M. Fabricio Perez

Finance

Signaling via Stock Splits: Evidence from Short Interest

Short interest permanently declines after split announcements, consistent with firms using splits to relay positive, value-relevant signals that sophisticated investors act on.

Journal of Banking and Finance 172 (2025). · with A. Shkilko, N. Tang & P. van Ness

Follow the Leader: Index Tracking with Factor Models

Uses factor models to identify the compact set of stocks that best captures an index's systematic risk, enabling efficient index replication.

Journal of Empirical Finance 64 (2021): 337–359. · with P. Jiang

The Evolution of Pay Premiums for Managerial Attributes

Talent and conservatism explain executive pay over time, with the market premium for talent rising in bull markets and conservatism valued more after high-risk periods.

Journal of Corporate Finance 69 (2021). · with S. Li

Estimation of Multivariate Asset Models with Jumps

Introduces a tractable framework to estimate multivariate asset-price models with jumps and dependence, with applications to pricing and risk.

Journal of Financial and Quantitative Analysis 54(5) (2019): 2053–2083. · with L. Ballotta, A. Loregian & G. Fusai

Catering Through Nominal Share Prices Revisited

Re-examines the catering theory of nominal share prices and finds limited support once other firm characteristics are taken into account.

Critical Finance Review 6(1) (2017): 43–75. · with A. Shkilko

Factor Models for Binary Financial Data

Develops factor models tailored to binary financial outcomes, improving estimation relative to standard linear factor approaches.

Journal of Banking and Finance 61 (2015): S177–S188. · with A. Shkilko & K. Sokolov

Two-Pass Estimation of Risk Premiums with Multicollinear and Near-Invariant Betas

Shows how multicollinear, near-constant betas distort two-pass risk-premium estimates, and proposes a correction.

Journal of Empirical Finance 20(1) (2013): 1–17. · with S. C. Ahn & C. Gadarowski

Dynamic Effects of Idiosyncratic Volatility and Liquidity in Corporate Bond Spreads

Idiosyncratic volatility and liquidity jointly and dynamically drive corporate bond spreads.

Journal of Banking and Finance 37(8) (2013): 2969–2990. · with M. Kalimipalli & S. Nayak

Robust Two-Pass Cross-Sectional Regressions: A Minimum Distance Approach

A minimum-distance estimator that makes two-pass cross-sectional asset-pricing tests more robust and efficient.

Journal of Financial Econometrics 10(4) (2012): 669–701. · with S. C. Ahn & C. Gadarowski

International economics

Value Creation and Value Destruction in Investor-State Dispute Arbitration

Firms gain market value both when filing investor-state arbitration and when receiving an award, with gains often exceeding the monetary award itself.

Journal of Multinational Financial Management 63 (2022): 100728. · with J. C. Brada, C. Chen, J. Jia & A. M. Kutan

National Levels of Corruption and Foreign Direct Investment

Home- and host-country corruption jointly shape both the level and the direction of foreign direct investment.

Journal of Comparative Economics 47(1) (2019): 31–49. · with J. C. Brada, Z. Drabek & J. Mendez

Is There a Missing Factor? A Canonical Correlation Approach to Factor Models

A canonical-correlation method tests for and detects factors omitted from standard asset-pricing models.

Review of Financial Economics 36(4) (2018): 321–347. · with S. C. Ahn & S. Dieckmann

Illicit Money Flows as Motives for FDI

A share of foreign direct investment is motivated by the desire to move illicit money across borders rather than by real economic returns.

Journal of Comparative Economics 40(1) (2012): 108–126. Montias Prize · with J. C. Brada & Z. Drabek

The Effect of Home-Country and Host-Country Corruption on Foreign Direct Investment

Corruption in both the origin and the destination country shapes bilateral FDI flows, sometimes in offsetting ways.

Review of Development Economics 16(4) (2012): 640–663. · with J. C. Brada & Z. Drabek

Regional Integration in the NAFTA Area: The Case of Northeast Mexico

A book-length analysis of regional economic integration under NAFTA, with a focus on Northeast Mexico.

Pearson Education (2015). Book · with E. Ayala, J. Chapa, G. Genna & M. Treviño

Insurance

Board Diversity and Risk-Taking

Ethnically diverse insurer boards adopt less risky strategies without sacrificing performance, driven by diversity in directors' uncertainty avoidance.

Journal of Insurance Issues 47(1) (2024): 35–77. · with M. Kelly & O. Kanj

Pricing Dynamics in the Market for Catastrophe Bonds

Documents how catastrophe-bond prices and risk premiums evolve with market conditions and underlying risk.

The Geneva Papers on Risk and Insurance 47(1) (2020): 172–202. · with P. Carayannopoulos & O. Kanj

Diversification Through CAT Bonds: Lessons from the Subprime Financial Crisis

Catastrophe bonds provided genuine diversification benefits that held up through the subprime financial crisis.

The Geneva Papers on Risk and Insurance 40(1) (2015): 1–28. · with P. Carayannopoulos

Political science

Spillover Effects of Quota or Parity Laws: The Case of Ecuador Women Mayors

Gender-parity legislation roughly doubles the probability that a woman is elected mayor, spilling over from proportional to single-seat races.

