  We show that the colossal thermoelectric power, $S(T)$, observed in the
correlated semiconductor FeSb$_2$ below 30\,K is accompanied by a huge Nernst
coefficient $\nu(T)$ and magnetoresistance MR$(T)$. Markedly, the latter two
quantities are enhanced in a strikingly similar manner. While in the same
temperature range, $S(T)$ of the reference compound FeAs$_2$, which has a
seven-times larger energy gap, amounts to nearly half of that of FeSb$_2$, its
$\nu(T)$ and MR$(T)$ are intrinsically different to FeSb$_2$: they are smaller
by two orders of magnitude and have no common features. With the charge
transport of FeAs$_2$ successfully captured by the density functional theory,
we emphasize a significantly dispersive electron-relaxation time
$\tau(\epsilon_k)$ due to electron-electron correlations to be at the heart of
the peculiar thermoelectricity and magnetoresistance of FeSb$_2$.

Strongly Correlated Electrons