Waterloo, Ontario N2L 3C5
Canada
http://www.public.asu.edu/~mfperez/
Wilfrid Laurier University - School of Business & Economics
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two pass, Fama Macbeth, risk prices, autocorrelation
Factor Analysis, Credit Risk, Common Factors, Canonical Correlations
Systematic risk; Index tracking; Passive fund Management; Factor models
Multivariate Lévy models, Jump models, Factor models, Principal Components, Maximum Likelihood, EM algorithm, Intra-horizon Value at Risk
Cat Bonds, Insurance, Habit, Catastrophe
Executive compensation, CEO pay, managerial ability, human capital, fixed effects, manager fixed effects, interactive fixed effects, factor models
Executive Compensation, CEO Pay, Managerial Ability, Human Capital, Fixed Effects, Manager Fixed Effects, Interactive Fixed Effects, Factor Models
Factor Model, Number of Factors, GMM, Panel Data, Asset Pricing, International Asset Pricing
Catastrophe Bonds, Financial Crisis, GARCH, Diversification
Corruption, Foreign Directing Investment, competitive advantage
Price discovery, Index option, Information Share, Market Completeness, Market Efficiency
Two-Pass, risk prices, betas, beta rank
Factor Analysis, Discrete Data; Principal Components; Stock Splits; Catering; Commonality; Common Factors
Stock splits, Nominal share price, Catering
Foreign Direct Investment, Corruption, Multinational Corporation, FDI
stock splits, signaling, short interest, short selling
bond liquidity, equity volatility, illiquid markets, corporate bond spreads, dynamic relationships
foreign direct investment, capital flight, money laundering
