model alongside bank-specific conditioning information in the form of asset quality variables, operational efficiency … variables and solvency variables to articulate the existence of abnormal returns. With the inclusion of conditioning information …

model alongside bank-specific conditioning information in the form of asset quality variables, operational efficiency … variables and solvency variables to articulate the existence of abnormal returns. With the inclusion of conditioning information …

-rank covariation with the factor betas in the cross-section. It allows for a large dimension of the vector generating the conditioning … information by machine learning techniques. In an empirical application, we infer the conditional factor space in the panel of …