Fousseni Chabi-Yo

University of Massachusetts Amherst - Isenberg School of Management

Amherst, MA 01003-4910

United States

SCHOLARLY PAPERS

27

DOWNLOADS
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Top 5,994

in Total Papers Downloads

10,229

SSRN CITATIONS
Rank 6,126

SSRN RANKINGS

Top 6,126

in Total Papers Citations

169

CROSSREF CITATIONS

46

Scholarly Papers (27)

1.

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 1,967 (11,648)
Citation 25

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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 - McDonough School of Business, Fordham university and University of Massachusetts Amherst - Isenberg School of Management
Downloads 739 (48,794)
Citation 2

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

3.

Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks

Management Science, forthcoming
Number of pages: 75 Posted: 28 Apr 2020 Last Revised: 29 Jun 2022
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 684 (54,082)
Citation 1

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Recovery, market spanning, expected returns, higher-order moments, option-implied, FOMC cycle

4.

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 620 (61,290)
Citation 11

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Equity Risk Premium, Risk Neutral Moments, Preferences

5.

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 554 (70,699)
Citation 14

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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 342 (123,570)
Citation 30

Abstract:

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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 127 (308,716)
Citation 2

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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 66 (467,494)
Citation 1

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Pricing kernel, volatility risk, risk aversion, skewness preference

7.

A Factor Model for Stock Returns Based on Option Prices

Number of pages: 68 Posted: 01 Dec 2019 Last Revised: 13 May 2022
Turan G. Bali, Fousseni Chabi-Yo and Scott Murray
Georgetown University - McDonough School of Business, University of Massachusetts Amherst - Isenberg School of Management and Georgia State University
Downloads 492 (81,836)
Citation 1

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Factor model, option prices, cross section of stock returns

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 478 (84,697)
Citation 1

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Asset pricing, Non-linear dependence, Crash aversion, Downside risk, Tail risk, Lower tail dependence, Copulas

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 231 (184,639)

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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 209 (203,170)
Citation 2

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Financial distress, Higher moment returns

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 - McDonough School of Business, Fordham university and University of Massachusetts Amherst - Isenberg School of Management
Downloads 208 (204,118)
Citation 5

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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 - McDonough School of Business, Fordham university and University of Massachusetts Amherst - Isenberg School of Management
Downloads 176 (236,884)
Citation 1

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

11.

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

Number of pages: 186 Posted: 01 Dec 2020 Last Revised: 06 Jun 2022
Fousseni Chabi-Yo and Johnathan Loudis
University of Massachusetts Amherst - Isenberg School of Management and University of Notre Dame - Mendoza College of Business
Downloads 346 (122,723)
Citation 1

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Market risk premium; Variance risk premium; Crash risk; Risk-neutral moments; Preferences; Stochastic Discount Factor

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 - McDonough School of Business, Fordham university, University of Massachusetts Amherst - Isenberg School of Management and Georgia State University
Downloads 316 (135,108)
Citation 1

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Risk-Neutral Distribution, Option Returns

13.

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 310 (137,899)
Citation 3

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Variance, Skewness, Kurtosis, Stochastic Discount Factor, Risk Premium, Price of Risk, Cross-Section, Predictability

14.

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 284 (151,046)
Citation 5

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

15.

An Intertemporal Risk Factor Model

Kenan Institute of Private Enterprise Research Paper Forthcoming
Number of pages: 152 Posted: 01 Sep 2020 Last Revised: 13 May 2022
Fousseni Chabi-Yo, Andrei S. Gonçalves and Johnathan Loudis
University of Massachusetts Amherst - Isenberg School of Management, Ohio State University (OSU) - Fisher College of Business and University of Notre Dame - Mendoza College of Business
Downloads 277 (154,838)

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ICAPM, Intertemporal Risk, Long-term Investors, Factor Models

16.

Conditional Leverage and the Term Structure of Option-Implied Equity Risk Premia

Number of pages: 60 Posted: 14 Jun 2022
Fousseni Chabi-Yo and Hugues Langlois
University of Massachusetts Amherst - Isenberg School of Management and HEC Paris - Finance Department
Downloads 239 (179,183)

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Recovery, market spanning, expected returns, higher-order moments, option-implied information.

17.

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

Number of pages: 84 Posted: 07 Feb 2020 Last Revised: 04 Aug 2022
Fousseni Chabi-Yo and Yan Liu
University of Massachusetts Amherst - Isenberg School of Management and Purdue University
Downloads 212 (200,633)

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Equity risk premium, Risk-neutral moments, Preferences, Entropy, Model-free, Stochastic Discount Factor

18.

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 212 (200,633)
Citation 23

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recovery theorem

19.

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 210 (202,435)

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commodity returns; entropy; options; 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, 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 163 (252,970)
Citation 17

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

21.

Maxing Out Entropy: A Conditioning Approach

Number of pages: 58 Posted: 26 Oct 2020 Last Revised: 04 Aug 2022
Fousseni Chabi-Yo and Yan Liu
University of Massachusetts Amherst - Isenberg School of Management and Purdue University
Downloads 194 (217,635)

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Conditioning Information, Equity Risk Premium, Risk-Neutral Moments, Preferences, Entropy, Model-Free, Stochastic Discount Factor

22.

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 178 (234,438)
Citation 5

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

23.

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 (265,976)

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

24.

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 133 (296,871)
Citation 2

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

25.

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 109 (342,555)

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Equity Risk Premium, Autocorrelation, Risk-Neutral Moments, Preferences, Asset Pricing Models

26.

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

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27.

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 and University of North Carolina (UNC) at Chapel Hill - Department of Economics

Abstract:

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G12, G13