M. Fabricio Perez

His research interests include econometric theory and financial econometrics with focus on factor analysis applied to asset pricing models and corporate finance. Also he is interested in International Finance and Economics with focus of Foreign Direct Investment and Corruption

Finance:

• 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.
• 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:

• National Levels of Corruption and Foreign Direct Investment, with J. Brada, Z. Drabek and J. Mendez. 2019, 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.

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.