71 resultados para Fama-French 3-factor model
Resumo:
The Strengths and Difficulties Questionnaire (SDQ) is a widely used 25-item screening test for emotional and behavioral problems in children and adolescents. This study attempted to critically examine the factor structure of the adolescent self-report version. As part of an ongoing longitudinal cohort study, a total of 3,753 pupils completed the SDQ when aged 12. Both three- and five-factor exploratory factor analysis models were estimated. A number of deviations from the hypothesized SDQ structure were observed, including a lack of unidimensionality within particular subscales, cross-loadings, and items failing to load on any factor. Model fit of the confirmatory factor analysis model was modest, providing limited support for the hypothesized five-component structure. The analyses suggested a number of weaknesses within the component structure of the self-report SDQ, particularly in relation to the reverse-coded items.
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Longevity risk has become one of the major risks facing the insurance and pensions markets globally. The trade in longevity risk is underpinned by accurate forecasting of mortality rates. Using techniques from macroeconomic forecasting, we propose a dynamic factor model of mortality that fits and forecasts mortality rates parsimoniously.We compare the forecasting quality of this model and of existing models and find that the dynamic factor model generally provides superior forecasts when applied to international mortality data. We also show that existing multifactorial models have superior fit but their forecasting performance worsens as more factors are added. The dynamic factor approach used here can potentially be further improved upon by applying an appropriate stopping rule for the number of static and dynamic factors.
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Background: The Prenatal Distress Questionnaire (PDQ) is a short measure designed to assess specific worries and concerns related to pregnancy. The aim of this study was to confirm the factor structure of the PDQ in a group of pregnant women with a small for gestational age infant (< 10th centile). Methods: The first PDQ assessment for each of 337 pregnant women participating in the Prospective Observational Trial to Optimise paediatric health (PORTO) study was analysed. All women enrolled in the study were identified as having a small for gestational age foetus (< 10th centile), thus representing an 'elevated risk' group. Data were analysed using confirmatory factor analysis (CFA). Three models of the PDQ were evaluated and compared in the current study: a theoretical uni-dimensional measurement model, a bi-dimensional model, and a three-factor model solution. Results: The three-factor model offered the best fit to the data while maintaining sound theoretical grounds(χ2 (51df) = 128.52; CFI = 0.97; TLI = 0.96; RMSEA = 0.07). Factor 1 contained items reflecting concerns about birth and the baby, factor 2 concerns about physical symptoms and body image and factor 3 concerns about emotions and relationships. Conclusions: CFA confirmed that the three-factor model provided the best fit, with the items in each factor reflecting the findings of an earlier exploratory data analysis. © 2013 Society for Reproductive and Infant Psychology.
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This study aimed to examine the structure of the statistics anxiety rating scale. Responses from 650 undergraduate psychology students throughout the UK were collected through an on-line study. Based on previous research three different models were specified and estimated using confirmatory factor analysis. Fit indices were used to determine if the model fitted the data and a likelihood ratio difference test was used to determine the best fitting model. The original six factor model was the best explanation of the data. All six subscales were intercorrelated and internally consistent. It was concluded that the statistics anxiety rating scale was found to measure the six subscales it was designed to assess in a UK population.
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An alternative models framework was used to test three confirmatory factor analytic models for the Short Leyton Obsessional Inventory-Children's Version (Short LOI-CV) in a general population sample of 517 young adolescent twins (11-16 years). A one-factor model as implicit in current classification systems of Obsessive-Compulsive Disorder (OCD), a two-factor obsessions and compulsions model, and a multidimensional model corresponding to the three proposed subscales of the Short LOI-CV (labelled Obsessions/Incompleteness, Numbers/Luck and Cleanliness) were considered. The three-factor model was the only model to provide an adequate explanation of the data. Twin analyses suggested significant quantitative sex differences in heritability for both the Obsessions/Incompleteness and Numbers/Luck dimensions with these being significantly heritable in males only (heritability of 60% and 65% respectively). The correlation between the additive genetic effects for these two dimensions in males was 0.95 suggesting they largely share the same genetic risk factors.