Latin American Policy 13(1) (2022): 82–103. · with S. Basabe-Serrano

• Price Discovery in Option Panels: Evidence from S&P 500 Index Options R&R · JBF
  With Diego Amaya. A daily measure of each contract's contribution to price discovery shows informed traders favor short-term, at-the-money puts, and increasingly weekly options.
• Price Discovery in the Cross Section: Leaders and Followers
  With S. Dehghanpour & D. Amaya. A model and empirical test of which stocks lead and which follow as information disseminates under high-frequency trading.
• When Voters Can Do the Math: Financial Literacy and Clientelism
  With S. Basabe-Serrano and P. Freire. Across 26 democracies, electorates with higher financial literacy have substantially less clientelistic governing parties.
• Exchange-Rate Responses to “Liberation Day” Draft
  With J. C. Brada. An event study of 139 currencies around the April 2025 U.S. tariff announcement finds the dollar fell against most currencies.
• Beyond Adoption: AI Intensity in Emerging-Economy SMEs Submitted
  With P. Freire. A new AI adoption-intensity index built from a survey of 500+ SMEs, combining tool diversity, functional breadth, duration, and governance.
• IPO Wealth Allocation Under revision
  With Ning Tang. How IPO wealth is split between issuers and subscribers.
• Linear Estimation of the Number of Latent Factors In progress
  Improved estimation of the number of latent factors in large financial panels; to be presented at the 2026 Econometric Society meeting.
• Heteroskedastic-Corrected Heckman Selection Model In progress
  With S. Ahn. Extending the Heckman correction to settings with heteroskedasticity.

• SSHRC Insight Grant“Price discovery in the option market” · co-investigator, with D. Amaya$105,430 · 2022–25
• SSHRC Insight Grant“Price Discovery in Fragmented Markets” · PI, with A. Shkilko$129,800 · 2017–24
• SSHRC Insight Development GrantManagerial attributes & executive compensation · PI, with S. Li$47,500 · 2012–14
• Arthur Wesley Downe Finance Professorship2015–25

• Vice Dean, Lazaridis School of Business & EconomicsHelps lead a school of 6,000+ students, 150+ faculty and three campuses; shared oversight of an $80M budget, AACSB accreditation, quality assurance and academic planning.2025–present
• Finance Area ChairHiring, mentoring, and program and curriculum renewal.2021–2024
• Coordinator, Ph.D. in Financial Economics2014–2019
• Director, Financial Services Research CentreFostering research and industry collaboration.2014–2020

• Board of Governors & Senate, Wilfrid Laurier UniversityInstitutional strategy, risk management and policy review.2023–2024

On the Board of Governors he served on the Finance, Investments & Property Committee (operating budgets, capital projects and financial policies), the Investment Oversight Sub-Committee (endowment management and risk governance), and the Governance Committee (board renewal, nominations and policy).

• Treasurer & Board Member, Waterloo United Soccer ClubLed a financial turnaround of one of Ontario's largest sports clubs, from two years of operating losses to a balanced budget, strengthening oversight, sponsorships and long-term planning.2019–present
• Internal Auditor, Government of Pichincha Province, Ecuador1996–2002

An academic genealogy traces the chain of doctoral advisors, who mentored whom, back through the centuries. Following the Mathematics Genealogy Project, Fabricio's scholarly lineage runs from his Ph.D. advisor, Seung Chan Ahn, back through the Nobel laureate Kenneth Arrow and the statistician Harold Hotelling, into a line of mathematicians that includes Poisson, Laplace, Lagrange, Leonhard Euler and the Bernoullis, and further still, past Nicolaus Copernicus and Erasmus of Rotterdam, to the Persian and Byzantine scholars Omar Khayyám and Avicenna. All told, it reaches back nearly a thousand years.

1. 
   Avicenna (Ibn Sīnā)

   Persian polymath and physician
   c. 1015
2. 
   Erasmus of Rotterdam

   Renaissance humanist
   1497
3. 
   Nicolaus Copernicus

   Astronomer
   1499
4. 
   Johann Bernoulli

   Mathematician
   1694
5. 
   Leonhard Euler

   Mathematician
   1726
6. 
   Joseph-Louis Lagrange

   Mathematician
   1754
7. 
   Pierre-Simon Laplace

   Mathematician and astronomer
   1769
8. 
   Siméon Denis Poisson

   Mathematician and physicist
   1800
9. HH
   Harold Hotelling

   Statistician and economist
   1924
10. KA
    Kenneth J. Arrow

    Economist · Nobel laureate
    1951
11. JK
    Jan Kmenta

    Econometrician
    1964
12. PS
    Peter Schmidt

    Econometrician
    1970
13. SA
    Seung Chan Ahn

    Econometrician · Ph.D. advisor
    1990
14. 
    M. Fabricio Perez

    Finance and financial econometrics
    2008

Lineage from the Mathematics Genealogy Project (North Dakota State University and the American Mathematical Society). Portraits are in the public domain.

Presentations, talks, and readings will be added here.