Fousseni Chabi-Yo

Assistant Professor of Finance
Research Fellow, Charles A. Dice Center for Research in Financial Economics
 
Department of Finance,
Fisher College of Business
Ohio State University
840 Fisher Hall
2100 Neil Avenue
Columbus, OH 43210-1144
 
E-mail: chabi-yo(dot)1(at)osu(dot)edu
Tel: (614) 292-8477

OFFICIAL FCOB PAGE

Curriculum  Vitae  [CV]
 

Google Scholar Profile

 

Selected Publications

 

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. Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors

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

 

6. 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.

 

7. 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. Term Structure of the Price of Volatility Risk: Preference-Based Explanation (01/2016)

Abstract. In a multi-period model, we derive the price of volatility risks and show that market volatility and bond volatility are priced at any investment horizon. We find that the shape of the term structure of the price of volatility risks depends on the absolute risk aversion, the absolute prudence, and the shape of the term structure of interest rates. With plausible preference parameters, empirical results show that our framework is able to reproduce the term structure of the price of market volatility risk, as well as the term structure of the price of bond volatility documented in recent literature.  Consistent with results in recent literature,  our results show that the term structure of the price of volatility risk converges quickly to zero, indicating that investors do not price volatility risk for long investment horizons.

2 A Recovery that we Can Trust? Deducing and Testing The Restrictions of the Recovery Theorem

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

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

4. Crash Sensitivity and the Cross-Section of Expected Stock Returns, with corresponding Online Appendix. 

Latest draft: 03/2015. (with Stefan Ruenzi and Florian Weigert).

 

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

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

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

Latest draft: 12/2014. (with Gurdip Bakshi).