Multiple, often competing, characteristic factor models have been proposed to explain the cross-section of stock returns, but with limited economic interpretation of the factors. In this paper, we employ an optimal orthogonalization approach to examine the proportion of explained variation in...

The on-the-run phenomenon is regularly found in the bond markets. The on-the-run phenomenon is the yield difference observed when a new bond issue comes to market from the same issuer and gets a better price (lower yield given equivalent duration) from the market than the older issue. This paper...