This paper studies estimation of linear panel regression models with heterogeneous coefficients, when both the regressors and the residual contain a possibly common, latent, factor structure. Our theory is (nearly) efficient, because based on the GLS principle, and also robust to the...

Our objective is to develop a methodology to price the cross section of asset returns. Despite the hundreds of systematic risk factors considered in the literature (``factor zoo''), there is still a sizable pricing error. We show that what is missing in asset-pricing factor models is not...