Fousseni Chabi-Yo

Associate Professor 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

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 René Garcia).