Author Page for Fousseni Chabi-Yo

Crash Sensitivity and the Cross-Section of Expected Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, University of St.Gallen, School of Finance Research Paper No. 2013/24

Number of pages: 94 Posted: 27 Feb 2012 Last Revised: 12 Jun 2017

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 Neuchatel - Institute of Financial Analysis

Downloads 1,894 (10,754)

Citation 25

Abstract:

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 726 (44,325)

Citation 2

Abstract:

3.

The Conditional Expected Market Return

Chabi-Yo, F., Loudis, J., 2020. The conditional expected market return. Journal of Financial Economics 137 (3), 752-786.

Number of pages: 108 Posted: 11 Sep 2017 Last Revised: 13 Oct 2020

Fousseni Chabi-Yo and Johnathan Loudis

University of Massachusetts Amherst - Isenberg School of Management and University of Notre Dame - Mendoza College of Business

Downloads 570 (60,684)

Citation 11

Abstract:

4.

The Term Structures of Coentropy 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: 54 Posted: 24 Oct 2013 Last Revised: 22 Sep 2017

Fousseni Chabi-Yo and Ric Colacito

University of Massachusetts Amherst - Isenberg School of Management and University of North Carolina Kenan-Flagler Business School

Downloads 530 (66,450)

Citation 14

Abstract:

5.

Pricing Kernels with Stochastic Skewness and Volatility Risk

Downloads 505 ( 70,631)

Citation 33

3

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 318 (119,786)

Citation 30

Abstract:

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 123 (286,547)

Citation 2

Abstract:

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 64 (432,858)

Citation 2

Abstract:

6.

Default Risk, Idiosyncratic Coskewness and Equity Returns

Downloads 422 ( 87,820)

Citation 2

2

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 226 (169,891)

Abstract:

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 196 (195,238)

Citation 2

Abstract:

7.

Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks

Number of pages: 75 Posted: 28 Apr 2020 Last Revised: 04 Oct 2021

Fousseni Chabi-Yo, Chukwuma Dim and Grigory Vilkov

University of Massachusetts Amherst - Isenberg School of Management, Frankfurt School of Finance & Management and Frankfurt School of Finance & Management

Downloads 418 (88,993)

Citation 1

Abstract:

8.

Multivariate Crash Risk

Journal of Financial Economics (JFE), Forthcoming

Number of pages: 62 Posted: 04 Jun 2018 Last Revised: 08 Sep 2021

Fousseni Chabi-Yo, Markus Huggenberger and Florian Weigert

University of Massachusetts Amherst - Isenberg School of Management, University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance and University of Neuchatel - Institute of Financial Analysis

Downloads 388 (96,510)

Citation 1

Abstract:

9.

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

Downloads 378 ( 99,415)

Citation 5

2

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 205 (186,422)

Citation 5

Abstract:

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 173 (217,100)

Citation 1

Abstract:

10.

Real-Time Distribution of Stochastic Discount Factors

Number of pages: 117 Posted: 16 Feb 2018 Last Revised: 08 Jan 2019

Fousseni Chabi-Yo

University of Massachusetts Amherst - Isenberg School of Management

Downloads 284 (135,773)

Citation 3

Abstract:

11.

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 275 (140,382)

Citation 5

Abstract:

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 256 (150,829)

Citation 1

Abstract:

13.

An Intertemporal Risk Factor Model

Kenan Institute of Private Enterprise Research Paper Forthcoming

Number of pages: 112 Posted: 01 Sep 2020 Last Revised: 19 May 2021

Fousseni Chabi-Yo, Andrei Gonçalves and Johnathan Loudis

University of Massachusetts Amherst - Isenberg School of Management, University of North Carolina (UNC) at Chapel Hill - Finance Area and University of Notre Dame - Mendoza College of Business

Downloads 221 (173,988)

Abstract:

14.

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

Downloads 154 (192,722)

Citation 15

1

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, Gurdip Bakshi and Fousseni Chabi-Yo

Temple University - Fox School of Business and ManagementFox School of Business and University of Massachusetts Amherst - Isenberg School of Management

Downloads 154 (239,965)

Citation 17

Abstract:

15.

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

Forthcoming, Review of Financial Studies

Number of pages: 47 Posted: 20 Nov 2016 Last Revised: 13 Sep 2017

Gurdip Bakshi, Gurdip Bakshi, Fousseni Chabi-Yo and Xiaohui Gao

Temple University - Fox School of Business and ManagementFox School of Business, University of Massachusetts Amherst - Isenberg School of Management and Fox School of Business, Temple University

Downloads 196 (194,467)

Citation 23

Abstract:

16.

A Decomposition of Conditional Risk Premia and Implications for Representative Agent Models

Number of pages: 177 Posted: 01 Dec 2020 Last Revised: 29 Jun 2021

Fousseni Chabi-Yo and Johnathan Loudis

University of Massachusetts Amherst - Isenberg School of Management and University of Notre Dame - Mendoza College of Business

Downloads 188 (201,839)

Citation 1

Abstract:

17.

Never a Dull Moment: Entropy Risk in Commodity Markets

Number of pages: 59 Posted: 14 Dec 2018 Last Revised: 06 Mar 2020

Fousseni Chabi-Yo, Hitesh Doshi and Virgilio Zurita

University of Massachusetts Amherst - Isenberg School of Management, University of Houston - C.T. Bauer College of Business and Baylor University - Hankamer School of Business

Downloads 184 (206,759)

Abstract:

18.

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, Gurdip Bakshi and Fousseni Chabi-Yo

Temple University - Fox School of Business and ManagementFox School of Business and University of Massachusetts Amherst - Isenberg School of Management

Downloads 169 (221,372)

Citation 5

Abstract:

19.

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 153 (240,648)

Abstract:

20.

Distorting Arrow-Debreu Securities: New Entropy Restrictions Implied by the Option Cross Section

Number of pages: 69 Posted: 07 Feb 2020 Last Revised: 21 Oct 2020

Fousseni Chabi-Yo and Yan Liu

University of Massachusetts Amherst - Isenberg School of Management and Purdue University

Downloads 132 (272,114)

Abstract:

21.

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, Gurdip Bakshi, Fousseni Chabi-Yo and Xiaohui Gao

Temple University - Fox School of Business and ManagementFox School of Business, University of Massachusetts Amherst - Isenberg School of Management and Fox School of Business, Temple University

Downloads 126 (280,187)

Citation 2

Abstract:

22.

Maxing Out Entropy: A Conditioning Approach

Number of pages: 58 Posted: 26 Oct 2020 Last Revised: 09 Nov 2020

Fousseni Chabi-Yo and Yan Liu

University of Massachusetts Amherst - Isenberg School of Management and Purdue University

Downloads 100 (329,256)

Abstract:

23.

What Is the Conditional Autocorrelation on the Stock Market?

Number of pages: 93 Posted: 06 Dec 2019

Fousseni Chabi-Yo

University of Massachusetts Amherst - Isenberg School of Management

Downloads 91 (349,615)

Abstract:

24.

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:

25.

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

Fousseni Chabi-Yo

University of Massachusetts Amherst - Isenberg School of Management

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Scholarly Papers (25)

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