Fousseni Chabi-Yo

Teaching Ratings [TR]
Curriculum Vitae [CV]
Google Scholar [Profile]

E-mail: chabiyofatwork(at)gmail(dot)com
Tel: (614) 753 9072



1 Aggregation of Preferences for Skewed Asset Returns

Journal of Economic Theory, 154 (2014) pp. 453-489 (with Dietmar Leisen and Eric Renault). 


Variance bounds on the permanent and transitory components of stochastic discount factors

Journal of Financial Economics, Vol. 105, No 1 July 2012, pp. 191-208. (with Gurdip Bakshi)


3. Pricing Kernels with Stochastic Skewness and Volatility Risk

Management Science, Vol. 58, No. 3, March 2012, pp. 624-640.


4. A Generalized Measure of Riskiness

Management Science, Vol.57, No. 8, August 2011, pp. 1406-1423.(with Turan Bali and Nusret Cakici)


5. Conditioning Information and Variance Bound on Pricing Kernels with Higher-Order Moments: Theory and Evidence

The Review of Financial Studies, 2008, 21 (1): 181-231.


6. State Dependence Can Explain Risk-Aversion Puzzle

The Review of Financial Studies, 2008, 21 (2): 973-1011(with Eric Renault and René Garcia).




1. A New Approach to Measuring Riskiness in the Equity Market: Implications for the Risk Premium, Journal of Banking and Finance, August 2015, 57, 101-117 (with Turan Bali and Nusret Cakici).


2. Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors

Journal of Banking and Finance, 2011, vol. 35, 1971-1983.

Recent Working Papers

1.  A Recovery that we Can Trust? Deducing and Testing The Restrictions of the Recovery Theorem (Revise & Resubmit: Review of Financial Studies

Latest draft: 09/2015 (with Gurdip Bakshi and Xiaohui Gao).

2. Crash Sensitivity and the Cross-Section of Expected Stock Returns, with corresponding Online Appendix.  (Revise & Resubmit: Journal of Financial and Quantitative Analysis)

Latest draft: 10/2016. (with Stefan Ruenzi and Florian Weigert).

3. New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models

Latest draft: 07/2016. (with Gurdip Bakshi). (Revise & Resubmit: Journal of Financial and Quantitative Analysis)

4. Term Structure of the Price of Volatility Risk: Preference-Based Explanation (12/2016)

5. The Term Structure of Co-Entropy in International Financial Markets

Latest draft: 07/2015.(with Riccardo Colacito).