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Fousseni Chabi-Yo

Fousseni Chabi-Yo

Associate Professor, Dean's Research Fellow, PhD Coordinator and Honors Program Director Finance
Office: Isenberg 307B
Tel: 413.545.7628
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Academic Background

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
Academic Appointments
Associate Professor of Finance, Isenberg School of Management, UMass, 2018-Present
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

  • Investment
  • Risk Management
  • Derivatives
  • Financial Econometrics

Professional Background

Professional Experience
2004-2008, Bank of Canada

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).

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