We examine the asymptotic and finite-sample properties of the two-pass (TP) cross-sectional regressions estimators when factors and asset returns are conditionally heteroskedastic and/or autocorrelated. Using a minimum distance approach, we derive the heteroskedasticity- and/or...

We examine the asymptotic and finite-sample properties of the two-pass (TP) cross-sectional regressions estimators when factors and asset returns are conditionally heteroskedastic and/or autocorrelated. Using a minimum distance approach, we derive the heteroskedasticity- and/or...

We propose new generalized method of moments (GMM) estimators for the number of latent factors in linear factor models. The estimators are appropriate for data with a large (small) number of cross-sectional observations and a small (large) number of time series observations. The estimation...

We examine the role of FDI in facilitating money laundering and illegal capital flight, focusing on transition economies’ FDI outflows because they largely reflect current investment decisions rather than the inertia of past decisions. We estimate a model of FDI outflows in which illicit money...

We study the dynamic impact of idiosyncratic volatility and bond liquidity on corporate bond spreads over time and empirically disentangle both effects. Using an extensive data set, we find that both idiosyncratic volatility and liquidity are critical mainly for the distress portfolios, i.e.,...