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

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).