Details about M. Fabricio Perez

Access statistics for papers by M. Fabricio Perez.

Last updated 2022-05-11. Update your information in the RePEc Author Service.

Short-id: ppe254

Working Papers

2007

1. GMM Estimation of the Number of Latent Factors
   MPRA Paper, University Library of Munich, Germany View citations (3)

Journal Articles

2022

1. Pricing dynamics in the market for catastrophe bonds
   The Geneva Papers on Risk and Insurance - Issues and Practice, 2022, 47, (1), 172-202 View citations (3)
2. Value creation and value destruction in investor-state dispute arbitration
   Journal of Multinational Financial Management, 2022, 63, (C)

2021

3. Follow the leader: Index tracking with factor models
   Journal of Empirical Finance, 2021, 64, (C), 337-350
4. The evolution of pay premiums for managerial attributes
   Journal of Corporate Finance, 2021, 69, (C)

2019

5. Estimation of Multivariate Asset Models with Jumps
   Journal of Financial and Quantitative Analysis, 2019, 54, (5), 2053-2083 View citations (9)
6. National levels of corruption and foreign direct investment
   Journal of Comparative Economics, 2019, 47, (1), 31-49 View citations (29)

2018

7. Is there a missing factor? A canonical correlation approach to factor models
   Review of Financial Economics, 2018, 36, (4), 321-347

2017

8. Catering Through Nominal Share Prices Revisited
   Critical Finance Review, 2017, 7, (1), 43-75 View citations (1)

2015

9. Diversification through Catastrophe Bonds: Lessons from the Subprime Financial Crisis
   The Geneva Papers on Risk and Insurance - Issues and Practice, 2015, 40, (1), 1-28 View citations (21)
10. Factor models for binary financial data
    Journal of Banking & Finance, 2015, 61, (S2), S177-S188 View citations (2)

2013

11. Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads
    Journal of Banking & Finance, 2013, 37, (8), 2969-2990 View citations (8)
12. Two-pass estimation of risk premiums with multicollinear and near-invariant betas
    Journal of Empirical Finance, 2013, 20, (C), 1-17 View citations (4)

2012

13. Illicit money flows as motives for FDI
    Journal of Comparative Economics, 2012, 40, (1), 108-126 View citations (35)
14. Robust Two-Pass Cross-Sectional Regressions: A Minimum Distance Approach
    Journal of Financial Econometrics, 2012, 10, (4), 669-701 View citations (3)
15. The Effect of Home-country and Host-country Corruption on Foreign Direct Investment
    Review of Development Economics, 2012, 16, (4), 640-663 View citations (28)

2010

16. Corrigendum to "GMM estimation of the number of latent factors: With application to international stock markets" [J Empir Financ. 17 (2010) 783-802]
    Journal of Empirical Finance, 2010, 17, (5), 1006-1006 View citations (3)
17. GMM estimation of the number of latent factors: With application to international stock markets
    Journal of Empirical Finance, 2010, 17, (4), 783-802 View citations (5)