Research

    Publications:

  • Catering through nominal share prices revisited, with Andriy Shkilko,2017, Critical Finance ReviewVol. 6: No. 1, pp 43-75. 
  • Factor Models for Binary Financial Data, with Andriy Shkilko and Konstantin Sokolov, 2015, Journal of Banking and Finance, 61, S177-S188.
  • Diversification through CAT bonds: lessons from the subprime financial crisis, with Peter Carayannopoulos, 2015, The Geneva Papers on Risk and Insurance, 40(1), 1-28 (lead article).
  • Dynamic effects of idiosyncratic volatility and liquidity in corporate bond spreads, with Madhu Kalimipalli and Subhankar Nayak, 2013, Journal of Banking and Finance, 37(8), 2969-2990.
  • Two-Pass estimation of risk premiums with multicollinear and near-invariant betas, with Seung C. Ahn, and Christopher Gadarowski, 2013, Journal of Empirical Finance, 20(1), 1-17 (lead article).
  • Robust Two-Pass Cross-Sectional Regression: A Minimum Distance Approach, with Seung C. Ahn, and Christopher Gadarowski, 2012, Journal of Financial Econometrics, 10(4), 669-701.
  • Illicit money flows as motives for FDI, with Josef C. Brada and Zdenek Drabek, 2012, Journal of Comparative Economics, 40(1), 108-126. Winner of the Montias Prize for the best paper published in the Journal of Comparative Economics 2012-2014.
  • The Effect of Home-country and Host-country Corruption on Foreign Direct Investment, with Josef C. Brada and Zdenek Drabek. 2012, Review of Development Economics, 16(4),640-663.
  • GMM estimation of the number of latent factors: With Application to International Stock Markets, with Seung C. Ahn. 2010, Journal of Empirical Finance, 17(4), 783-802.

    Working Papers:

-    Executive Compensation and Market Valuation of Managerial Attributes, with Si Li. 

-    Micro-foundations of the Role of Corruption in Foreign Direct Investment, with J. Brada, Z. Drabek and J. Mendez. 

-   Exploring the Common Factors in the Term Structure of Credit Spreads: The Use of Canonical Correlations, with Seung Ahn and Stephan Dieckmann.

-    Signalling via stock splits: Evidence from short interest, with Andriy Shkilko and Ning Tang.


Work in Progress

-        Factor Model Estimation of information shares, with Andriy Shkilko and Konstantin Sokolov

-        Risk aversion and the financial crisis, with Peter Carayannopoulos and Olga Kanj

-        Linear Estimation of the Number of Latent Factors.

-        Heteroskedastic corrected Heckman Selection model, with Seung Ahn.

             -    IPO pricing and wealth allocation, with Andriy Shkilko and Ning Tang.
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Fabricio Perez,
Mar 31, 2017, 12:18 AM
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Fabricio Perez,
Nov 30, 2016, 3:20 AM
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Fabricio Perez,
Nov 30, 2016, 3:11 AM
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FDI.pdf
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Fabricio Perez,
Nov 30, 2016, 3:18 AM
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splits.pdf
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Fabricio Perez,
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