William F. Rentz

University of Ottawa — Canada

Economics, Econometrics and Finance · Social Sciences

8h-index264citations28works0.02yr avg
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Research Topics

Financial Markets and Investment Strategies(13), Monetary Policy and Economic Impact(6), Financial Reporting and Valuation Research(4), Firm Innovation and Growth(4), Housing Market and Economics(3)

Publications28 total

Is illiquidity priced in an international factor pricing model? A dynamic panel data application with robust <scp>IV</scp>
International Journal of Finance & Economics·2023· 4 cited
The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test
PLoS ONE·2019· 28 citedOpen Access
Does Illiquidity Matter? An Errors-in-Variables Perspective
Studies of Applied Economics·2019· 3 citedOpen Access
Testing the new Fama and French factors with illiquidity: A panel data investigation
Finance·2018· 22 cited
Examining the dynamics of illiquidity risks within the phases of the business cycle
Borsa Istanbul Review·2018· 15 citedOpen Access
Examining the dynamics of illiquidity risks within the phases of the business cycle
RePEc: Research Papers in Economics·2018
Does Illiquidity Matter?: An Errors-inVariables Perspective
Dialnet (Universidad de la Rioja)·2018
Does Illiquidity Matter? An Errors-in-Variables Perspective/¿Es importante la iliquidez? Un análisis desde el enfoque de errores en variables
Studies of Applied Economics·2018
Estimating panel data fixed and random effects with application to new Fama-French model with GMM robust instruments
84th International Atlantic Economic Conference·2017
Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables
International Advances in Economic Research·2016· 4 cited
A panel data robust instrumental variable approach: a test of the new Fama-French five-factor model
Applied Economics Letters·2016· 37 cited
Testing Fama–French’s new five-factor asset pricing model: evidence from robust instruments
Applied Economics Letters·2015· 95 cited
The Pástor-Stambaugh empirical model revisited: Evidence from robust instruments
Journal of Asset Management·2015· 19 citedOpen Access
Improved Generalized Method of Moments (GMMd), Liquidity Risk, and the Pastor-Stambaugh Extension of the Fama-French Model
uO Research (University of Ottawa)·2014· 1 citedOpen Access
The effect of multiple call options on option bounds
uO Research (University of Ottawa)·2004Open Access
Detecting and profiting from call option mispricing
uO Research (University of Ottawa)·1991Open Access
Bear market strategies using subjective stochastic dominance
uO Research (University of Ottawa)·1989Open Access
The University of Ottawa pension plan
uO Research (University of Ottawa)·1987Open Access
Subjective Stochastic Dominance, Put Writing, and Stock Purchases with Extensions to Option Pricing and Portfolio Composition
Management Science·1985· 4 cited
SUBJECTIVE STOCHASTIC DOMINANCE, STOCK PURCHASES, PUT WRITING AND PRICING, AND PORTFOLIO COMPOSITION
Financial Review·1984
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Frequent Co-authors

François‐Éric Racicot(12), Claude Henin(7), Alfred L. Kahl(5), Raymond Théoret(3), Olivier Mesly(2), David Tessier(1), Lewis J. Spellman(1), Robert C. Witt(1), Richard B. Westin(1), François Éric Racicot(1)