Research

Publications:

Finance Journals

  • Estimation of Multivariate Asset Models with Jumps, with Angela Loregian, Laura Ballotta, and Gianluca Fusai. Forthcoming at Journal of Financial and Quantitative Analysis.
  • 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.
  • 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.
  • 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 with Seung Ahn and Stephan Dieckmann. Forthcoming at Review of Financial Economics.

Economics Journals

National Levels of Corruption and Foreign Direct Investment, with J. Brada, Z. Drabek and J. Mendez. Forthcoming at Journal of Comparative Economics.

  • 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.

Working Papers:

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

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

- Pricing dynamics in the market for Catastrophe Bonds, with Peter Carayannopoulos and Olga Kanj

Work in Progress

- Price Discovery and market fragmentation, with Andriy Shkilko and Diego Amaya

- 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

- Board Diversity in Insurance markets, Olga Kanj and Mary Kelly

- Index tracking by factor models with Pan Jiang

In the news

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