Fousseni Chabi-Yo
Associate Dean of Research and PhD Programs | Berthiaume Endowed Professor in Business Administration | Professor of Finance
Professor Fousseni Chabi-Yo is the Associate Dean for Research and PhD Programs at the Isenberg School of Management and the Berthiaume Endowed Professor in Business Administration. He earned his PhD in Economics from the University of Montreal in 2005, specializing in financial economics. Chabi-Yo is an internationally recognized scholar in asset pricing, financial econometrics, and international finance, with research examining the role of investor preferences and beliefs in financial markets, derivative pricing, tail risk, and fixed-income markets. His work has been published in leading journals, including the Journal of Financial Economics, Review of Financial Studies, Management Science, Journal of Financial and Quantitative Analysis, and Journal of Economic Theory. His research has also influenced practice, including the development of a forward-looking measure of the equity risk premium used by central banks to assess financial stability. Chabi-Yo currently serves as an associate editor of the Journal of Banking and Finance and is the founding organizer of the annual Isenberg Finance Conference.
Education
Professional Experience
Academic Appointments
Awards and Honors
- 2022–2023 Outstanding Research Award, Isenberg School of Management, University of Massachusetts Amherst
- 2022 Best Discussant Award, Carey Finance Conference, Baltimore, MD
- 2021–2022 Research Excellence Award, Isenberg School of Management, University of Massachusetts Amherst
- Finalist, 2018–2019 Distinguished Teaching Award (DTA), University of Massachusetts Amherst
- 2017–2018 Outstanding Research Award, Isenberg School of Management, University of Massachusetts Amherst
- Outstanding Contribution in Reviewing Award, Journal of Empirical Finance, June 2015
Endowed and Fellowship Appointments
- Berthiaume Endowed Professor in Business Administration, Isenberg School of Management, University of Massachusetts Amherst (June 2022–Present)
- Dean’s Excellence Fellow, Isenberg School of Management, University of Massachusetts Amherst (September 2019–May 2022)
Editorial and Professional Service
- Associate Editor, Journal of Banking and Finance (2021–Present)
- Member, Isenberg Research Committee (2022–Present)
Research Interests
Teaching Interests
- Investment
- Corporate risk management
- Asset pricing
- Teaching and socialization
Media, Industry, and Public Impact
01/2025 The Bank of England integrated finance researcher Fousseni Chabi-Yo's option-implied Equity Risk Premium (ERP) measure into its systemic risk monitoring toolkit:
06/2018 Fousseni Chabi-Yo's paper on “ Never a Dull Moment: Entropy Risk in Commodity Markets” commodity
appeared in Financial Times. "A once timeless skill in commodities investing is under threat"
Selected Working Papers / Current Research
Chabi-Yo, F.; Kim D.; Li, G. (2026). Conditional Expected Returns on Individual Stocks with and without Intertemporal Hedging.
Chabi-Yo, F.; Gourier, E.; Langlois, H. (2026). Option-Implied Risk Premia with Intertemporal Hedging.
Selected Publications
Chabi-Yo, F., Gonçalves, A., & Loudis, J. (2025). An Intertemporal Risk Factor Model. Management Science, 71(8), Pages 6518-6544. Publication Link: https://doi.org/10.1287/mnsc.2023.00261
Chabi-Yo, F., & Loudis, J. (2024). A Decomposition of Conditional Risk Premia and Implications for Representative Agent Models. Management Science, 70(10), Pages 6804-6834. Publication Link: https://doi.org/10.1287/mnsc.2022.01663
Chabi-Yo, F., Doshi, H., & Zurita, V. (2023). Never a Dull Moment: Entropy Risk in Commodity Markets. Review of Asset Pricing Studies, 13(4), Pages 734–783. Publication Link: https://doi.org/10.1093/rapstu/raad008. Media Coverage: Financial Times (July 6, 2018).
Chabi-Yo, F., Huggenberger, M., & Weigert, F. (2022). Multivariate Crash Risk. Journal of Financial Economics, 145(1), 129–153. Publication Link: https://doi.org/10.1016/j.jfineco.2021.07.016
Chabi-Yo, F., Dim, C., & Vilkov, G. (2022). Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks. Management Science, 69(2), Pages 922-939. Publication Link: https://doi.org/10.1287/mnsc.2022.4367
Chabi-Yo, F., & Loudis, J. (2020). The Conditional Expected Market Return. Journal of Financial Economics, 137(3), 752–786. Publication Link: https://doi.org/10.1016/j.jfineco.2020.03.009
Chabi-Yo, F., & Bakshi, G. (2019). New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models. Journal of Financial and Quantitative Analysis, 54(6), 2517–2541. Publication Link: https://doi.org/10.1017/S0022109018001503
Chabi-Yo, F., & Colacito, R. (2019). The Term Structure of Co-Entropy in International Financial Markets. Management Science, 65(8), Pages 3541-3558. Publication Link: https://doi.org/10.1287/mnsc.2017.3017
Chabi-Yo, F., Ruenzi, S., & Weigert, F. (2018). Crash Sensitivity and the Cross-Section of Expected Stock Returns. Journal of Financial and Quantitative Analysis, 53(3), 1059–1100. Publication Link: https://doi.org/10.1017/S0022109018000121
Chabi-Yo, F., Bakshi, G., & Gao, X. (2018). A Recovery That We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem. Review of Financial Studies, 31(2), 532–555. Publication Link: https://doi.org/10.1093/rfs/hhx108
Chabi-Yo, F., Leisen, D., & Renault, E. (2014). Aggregation of Preferences for Skewed Asset Returns. Journal of Economic Theory, 154, 453–489. Publication link: https://www.sciencedirect.com/science/article/abs/pii/S0022053114001410
Chabi-Yo, F., & Bakshi, G. (2012). Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors. Journal of Financial Economics, 105(1), 191–208. Publication Link: https://doi.org/10.1016/j.jfineco.2012.01.003
Chabi-Yo, F. (2012). Pricing Kernels with Stochastic Skewness and Volatility Risk. Management Science, 58(3), 624–640. Publication Link: https://doi.org/10.1287/mnsc.1110.1424
Chabi-Yo, F., Bali, T. G., & Cakici, N. (2011). A Generalized Measure of Riskiness. Management Science, 57(8), 1406–1423. Publication Link: https://doi.org/10.1287/mnsc.1110.1373
Chabi-Yo, F. (2008). Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence. Review of Financial Studies, 21(1), 181–231. Publication Link: https://doi.org/10.1093/rfs/hhm053
Chabi-Yo, F., Renault, E., & Garcia, R. (2008). State Dependence Can Explain the Risk-Aversion Puzzle. Review of Financial Studies, 21(2), 973–1011. Publication Link: https://doi.org/10.1093/rfs/hhm070