M. Fabricio Perez

Wilfrid Laurier University - School of Business & Economics

Associate Professor

Waterloo, Ontario N2L 3C5

Canada

http://www.public.asu.edu/~mfperez/

SCHOLARLY PAPERS

16

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SSRN CITATIONS
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9

CROSSREF CITATIONS

17

Scholarly Papers (16)

Two-Pass Cross-Sectional Regression of Factor Pricing Models: A Minimum Distance Approach

Number of pages: 48 Posted: 06 Dec 2009 Last Revised: 17 Apr 2011
Seung C. Ahn, Christopher Gadarowski and M. Fabricio Perez
Arizona State University (ASU) - Economics Department, Rowan University - Accounting & Finance and Wilfrid Laurier University - School of Business & Economics
Downloads 159 (339,157)

Abstract:

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two pass, Fama Macbeth, risk prices, autocorrelation

2.

Exploring Common Factors in the Term Structure of Credit Spreads: The Use of Canonical Correlations

Number of pages: 49 Posted: 08 May 2007 Last Revised: 31 Aug 2012
Seung C. Ahn, Stephan Dieckmann and M. Fabricio Perez
Arizona State University (ASU) - Economics Department, University of Pennsylvania - Finance Department and Wilfrid Laurier University - School of Business & Economics
Downloads 348 (159,241)
Citation 2

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Factor Analysis, Credit Risk, Common Factors, Canonical Correlations

3.

Estimation of Multivariate Asset Models with Jumps

Number of pages: 33 Posted: 21 Apr 2015 Last Revised: 21 Sep 2018
affiliation not provided to SSRN, Bayes Business School (formerly Cass) - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Wilfrid Laurier University - School of Business & Economics
Downloads 262 (214,133)
Citation 2

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Multivariate Lévy models, Jump models, Factor models, Principal Components, Maximum Likelihood, EM algorithm, Intra-horizon Value at Risk

4.

Follow the Leader: Index Tracking with Factor Models

Number of pages: 28 Posted: 24 Jun 2019 Last Revised: 06 Nov 2020
Pan Jiang and M. Fabricio Perez
Wilfrid Laurier University - Department of Business and Wilfrid Laurier University - School of Business & Economics
Downloads 259 (217,454)

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Systematic risk; Index tracking; Passive fund Management; Factor models

How do the Labor Market Values of Managerial Traits Evolve?

Number of pages: 56 Posted: 11 Jan 2015 Last Revised: 26 Jul 2018
Si Li and M. Fabricio Perez
Wilfrid Laurier University - School of Business & Economics and Wilfrid Laurier University - School of Business & Economics
Downloads 171 (318,393)

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Executive compensation, CEO pay, managerial ability, human capital, fixed effects, manager fixed effects, interactive fixed effects, factor models

How Do the Labor Market Values of Managerial Traits Evolve?

Number of pages: 56 Posted: 03 Aug 2018
Si Li and M. Fabricio Perez
Wilfrid Laurier University - School of Business & Economics and Wilfrid Laurier University - School of Business & Economics
Downloads 58 (671,648)

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Executive Compensation, CEO Pay, Managerial Ability, Human Capital, Fixed Effects, Manager Fixed Effects, Interactive Fixed Effects, Factor Models

6.

Pricing Dynamics in the Market for Catastrophe Bonds

Number of pages: 56 Posted: 29 Jan 2018 Last Revised: 19 Feb 2018
Peter Carayannopoulos, Olga Kanj and M. Fabricio Perez
Wilfrid Laurier University - School of Business & Economics, Wilfrid Laurier University - School of Business & Economics and Wilfrid Laurier University - School of Business & Economics
Downloads 227 (246,359)
Citation 2

Abstract:

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Cat Bonds, Insurance, Habit, Catastrophe

7.

Diversification Through Catastrophe Bonds: Lessons from the Subprime Financial Crisis

Carayannopoulos, Peter, and M. Fabricio Perez. "Diversification through Catastrophe Bonds: Lessons from the Subprime Financial Crisis." The Geneva Papers on Risk and Insurance-Issues and Practice 40.1 (2015): 1-28.
Number of pages: 50 Posted: 29 Jun 2014 Last Revised: 20 Jan 2015
M. Fabricio Perez and Peter Carayannopoulos
Wilfrid Laurier University - School of Business & Economics and Wilfrid Laurier University - School of Business & Economics
Downloads 200 (277,026)

Abstract:

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Catastrophe Bonds, Financial Crisis, GARCH, Diversification

8.

