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


Curriculum  Vitae (to be updated soon!) [CV]

Google Scholar Profile


Refereed 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. 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).


7. Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors

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


Working Papers

1. 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 Bakshi).

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

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


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

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

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

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