Fousseni Chabi-Yo

University of Massachusetts Amherst - Isenberg School of Management

Amherst, MA 01003-4910

United States

SCHOLARLY PAPERS

22

DOWNLOADS
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Top 7,531

in Total Papers Downloads

6,272

SSRN CITATIONS
Rank 7,378

SSRN RANKINGS

Top 7,378

in Total Papers Citations

104

CROSSREF CITATIONS

42

Scholarly Papers (22)

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 1,671 (10,457)
Citation 16

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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 - Robert Emmett McDonough School of Business, Fordham University and University of Massachusetts Amherst - Isenberg School of Management
Downloads 704 (37,588)
Citation 2

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

3.

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 491 (60,050)
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 285 (111,936)
Citation 20

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 115 (254,132)
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 63 (370,610)
Citation 1

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Pricing kernel, volatility risk, risk aversion, skewness preference

5.

The Conditional Expected Market Return

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 110 Posted: 11 Sep 2017 Last Revised: 10 Jul 2019
Fousseni Chabi-Yo and Johnathan Loudis
University of Massachusetts Amherst - Isenberg School of Management and University of Notre Dame - Mendoza College of Business
Downloads 439 (68,860)
Citation 4

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Equity Risk Premium, Risk Neutral Moments, Preferences

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 216 (148,458)

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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 166 (189,036)

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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 - Robert Emmett McDonough School of Business, Fordham University and University of Massachusetts Amherst - Isenberg School of Management
Downloads 194 (164,397)
Citation 4

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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 - Robert Emmett McDonough School of Business, Fordham University and University of Massachusetts Amherst - Isenberg School of Management
Downloads 167 (188,032)
Citation 2

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

8.

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 266 (120,966)
Citation 5

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

9.

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 249 (129,623)
Citation 2

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

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
Fox School of Business and University of Massachusetts Amherst - Isenberg School of Management
Downloads 149 (207,375)
Citation 14

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

11.

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, Fousseni Chabi-Yo and Xiaohui Gao Bakshi
Fox School of Business, University of Massachusetts Amherst - Isenberg School of Management and Fox School of Business, Temple University
Downloads 171 (184,153)
Citation 18

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recovery theorem

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 162 (192,812)
Citation 1

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Risk-Neutral Distribution, Option Returns

13.

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
Fox School of Business and University of Massachusetts Amherst - Isenberg School of Management
Downloads 150 (205,834)
Citation 4

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

14.

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 146 (210,506)

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

15.

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
Downloads 143 (214,022)

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commodity returns; entropy; options; risk premium

16.

Multivariate Crash Risk

Number of pages: 81 Posted: 04 Jun 2018 Last Revised: 14 Aug 2019
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 118 (248,320)
Citation 1

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

17.

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
Fox School of Business, University of Massachusetts Amherst - Isenberg School of Management and Fox School of Business, Temple University
Downloads 115 (252,921)
Citation 2

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

18.

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 51 (404,249)

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

19.

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

Number of pages: 66 Posted: 07 Feb 2020 Last Revised: 17 Mar 2020
Fousseni Chabi-Yo and Yan Liu
University of Massachusetts Amherst - Isenberg School of Management and Purdue University
Downloads 30 (490,831)

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

20.

Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks

Number of pages: 64
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 11

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Recovery, market spanning, expected returns, higher-order moments, option-implied, FOMC sensitivity index, random forest

21.

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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22.

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

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G12, G13