GMM Estimation of the Number of Latent Factors: With Application to International Stock Markets

Journal of Empirical Finance, Vol. 17, No. 4, 2010
Number of pages: 44 Posted: 21 May 2007 Last Revised: 14 Apr 2011
Seung C. Ahn and M. Fabricio Perez
Arizona State University (ASU) - Economics Department and Wilfrid Laurier University - School of Business & Economics
Downloads 177 (310,608)

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Factor Model, Number of Factors, GMM, Panel Data, Asset Pricing, International Asset Pricing

9.

A Model of Corruption and Foreign Direct Investment a la John Dunning

Number of pages: 46 Posted: 22 Mar 2017
Josef C. Brada, Zdenek Drabek, José A. Mendez and M. Fabricio Perez
Arizona State University (ASU) - Economics Department, World Trade Organization (WTO), Arizona State University and Wilfrid Laurier University - School of Business & Economics
Downloads 173 (315,403)
Citation 1

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Corruption, Foreign Directing Investment, competitive advantage

10.

Risk Premium Estimation with Multicollinear and Invariant Betas by the Two-Pass Cross-Sectional Regressions

Number of pages: 34 Posted: 19 Mar 2010 Last Revised: 17 Apr 2011
Seung C. Ahn, Christopher Gadarowski and M. Fabricio Perez
Arizona State University (ASU) - Economics Department, Rowan University - Accounting & Finance and Wilfrid Laurier University - School of Business & Economics
Downloads 98 (489,656)
Citation 4

Abstract:

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Two-Pass, risk prices, betas, beta rank

11.

Catering Through Nominal Share Prices Revisited

Critical Finance Review, 2017
Number of pages: 37 Posted: 27 Feb 2018
M. Fabricio Perez and Andriy Shkilko
Wilfrid Laurier University - School of Business & Economics and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 74 (580,905)

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Stock splits, Nominal share price, Catering

12.

Factor Models for Binary Financial Data

Number of pages: 45 Posted: 30 Jan 2018
M. Fabricio Perez, Andriy Shkilko and Konstantin Sokolov
Wilfrid Laurier University - School of Business & Economics, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 73 (585,302)

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Factor Analysis, Discrete Data; Principal Components; Stock Splits; Catering; Commonality; Common Factors

13.

Price Discovery in Option Markets: Evidence from S&P 500 Index Options

Number of pages: 59 Posted: 30 Oct 2023 Last Revised: 27 Nov 2023
Diego Amaya and M. Fabricio Perez
Wilfrid Laurier University and Wilfrid Laurier University - School of Business & Economics
Downloads 60 (648,299)

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Price discovery, Index option, Information Share, Market Completeness, Market Efficiency

14.

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

Number of pages: 43 Posted: 25 Apr 2023
Josef C. Brada, Zdenek Drabek and M. Fabricio Perez
Arizona State University (ASU) - Economics Department, World Trade Organization (WTO) and Wilfrid Laurier University - School of Business & Economics
Downloads 42 (757,703)

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Foreign Direct Investment, Corruption, Multinational Corporation, FDI

15.

Dynamic Effects of Idiosyncratic Volatility and Liquidity on Corporate Bond Spreads

Journal of Banking and Finance, Forthcoming
Posted: 01 Aug 2011 Last Revised: 04 Jun 2013
Madhu Kalimipalli, Subhankar Nayak and M. Fabricio Perez
Lazaridis School of Business and Economics, Wilfrid Laurier University, Wilfrid Laurier University - Financial Services Research Centre and Wilfrid Laurier University - School of Business & Economics

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bond liquidity, equity volatility, illiquid markets, corporate bond spreads, dynamic relationships

16.

Illicit Money Flows as Motives for FDI

Journal of Comparative Economics, Forthcoming
Posted: 06 Dec 2009 Last Revised: 28 Jun 2014
M. Fabricio Perez, Josef C. Brada and Zdenek Drabek
Wilfrid Laurier University - School of Business & Economics, Arizona State University (ASU) - Economics Department and World Trade Organization (WTO)

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foreign direct investment, capital flight, money laundering