Fousseni Chabi-Yo

University of Massachusetts Amherst - Isenberg School of Management

Amherst, MA 01003-4910

United States

SCHOLARLY PAPERS

15

DOWNLOADS
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Top 9,268

in Total Papers Downloads

4,018

CITATIONS
Rank 13,875

SSRN RANKINGS

Top 13,875

in Total Papers Citations

27

Scholarly Papers (15)

1.

Crash Sensitivity and the Cross-Section of Expected Stock Returns

University of St.Gallen, School of Finance Research Paper No. 2013/24
Number of pages: 56 Posted: 27 Feb 2012 Last Revised: 12 Feb 2016
Fousseni Chabi-Yo, Stefan Ruenzi and Florian Weigert
University of Massachusetts Amherst - Isenberg School of Management, University of Mannheim - Department of International Finance and University of St. Gallen - School of Finance
Downloads 748 (14,598)
Citation 2

Abstract:

Asset Pricing, Asymmetric Dependence, Copulas, Coskewness, Downside Risk, Tail Risk, Crash Aversion

2.

Riskiness Measures and Expected Returns

Number of pages: 51 Posted: 11 Apr 2011 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Fousseni Chabi-Yo
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and University of Massachusetts Amherst - Isenberg School of Management
Downloads 639 (29,902)
Citation 1

Abstract:

Riskiness, economic index of riskiness, operational measure of riskiness, risk-neutral measures, stock returns

Pricing Kernels with Stochastic Skewness and Volatility Risk

Management Science, Vol. 58, No. 3, pp. 624-640, March 2012, Charles A. Dice Center Working Paper No. 2008-25 , Fisher College of Business Working Paper No. 2008-03-023
Number of pages: 33 Posted: 17 Dec 2008 Last Revised: 17 May 2012
Fousseni Chabi-Yo
University of Massachusetts Amherst - Isenberg School of Management
Downloads 238 (103,998)
Citation 11

Abstract:

pricing kernels, risk aversion, skewness preference, volatility risk

Pricing Kernels with Coskewness and Volatility Risk

Number of pages: 56 Posted: 18 Mar 2009
Fousseni Chabi-Yo
University of Massachusetts Amherst - Isenberg School of Management
Downloads 105 (212,545)
Citation 11

Abstract:

Pricing kernel, volatility risk, risk aversion, skewness preference

Pricing Kernels with Coskewness and Volatility Risk

Charles A. Dice Center Working Paper No. 2008-25, Fisher College of Business Working Paper No. 2008-03-023
Number of pages: 55 Posted: 16 Feb 2009
Fousseni Chabi-Yo
University of Massachusetts Amherst - Isenberg School of Management
Downloads 61 (297,081)
Citation 11

Abstract:

Pricing kernel, volatility risk, risk aversion, skewness preference

A New Approach to Measuring Riskiness in the Equity Market: Implications for the Risk Premium

Fisher College of Business Working Paper No. 2012-03-009, Charles A. Dice Center Working Paper No. 2012-9
Number of pages: 61 Posted: 10 May 2012 Last Revised: 06 Sep 2013
Turan G. Bali, Nusret Cakici and Fousseni Chabi-Yo
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and University of Massachusetts Amherst - Isenberg School of Management
Downloads 172 (142,387)
Citation 1

Abstract:

Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity premium

A New Approach to Measuring Riskiness in the Equity Market: Implications for the Risk Premium

Number of pages: 58 Posted: 12 Apr 2012 Last Revised: 01 May 2013
Turan G. Bali, Nusret Cakici and Fousseni Chabi-Yo
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and University of Massachusetts Amherst - Isenberg School of Management
Downloads 156 (155,225)
Citation 1

Abstract:

Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity

Default Risk, Idiosyncratic Coskewness and Equity Returns

Charles A. Dice Center Working Paper No. 2009-18 , Fisher College of Business Working Paper No. 2009-03-018
Number of pages: 50 Posted: 18 Mar 2009 Last Revised: 27 Sep 2010
Fousseni Chabi-Yo and Jun Yang
University of Massachusetts Amherst - Isenberg School of Management and Bank of Canada
Downloads 200 (123,673)
Citation 2

Abstract:

Financial Distress, Higher Moment Returns, Default Risk, Idiosyncratic Coskewness Beta, Cross-Sectional Equity Returns

Default Risk, Idiosyncratic Coskewness and Equity Returns

Number of pages: 50 Posted: 17 Mar 2010
Fousseni Chabi-Yo and Jun Yang
University of Massachusetts Amherst - Isenberg School of Management and Bank of Canada
Downloads 118 (194,956)
Citation 2

Abstract:

Financial distress, Higher moment returns

6.

