Fousseni D. Chabi-Yo, assistant professor of finance, holds a PhD in economics from the Université de Montréal. He joins Fisher after serving as a research economist at the Bank of Canada since 2004.

Chabi-Yo’s research interests include theoretical and empirical asset pricing, heterogeneous investors in the financial market, derivatives, higher moments premium and financial econometrics. He has recently had articles published in the Journal of Financial Economics, Review of Financial Studies, Management Science, and the Journal of Banking and Finance.

Areas of Expertise

• Theoretical ad Empirical Asset Pricing
• Heterogeneous Investors
• Derivatives
• Higher Moments Premium
• Financial Econometrics

Education

• PhD in Economics, Université de Montréal
• MS in Applied Economics and Statistics, Ecole Nationale d'Economie Appliqueé, Dakar, Senegal
• MS in Applied Mathematics, Université Cheick Anta Diop, Dakar, Senegal
• BS in Mathematics, Université Cheick Anta Diop, Dakar, Senegal

Finance 722 - Investment Management

This course surveys the fundamental fields of the legal environment of business with a goal of helping you become an executive who is knowledgeable of the legal context in which the business organization operates. An important objective of this course is to help you develop a deeper attitude for the social responsibilities of business. Another goal is to improve your problem solving skills, analytical skills, and communication skills that are needed by business executives

• "Variance bounds on the permanent and transitory components of stochastic discount factors" (with Gurdip Bakshi), Journal of Financial Economics, Vol. 105, No. 1, July 2012, pp. 191–208.
• "Pricing Kernels with Stochastic Skewness and Volatility Risk" Management Science, March 2012, Vol. 58, No. 3, pp. 624-640. Online Appendix
• "A Generalized Measure of Riskiness" (with Turan Bali and Nusret Cakici),"  Management Science, Vol. 57, No. 8, August 2011, pp. 1406–1423.
• "Explaining the Idiosyncratic Volatility Puzzle using Stochastic Discount Factors."  Journal of Banking and Finance, 2011, vol. 35, 1971-1983.
• "Conditioning Information and Variance Bound on Pricing Kernels with Higher-Order Moments: Theory and Evidence"The Review of Financial Studies, 2008, 21 (1): 181-231.
• "State Dependence Can Explain Risk-Aversion Puzzle" (with René Garcia, and Eric Renault) The Review of Financial Studies, 2008, 21 (2): 973-1011.

• "Does Option Market Reveal Stock Market's Riskiness?" December 2011 (with Turan Bali and Nusret Cakici).
• "Does Aggregate Riskiness Predict Future Economic Downturns?" September 2011 (with Turan Bali and Nusret Cakici).
• "Riskier Times and Asset Returns," September 2011 (with Gurdip Bakshi and Xiaohui Gao). "Riskiness Measures and Expected Returns", April 2011 (with Turan Bali and Nusret Cakici).
• "On the Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk" (with Eric Ghysels and Eric Renault). Bank of Canada Working Paper No. 2008-16
• "Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing" (with Dietmar Leisen and Eric Renault). Bank of Canada Working Paper No. 2007-47.  
• "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Ex-change Rate" (with Jun Yang ) Bank of Canada Working Paper No. 2007-21.
• "The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments," (with René Garcia, and Eric Renault), Bank of Canada Working Paper No. 2005-2.