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Schizophrenia is a common psychotic mental disorder that is believed to result from the effects of multiple genetic and environmental factors. In this study, we explored gene-gene interactions and main effects in both case-control (657 cases and 411 controls) and family-based (273 families, 1350 subjects) datasets of English or Irish ancestry. Fifty three markers in 8 genes were genotyped in the family sample and 44 markers in 7 genes were genotyped in the case-control sample. The Multifactor Dimensionality Reduction Pedigree Disequilibrium Test (MDR-PDT) was used to examine epistasis in the family dataset and a 3-locus model was identified (permuted p=0.003). The 3-locus model involved the IL3 (rs2069803), RGS4 (rs2661319), and DTNBP1 (rs21319539) genes. We used MDR to analyze the case-control dataset containing the same markers typed in the RGS4, IL3 and DTNBP1 genes and found evidence of a joint effect between IL3 (rs31400) and DTNBP1 (rs760761) (cross-validation consistency 4/5, balanced prediction accuracy=56.84%, p=0.019). While this is not a direct replication, the results obtained from both the family and case-control samples collectively suggest that IL3 and DTNBP1 are likely to interact and jointly contribute to increase risk for schizophrenia. We also observed a significant main effect in DTNBP1, which survived correction for multiple comparisons, and numerous nominally significant effects in several genes. (C) 2008 Elsevier B.V. All rights reserved.
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The aim of this paper was to confirm the factor structure of the 20-item Beck Hopelessness Scale in a non-clinical population. Previous research has highlighted a lack of clarity in its construct validity with regards to this population.
Based on previous factor analytic findings from both clinical and non-clinical studies, 13 separate confirmatory factor models were specified and estimated using LISREL 8.72 to test the one, two and three-factor models.
Psychology and medical students at Queen's University, Belfast (n = 581) completed both the BHS and the Beck Depression Inventory (BDI).
All models showed reasonable fit, but only one, a four-item single-factor model demonstrated a nonsignificant chi-squared statistic. These four items can be used to derive a Short-Form BHS (SBHS) in which increasing scores (0-4) corresponded with increasing scores in the BDI. The four items were also drawn from all three of Beck's proposed triad, and included both positively and negatively scored items.
This study in a UK undergraduate non-clinical population suggests that the BHS best measures a one-factor model of hopelessness. It appears that a shorter four-item scale can also measure this one-factor model. (C) 2011 Elsevier Ltd. All rights reserved.
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We investigate whether low-priced stocks drive long-term contrarian performance on the U.K. market. We find that contrarian performance at low, middle, and high price levels is positive. On the Fama-French risk adjusted basis, we find both low-priced and middle-priced losers have significantly positive returns. When we adjust returns by market and liquidity risk, only middle-priced losers maintain their positive returns. Our results reveal that low-priced stocks are not fully responsible for contrarian performance. Our empirical evidence is generally consistent with the overreaction hypothesis and behavioral models of value investing.
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There is no consensus in the literature as to which stock characteristic best explains returns. In this study, we employ a novel econometric approach better suited than the traditional characteristic sorting method to answer this question for the UK market. We evaluate the relative explanatory power of market, size, momentum, volatility, liquidity and book-to-market factors in a semiparametric characteristic-based factor model which does not require constructing characteristic portfolios. We find that momentum is the most important factor and liquidity is the least important based on their relative contribution to the fit of the model and the proportion of sample months for which factor returns are significant. Overall, this study provides strong evidence to support that the momentum characteristic can best explain stock returns in the UK market. The econometric approach employed in this study is a novel way to assess relevant investment risk in international financial markets outside U.S. Moreover, multinational institutions and investors can use this approach to identify regional factors in order to diversify their portfolios.
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The Behavioural Inhibition and Behavioural Activation System (BIS/BAS) scales were developed by Carver and White (1994) and comprise four scales which measure individual differences in personality (Gray 1982, 1991). More recent modifications, namely the five-factor model derived from Gray and McNaughton's (2000) revised Reward Sensitivity Theory (RST) suggests that Anxiety and Fear are separable components of inhibition. This study employed exploratory and confirmatory factor analyses on the scales in order to test whether the four or five-factor model was the better fit in a sample of 994 participants aged 11–30 years. Consistent with RST, superior model fit was shown for the five-factor model with all variables correlated. Significant age effects were observed for BIS Fear and BIS Anxiety, with scores peaking in middle and late adolescence respectively. The BAS subscales showed differential effects of age group. Significantly increasing scores from early to mid and from mid to late adolescence were found for Drive, but the effect of age on Fun Seeking and Reward Responsiveness was not significant.
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We formally compare fundamental factor and latent factor approaches to oil price modelling. Fundamental modelling has a long history in seeking to understand oil price movements, while latent factor modelling has a more recent and limited history, but has gained popularity in other financial markets. The two approaches, though competing, have not formally been compared as to effectiveness. For a range of short- medium- and long-dated WTI oil futures we test a recently proposed five-factor fundamental model and a Principal Component Analysis latent factor model. Our findings demonstrate that there is no discernible difference between the two techniques in a dynamic setting. We conclude that this infers some advantages in adopting the latent factor approach due to the difficulty in determining a well specified fundamental model.
