Publications:
Finance:
Follow the leader: Index tracking with factor models, with Pan Jiang, 2021, Journal of Empirical Finance, 64, 337-359.
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.
Economics
Value creation and value destruction in investor-state dispute arbitration, 2022, with JC Brada, C Chen, J Jia, AM Kutan. Journal of Multinational Financial Management 63, 100728.
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.
Is there a missing factor? A Canonical Correlation approach to factor models, 2018, with Seung Ahn and Stephan Dieckmann. Review of Financial Economics, 36(4), 321-347. Selected as top 20 most read paper in the Journal 2017-2018
Insurance
Board Ethnic Diversity and Risk in Insurance Companies, 2024, with Mary Kelly and Olga Kanj, Journal of Insurance Issues, 47(1), pp. 35-77
Pricing Dynamics in the market for Catastrophe Bonds, 2020, with Peter Carayannopoulos and Olga Kanj, The Geneva Papers on Risk and Insurance-Issues and Practice (2020): 1-31.
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
Spillover effects of quota or parity laws: The case of Ecuador women mayors, 2022, with S. Basabe‐Serrano. Latin American Policy, 13(1), 82-103.
Books
Regional Integration in the North American Free Trade Agreement (NAFTA) area, the case of Northeast Mexico, with J. Chapa, M. Treviño, E. Ayala and G. Genna. Pearson Education, Mexico 2015.
Working papers
Signaling via stock splits: Evidence from short interest, with Andriy Shkilko, Ning Tang and Paulan van Ness, status: being revised to be resubmitted at the request of the Journal of Banking and Finance (submitted for third round revision)
Price discovery in Option Markets, with Diego Amaya,
Price Discovery in the Cross Section: Leaders and Followers, with Andriy Shkilko and Diego Amaya,
Work in Progress:
IPO pricing and wealth allocation, with Andriy Shkilko and Ning Tang.
Linear Estimation of the Number of Latent Factors.
Heteroskedastic corrected Heckman Selection model, with Seung Ahn.