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State dependence in fundamentals and preferences explains risk-aversion puzzle

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - 2005

Persistent link: https://www.econbiz.de/10002739756

State dependence can explain the risk aversion puzzle

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - In: The review of financial studies 21 (2008) 2, pp. 973-1011

Persistent link: https://www.econbiz.de/10003716673

Viewpoint: option prices, preferences, and state variables

Garcia, René; Luger, Richard; Renault, Eric - In: The Canadian journal of economics 38 (2005) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10002654852

Option prices, preferences, and state variables

Garcia, René (contributor); Luger, Richard (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002750617

Disentangling risk aversionand intertemporal substitution through a reference level

Garcia, René; Renault, Eric; Semenov, Andrei - In: Finance research letters 3 (2006) 3, pp. 181-193

Persistent link: https://www.econbiz.de/10003374037

Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors

Chabi-Yo, Fousseni - In: Journal of banking & finance 35 (2011) 8, pp. 1971-1983

Persistent link: https://www.econbiz.de/10009247371

Pricing kernels with stochastic skewness and volatility risk

Chabi-yo, Fousseni - In: Management science : journal of the Institute for … 58 (2012) 3, pp. 624-640

Persistent link: https://www.econbiz.de/10009525254

Pricing kernels with coskewness and volatility risk

Chabi-Yo, Fousseni - 2008 - This version : December 1, 2008

Persistent link: https://www.econbiz.de/10003819936

Crash sensitivity and the cross section of expected stock returns

Chabi-Yo, Fousseni; Ruenzi, Stefan; Weigert, Florian - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 3, pp. 1059-1100

Persistent link: https://www.econbiz.de/10011930029

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2019 - This version: February 2019

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on its expected shortfall and its multivariate lower...

Persistent link: https://www.econbiz.de/10011993538