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Background— Cardiovascular risk estimation by novel biomarkers needs assessment in disease-free population cohorts, followed up for incident cardiovascular events, assaying the serum and plasma archived at baseline. We report results from 2 cohorts in such a continuing study.
Methods and Results— Thirty novel biomarkers from different pathophysiological pathways were evaluated in 7915 men and women of the FINRISK97 population cohort with 538 incident cardiovascular events at 10 years (fatal or nonfatal coronary or stroke events), from which a biomarker score was developed and then validated in the 2551 men of the Belfast Prospective Epidemiological Study of Myocardial Infarction (PRIME) cohort (260 events). No single biomarker consistently improved risk estimation in FINRISK97 men and FINRISK97 women and the Belfast PRIME Men cohort after allowing for confounding factors; however, the strongest associations (with hazard ratio per SD in FINRISK97 men) were found for N-terminal pro-brain natriuretic peptide (1.23), C-reactive protein (1.23), B-type natriuretic peptide (1.19), and sensitive troponin I (1.18). A biomarker score was developed from the FINRISK97 cohort with the use of regression coefficients and lasso methods, with selection of troponin I, C-reactive protein, and N-terminal pro-brain natriuretic peptide. Adding this score to a conventional risk factor model in the Belfast PRIME Men cohort validated it by improved c-statistics (P=0.004) and integrated discrimination (P<0.0001) and led to significant reclassification of individuals into risk categories (P=0.0008).
Conclusions— The addition of a biomarker score including N-terminal pro-brain natriuretic peptide, C-reactive protein, and sensitive troponin I to a conventional risk model improved 10-year risk estimation for cardiovascular events in 2 middle-aged European populations. Further validation is needed in other populations and age groups.
Resumo:
Stochastic modeling of mortality rates focuses on fitting linear models to logarithmically adjusted mortality data from the middle or late ages. Whilst this modeling enables insurers to project mortality rates and hence price mortality products it does not provide good fit for younger aged mortality. Mortality rates below the early 20's are important to model as they give an insight into estimates of the cohort effect for more recent years of birth. It is also important given the cumulative nature of life expectancy to be able to forecast mortality improvements at all ages. When we attempt to fit existing models to a wider age range, 5-89, rather than 20-89 or 50-89, their weaknesses are revealed as the results are not satisfactory. The linear innovations in existing models are not flexible enough to capture the non-linear profile of mortality rates that we see at the lower ages. In this paper we modify an existing 4 factor model of mortality to enable better fitting to a wider age range, and using data from seven developed countries our empirical results show that the proposed model has a better fit to the actual data, is robust, and has good forecasting ability.
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A simple non-linear global-local finite element methodology is presented. A global coarse model, using 2-D shell elements, is solved non-linearly and the displacements and rotations around a region of interest are applied, as displacement boundary conditions, to a refined local 3-D model using Kirchhoff plate assumptions. The global elements' shape functions are used to interpolate between nodes. The local model is then solved non-linearly with an incremental scheme independent of that used for the global model.
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Objective: The aim of this study was to investigate the effect of pre-treatment verification imaging with megavoltage (MV) X-rays on cancer and normal cell survival in vitro and to compare the findings with theoretically modelled data. Since the dose received from pre-treatment imaging can be significant, incorporation of this dose at the planning stage of treatment has been suggested.
Methods: The impact of imaging dose incorporation on cell survival was investigated by clonogenic assay, irradiating DU-145 prostate cancer, H460 non-small cell lung cancer and AGO-1522b normal tissue fibroblast cells. Clinically relevant imaging-to-treatment times of 7.5 minutes and 15 minutes were chosen for this study. The theoretical magnitude of the loss of radiobiological efficacy due to sublethal damage repair was investigated using the Lea-Catcheside dose protraction factor model.
Results: For the cell lines investigated, the experimental data showed that imaging dose incorporation had no significant impact upon cell survival. These findings were in close agreement with the theoretical results.
Conclusions: For the conditions investigated, the results suggest that allowance for the imaging dose at the planning stage of treatment should not adversely affect treatment efficacy.
Advances in Knowledge: There is a paucity of data in the literature on imaging effects in radiotherapy. This paper presents a systematic study of imaging dose effects on cancer and normal cell survival, providing both theoretical and experimental evidence for clinically relevant imaging doses and imaging-to-treatment times. The data provide a firm foundation for further study into this highly relevant area of research.