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 2,073 (13,315)

Citation 25

Abstract:

2.

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, George Washington University and Frankfurt School of Finance & Management

Downloads 935 (43,651)

Citation 1

Abstract:

3.

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 764 (57,440)

Citation 2

Abstract:

4.

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 758 (58,154)

Citation 1

Abstract:

5.

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 722 (61,966)

Citation 11

Abstract:

6.

Pricing Kernels with Stochastic Skewness and Volatility Risk

Downloads 600 (78,385)

Citation 43

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 372 (137,620)

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 146 (340,680)

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 82 (515,633)

Citation 2

Abstract:

7.

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 592 (79,691)

Citation 14

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 St. Gallen and University of Neuchatel - Institute of Financial Analysis

Downloads 552 (86,949)

Citation 4

Abstract:

9.

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

Number of pages: 209 Posted: 01 Dec 2020 Last Revised: 26 Jun 2023

Fousseni Chabi-Yo and Johnathan Loudis

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

Downloads 508 (96,421)

Citation 2

Abstract:

10.

Default Risk, Idiosyncratic Coskewness and Equity Returns

Downloads 506 (96,884)

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 254 (206,019)

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 252 (207,612)

Citation 2

Abstract:

11.

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

Downloads 432 (117,262)

Citation 7

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 - McDonough School of Business, Fordham university and University of Massachusetts Amherst - Isenberg School of Management

Downloads 232 (226,224)

Citation 6

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 - McDonough School of Business, Fordham university and University of Massachusetts Amherst - Isenberg School of Management

Downloads 200 (258,938)

Citation 1

Abstract:

12.

An Intertemporal Risk Factor Model

Number of pages: 159 Posted: 01 Sep 2020 Last Revised: 23 Jan 2023

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 430 (117,580)

Citation 1

Abstract:

13.

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 385 (133,922)

Citation 1

Abstract:

14.

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 348 (149,636)

Citation 3

Abstract:

15.

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

Number of pages: 63 Posted: 14 Jun 2022 Last Revised: 28 Nov 2022

Fousseni Chabi-Yo and Hugues Langlois

University of Massachusetts Amherst - Isenberg School of Management and HEC Paris - Finance Department

Downloads 345 (151,079)

Abstract:

16.

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 307 (170,520)

Citation 5

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 277 (189,638)

Abstract:

18.

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 273 (193,261)

Abstract:

19.

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 249 (210,952)

Citation 23

Abstract:

20.

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 246 (214,287)

Abstract:

21.

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

Downloads 184 (218,622)

Citation 16

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 184 (279,172)

Citation 17

Abstract:

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 194 (266,662)

Citation 6

Abstract:

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 167 (303,999)

Abstract:

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 151 (332,702)

Citation 2

Abstract:

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 146 (341,919)

Abstract:

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

Abstract:

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

Fousseni Chabi-Yo

University of Massachusetts Amherst - Isenberg School of Management

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Scholarly Papers (27)

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