Research
Publications:
Finance Journals
Follow the leader: Index tracking with factor models, with Pan Jiang, forthcoming Journal of Empirical Finance
The evolution of pay premiums for managerial attributes, with Si Li, 2021, Journal of Corporate Finance, 69.
Estimation of Multivariate Asset Models with Jumps, with Angela Loregian, Laura Ballotta, and Gianluca Fusai, 2019, Journal of Financial and Quantitative Analysis, 54(5),2053-2083.
Catering through nominal share prices revisited with Andriy Shkilko, 2017, Critical Finance Review, 6(1), 43-75.
Factor Models for Binary Financial Data, with Andriy Shkilko and Konstantin Sokolov, 2015, Journal of Banking and Finance, 61, S177-S188.
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.
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.
Is there a missing factor? A Canonical Correlation approach to factor models, 2018 with Seung Ahn and Stephan Dieckmann. Review of Financial Economics, 16(4),640-663 . Selected as top 20 most read paper in the Journal 2017-2018.
Economics Journals
National Levels of Corruption and Foreign Direct Investment, 2019, with J. Brada, Z. Drabek and J. Mendez. Journal of Comparative Economics, 47(1), 31-49.
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.
Insurance Journals
Pricing dynamics in the market for Catastrophe Bonds, The Geneva Papers on Risk and Insurance, forthcoming , with Peter Carayannopoulos and Olga Kanj
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). Selected for the 2015 Journal 40 years of GPP: Anniversary Collection
Political Science Journals
Spillover Effects of Parity Laws: The Case of Ecuador Women Mayors, with Santiago Basabe, forthcoming Latin American Policy
Working Papers:
- Signaling via stock splits: Evidence from short interest, with Andriy Shkilko and Ning Tang.
- Board Diversity in Insurance markets, Olga Kanj and Mary Kelly
- The Ripple effect in stock markets, with Andriy Shkilko and Diego Amaya
- Price discovery in option markets, with Pan Jiang and Diego Amaya
Work in Progress
- Estimation of the number of factors for small panels, with Seung Ahn
- Economic impact of investment disputes, with Zdenek Drabek and Josef Brada
- The effects of Cat Bonds in the Insurance market, with Olga Kanj