We extend the Fama–French three-factor model to include a risk factor that proxies for interest-rate risk faced by firms in an attempt to reduce the pricing errors that the three-factor model cannot explain. These pricing errors are observed especially in small size and low book-to-market...

This study investigates the sources of cross-country income disparities in the context of time series dynamics for both aggregate and sectoral levels. We first introduce a new approach for testing income disparity persistence across countries. The method proposed by Pesaran, Pierse, and Lee...