Fousseni D. Chabi Yo
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
- Higher Moments Premium
- Financial Econometrics
- 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
FIN 4221 - Investments
Skills for valuation and theories and applications of CAPM, APT, and efficient markets; investment options, forwards and futures, interest rate parity, and relevant market regulation.
FIN 7220 -
Advanced skills needed for securities valuation, theories and applications related to the CAPM, APT, and efficient markets.
- "Aggregation of Preferences for Skewed Asset Returns"
June 2014 (with Dietmar Leisen and Eric Renault). Forthcoming, The Journal of Economic Theory
- "Variance bounds on the permanent and transitory components of stochastic discount factors"
(with Gurdip Bakshi), Journal of Financial Economics (July 2012), Vol. 105, (Issue 1), 191–208.
- "Pricing Kernels with Stochastic Skewness and Volatility Risk"
Management Science (March 2012), Vol. 58, (Issue 3), 624-640. Online Appendix
- "A Generalized Measure of Riskiness" (with Turan Bali and Nusret Cakici),"
Management Science (August 2011), Vol. 57 (Issue 8), 1406–1423.
- "Explaining the Idiosyncratic Volatility Puzzle using Stochastic Discount Factors."
Journal of Banking and Finance (August 2011), Vol. 35 (Issue 8), 1971-1983.
- "Conditioning Information and Variance Bound on Pricing Kernels with Higher-Order Moments: Theory and Evidence"
The Review of Financial Studies (2008), Vol. 21 (Issue 1), 181-231.
- "State Dependence Can Explain Risk-Aversion Puzzle"
(with René Garcia, and Eric Renault) The Review of Financial Studies (2008), Vol. 21 (Issue 2), 973-1011.