prici…