Factor analysis is a widely used tool to summarize high dimensional panel data via a small dimensional set of latent factors. Applications, particularly in finance, are often focused on observable factors with an economic interpretation. The objective of this paper is to provide a formal test...

Income under-reporting estimates based on households data as well as the size of the shadow economy are of interest to academics as well as policy makers. For that purpose, various methods have been developed using micro/survey data as well as aggregate/macro data. This study applies the micro...

Hint: these are not the Fama-French 3 factors and they are not even spanned by the Fama-French 5 factors. More importantly, they feature superior out-of-sample pricing performance compared to standard asset pricing models. What is “common” about these factors? We identify the factor space...