The Term Structures of Co-Entropy in International Financial Markets

Fisher College of Business Working Paper No. 2013-03-17, Charles A. Dice Center Working Paper No. 2013-17
Number of pages: 77 Posted: 24 Oct 2013 Last Revised: 31 Jan 2017
Fousseni Chabi-Yo and Riccardo Colacito
University of Massachusetts Amherst - Isenberg School of Management and University of North Carolina Kenan-Flagler Business School
Downloads 237 (69,490)
Citation 1

Abstract:

7.

Expected Returns and Volatility of Fama-French Factors

Charles A. Dice Center Working Paper No. 2009-17, Fisher College of Business Working Paper No. 2009-03-017
Number of pages: 55 Posted: 22 Oct 2009
Fousseni Chabi-Yo
University of Massachusetts Amherst - Isenberg School of Management
Downloads 205 (104,899)
Citation 1

Abstract:

predictability, stock returns, volatility of Fama-French factors, variance risk premium

Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors

Journal of Financial Economics (JFE), Forthcoming, Charles A. Dice Center Working Paper No. 2011-11, Fisher College of Business Working Paper No. 2011-03-011
Number of pages: 41 Posted: 21 Jun 2011 Last Revised: 18 Feb 2012
Gurdip Bakshi and Fousseni Chabi-Yo
University of Maryland - Robert H. Smith School of Business and University of Massachusetts Amherst - Isenberg School of Management
Downloads 136 (174,303)
Citation 6

Abstract:

Stochastic discount factors, permanent component, transitory component, variance bounds, asset pricing models, eigenfunction problems

9.

A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate

Number of pages: 36 Posted: 27 Feb 2007 Last Revised: 17 Nov 2009
Jun Yang and Fousseni Chabi-Yo
Bank of Canada and University of Massachusetts Amherst - Isenberg School of Management
Downloads 127 (175,862)
Citation 2

Abstract:

Exchange rates, Interest rates, Financial markets, Econometric and statistical methods

10.

New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models

Charles A. Dice Center Working Paper No. 2014-07, Fisher College of Business Working Paper No. 2014-03-007, Robert H. Smith School Research Paper No. RHS 2432966
Number of pages: 66 Posted: 06 May 2014 Last Revised: 20 Jun 2014
Gurdip Bakshi and Fousseni Chabi-Yo
University of Maryland - Robert H. Smith School of Business and University of Massachusetts Amherst - Isenberg School of Management
Downloads 83 (181,295)

Abstract:

Entropy, stochastic discount factors, permanent component, lower entropy bounds, entropy codependence, asset pricing models, eigenfunction problem

11.

An Inquiry into the Nature and Sources of Variation in the Expected Excess Return of a Long-Term Bond

Number of pages: 51 Posted: 29 Apr 2015
Gurdip Bakshi, Fousseni Chabi-Yo and Xiaohui Gao Bakshi
University of Maryland - Robert H. Smith School of Business, University of Massachusetts Amherst - Isenberg School of Management and University of Maryland - Department of Finance
Downloads 34 (241,366)

Abstract:

Long-term Treasury bond, expected excess return, lower bound, options on bond futures

12.

The Risk-Neutral Distribution of Option Returns

Georgetown McDonough School of Business Research Paper No. 2902209
Number of pages: 59 Posted: 22 Jan 2017 Last Revised: 26 Feb 2017
Turan G. Bali, Nusret Cakici, Fousseni Chabi-Yo and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business, Fordham University, University of Massachusetts Amherst - Isenberg School of Management and Georgia State University
Downloads 0 (260,193)

Abstract:

Risk-Neutral Distribution, Option Returns

13.

A Recovery that We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem

Robert H. Smith School Research Paper No. RHS 2872909
Number of pages: 41 Posted: 20 Nov 2016
Gurdip Bakshi, Fousseni Chabi-Yo and Xiaohui Gao Bakshi
University of Maryland - Robert H. Smith School of Business, University of Massachusetts Amherst - Isenberg School of Management and University of Maryland - Department of Finance
Downloads 0 (311,293)

Abstract:

recovery theorem

14.

State Dependence Can Explain the Risk Aversion Puzzle

Review of Financial Studies, Vol. 21, Issue 2, pp. 973-1011, 2008
Posted: 26 Jun 2008
Fousseni Chabi-Yo, René Garcia and Eric Renault
University of Massachusetts Amherst - Isenberg School of Management, Université de Montréal - CIREQ - Département de sciences économiques and University of North Carolina (UNC) at Chapel Hill - Department of Economics

Abstract:

G12, G13

15.

Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence

The Review of Financial Studies, Vol. 21, Issue 1, pp. 181-231, 2008
Posted: 26 Jun 2008
Fousseni Chabi-Yo
University of Massachusetts Amherst - Isenberg School of Management

Abstract: