Commonly used asset pricing models do not successfully account for both time-series and cross-sectional variations of asset returns. In this article, we propose a new method for forming pricing factors that are intended to capture the time-series as well as the cross-sectional variations. The...

This article attempts to rationalize the validity of gravity variables to explain the degree of international consumption risk sharing. We find that for a panel of 54 countries during 1950-2000, variables such as distance, affluence, a common language and the type of legal system are relevant in...