Fousseni Chabi-Yo

Education

• PhD Economics, University of Montreal, 2005
• MSc Applied Economics and Statistics, ENSAE, Dakar, Senegal, 1998
• MSc Applied Mathematics, University Cheikh Anta Diop of Dakar, Senegal, 1998
• BSc Mathematics, University Cheikh Anta Diop of Dakar, Senegal, 1997
• BSc Mathematics-Physics, University of Abomey-Calavi, Benin, 1995

Professional Experience

• Bank of Canada, 2004-2008

Academic Appointments

• Berthiaume Endowed Professor in Business Administration, Isenberg School of Management, 2022 to present
• Professor of Finance (with tenure), Isenberg School of Management, 2022 to present
• Associate Professor of Finance, Isenberg School of Management, UMass, 2018-2022
• Assistant Professor of Finance, Isenberg School of Management, UMass, 2016-2018
• Assistant Professor of Finance, Fisher College of Business, OSU, Columbus, Ohio, 2008-2016

Research Interests

• Asset Pricing Theory
• Empirical Asset Pricing
• Financial Econometrics
• Behavioral Finance

Teaching Interests

• General
  • Investment
  • Risk Management
  • Derivatives
  • Financial Econometrics

Selected Publications

Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks Management Science, Forthcoming, November 2021 (with Chukwuma Dim and Grigory Vilkov).

Multivariate Crash Risk, Journal of Financial Economics, Forthcoming, June 2021. (with Markus Huggenberger and Florian Weigert)

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).