Andrew Y. Chen

Precautionary Volatility and Asset Prices
Paper

Precautionary savings motives and production lead to endogenous time-varying volatility. With habit as an amplifier, this channel captures the Shiller volatility puzzle and many other asset price and business cycle facts.
Habit, Production, and the Cross Section of Stock Returns
Paper

Models of the equity premium should teach us something about the cross section of returns. A model with external habit with heterogeneous firms describes the equity premium puzzles and generates a data-like value premium.

Implications of Security Market Data for Production Technologies
Paper

Modeling asset prices requires a lot of investment return volatility, regardless of many other details of the model (i.e. preferences or beliefs). This restriction provides a concise summary of the difficulties of modeling asset prices in production economies.