Fousseni Chabi-Yo

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

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



A Recovery that we Can Trust? Deducing and Testing The Restrictions of the Recovery Theorem, July 2017, (Conditionally Accepted at the Review of Financial Studies(with Gurdip Bakshi and Xiaohui Gao).

Crash Sensitivity and the Cross-Section of Expected Stock Returns, with corresponding Online Appendix, May 2017  (Accepted for Publication at the Journal of Financial and Quantitative Analysis) (with Stefan Ruenzi and Florian Weigert).


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).


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)


Pricing Kernels with Stochastic Skewness and Volatility Risk

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



A Generalized Measure of Riskiness

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

Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors

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



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.


State Dependence Can Explain Risk-Aversion Puzzle

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


Recent Working Papers

1 (NEW) The Real-Time Distribution of Stochastic Discount Factors

Latest draft: 06/10/2017

2 (NEWConditional Expected Market Return

Latest draft: 06/29/2017 (with Johnathan Loudis)

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

Latest draft: 01/2017.(with Riccardo Colacito). (Revise & Resubmit)

4. 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)

5. An Inquiry into the Nature and Sources of Variation in the Expected Excess Return of a Long-Term Bond 

Latest draft: 07/2015. (with Gurdip Bakshi and Xiaohui Gao).