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Fousseni Chabi-Yo, Ph.D. - Publications

Affiliations: 
2005 Université de Montréal, Montréal, Canada 
Area:
Finance
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13 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Chabi-Yo F, Loudis J. The Conditional Expected Market Return Journal of Financial Economics. 137: 752-786. DOI: 10.2139/Ssrn.3033936  0.597
2019 Bakshi G, Chabi-Yo F. New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models Journal of Financial and Quantitative Analysis. 54: 2517-2541. DOI: 10.2139/Ssrn.2432966  0.522
2019 Chabi-Yo F, Colacito R. The Term Structures of Coentropy in International Financial Markets Management Science. 65: 3541-3558. DOI: 10.2139/Ssrn.2341772  0.461
2018 Bakshi G, Chabi-Yo F, Gao X. A Recovery that We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem Review of Financial Studies. 31: 532-555. DOI: 10.2139/Ssrn.2872909  0.444
2018 Chabi-Yo F, Ruenzi S, Weigert F. Crash Sensitivity and the Cross-Section of Expected Stock Returns Journal of Financial and Quantitative Analysis. 53: 1059-1100. DOI: 10.2139/Ssrn.2011746  0.552
2015 Bali TG, Cakici N, Chabi-Yo F. A new approach to measuring riskiness in the equity market: Implications for the risk premium Journal of Banking and Finance. 57: 101-117. DOI: 10.2139/Ssrn.2055380  0.601
2014 Chabi-Yo F, Leisen DPJ, Renault E. Aggregation of preferences for skewed asset returns Journal of Economic Theory. 154: 453-489. DOI: 10.1016/J.Jet.2014.09.020  0.628
2012 Bakshi G, Chabi-Yo F. Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors Journal of Financial Economics. 105: 191-208. DOI: 10.2139/Ssrn.1868232  0.41
2012 Chabi-Yo F. Pricing Kernels with Stochastic Skewness and Volatility Risk Management Science. 58: 624-640. DOI: 10.1287/Mnsc.1110.1424  0.664
2011 Bali TG, Cakici N, Chabi-Yo F. A generalized measure of riskiness Management Science. 57: 1406-1423. DOI: 10.1287/Mnsc.1110.1373  0.472
2011 Chabi-Yo F. Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors Journal of Banking and Finance. 35: 1971-1983. DOI: 10.1016/J.Jbankfin.2011.01.002  0.567
2008 Chabi-Yo F, Garcia R, Renault E. State dependence can explain the risk aversion puzzle Review of Financial Studies. 21: 973-1011. DOI: 10.1093/Rfs/Hhm070  0.542
2008 Chabi-Yo F. Conditioning Information and Variance Bounds on Pricing Kernels with Higher- Order Moments: Theory and Evidence Review of Financial Studies. 21: 181-231. DOI: 10.1093/Rfs/Hhm053  0.566
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