Fousseni Chabi-Yo
Academic Background
Research Interests
- Asset Pricing Theory
- Empirical Asset Pricing
- Financial Econometrics
- Behavioral Finance
Teaching Interests
- Investment
- Risk Management
- Derivatives
- Financial Econometrics
Professional Background
Selected Publications
The Conditional Expected Market Return, Journal of Financial Economics Volume 137, Issue 3, September 2020, Pages 752-786. (with Jonnathan Loudis).
The Term Structure of Co-Entropy in International Financial Markets, Management Science, Volume 65, Issue 8, August 2019, 3449-3947. (with Riccardo Colacito)
Crash Sensitivity and the Cross-Section of Expected Stock Returns, Journal of Financial and Quantitative Analysis, Volume 53, Issue 3, June 2018 , pp. 1059-1100. (with Stefan Ruenzi and Florian Weigert).
A Recovery that we Can Trust? Deducing and Testing The Restrictions of the Recovery Theorem, The Review of Financial Studies, February 2018, Volume 31, Issue 2, 1 February 2018, Pages 532–555 . (with Gurdip Bakshi and Xiaohui Gao).
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.
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 Rene Garcia).
