Size and book to market effects and the Fama French three factor asset pricing model: Evidence from the Australian stockmarket

The present study adds to the sparse published Australian literature on the size effect, the book to market (BM) effect and the ability of the Fama French three factor model to account for these effects and to improve on the asset pricing ability of the Capital Asset Pricing Model (CAPM). The present study extends the 1981–1991 period examined by Halliwell, Heaney and Sawicki (1999) a further 10 years to 2000 and addresses several limitations and findings of that research. In contrast to Halliwell, Heaney and Sawicki the current study finds the three factor model provides significantly improved explanatory power over the CAPM, and evidence that the BM factor plays a role in asset pricing.

Depression in young adolescents: Investigations using 2 and 3 factor versions of the parental bonding instrument

Associations between parenting style and depressive symptomatology in a community sample of young adolescents (N = 2596) were investigated using self-report measures including the Parental Bonding Instrument and the Center for Epidemiologic Studies Depression Scale. Specifically, the 25-item 2-factor and 3-factor models by Parker et al. (1979), Kendler's (1996) 16-item 3-factor model, and Parker's (1983) quadrant model for the Parental Bonding Instrument were compared. Data analysis included analysis of variance and logistic regression. Reanalysis of Parker's original scale indicates that overprotection is composed of separate factors: intrusiveness (at the individual level) and restrictiveness (in the social context). All models reveal significant independent contributions from paternal care, maternal care, and maternal overprotection (2-factor) or intrusiveness (3-factor) to moderate and serious depressive symptomatology, controlling for sex and family living arrangement. Additive rather than multiplicative interactions between care and overprotection were found. Regardless of the level of parental care and affection, clinicians should note that maternal intrusiveness is strongly associated with adverse psychosocial health in young adolescents.

Phobic anxiety in 11 nations: Part I: Dimensional constancy of the five-factor model

The Fear Survey Schedule-III (FSS-III) was administered to a total of 5491 students in Australia, East Germany, Great Britain, Greece, Guatemala, Hungary, Italy, Japan, Spain, Sweden, and Venezuela, and submitted to the multiple group method of confirmatory analysis (MGM) in order to determine the cross-national dimensional constancy of the five-factor model of self-assessed fears originally established in Dutch, British, and Canadian samples. The model comprises fears of bodily injury-illness-death, agoraphobic fears, social fears, fears of sexual and aggressive scenes, and harmless animals fears. Close correspondence between the factors was demonstrated across national samples. In each country, the corresponding scales were internally consistent, were intercorrelated at magnitudes comparable to those yielded in the original samples, and yielded (in 93% of the total number of 55 comparisons) sex differences in line with the usual finding (higher scores for females). In each country, the relatively largest sex differences were obtained on harmless animals fears. The organization of self-assessed fears is sufficiently similar across nations to warrant the use of the same weight matrix (scoring key) for the FSS-III in the different countries and to make cross-national comparisons feasible. This opens the way to further studies that attempt to predict (on an a priori basis) cross-national variations in fear levels with dimensions of national cultures. (C) 2002 Elsevier Science Ltd. All rights reserved.

A genetic two-factor model of the covariation among a subset of Multidimensional Aptitude Battery and Wechsler Adult Intelligence Scale - Revised subtests

The phenotypic and genetic factor structure of performance on five Multidimensional Aptitude Battery (MAB) subtests and one Wechsler Adult Intelligence Scale-Revised (WAIS-R) subtest was explored in 390 adolescent twin pairs (184 monozygotic [MZ]; 206 dizygotic (DZ)). The temporal stability of these measures was derived from a subsample of 49 twin pairs, with test-retest correlations ranging from .67 to .85. A phenotypic factor model, in which performance and verbal factors were correlated, provided a good fit to the data. Genetic modeling was based on the phenotypic factor structure, but also took into account the additive genetic (A), common environmental (C), and unique environmental (E) parameters derived from a fully saturated ACE model. The best fitting model was characterized by a genetic correlated two-factor structure with specific effects, a general common environmental factor, and overlapping unique environmental effects. Results are compared to multivariate genetic models reported in children and adults, with the most notable difference being the growing importance of common genes influencing diverse abilities in adolescence. (C) 2003 Elsevier Inc. All rights reserved.

Discovering user access pattern based on probabilistic latent factor model

There has been an increased demand for characterizing user access patterns using web mining techniques since the informative knowledge extracted from web server log files can not only offer benefits for web site structure improvement but also for better understanding of user navigational behavior. In this paper, we present a web usage mining method, which utilize web user usage and page linkage information to capture user access pattern based on Probabilistic Latent Semantic Analysis (PLSA) model. A specific probabilistic model analysis algorithm, EM algorithm, is applied to the integrated usage data to infer the latent semantic factors as well as generate user session clusters for revealing user access patterns. Experiments have been conducted on real world data set to validate the effectiveness of the proposed approach. The results have shown that the presented method is capable of characterizing the latent semantic factors and generating user profile in terms of weighted page vectors, which may reflect the common access interest exhibited by users among same session cluster.

Gray's model of personality and aggregate level factor analysis

Previous research shows that correlations tend to increase in magnitude when individuals are aggregated across groups. This suggests that uncorrelated constellations of personality variables (such as the primary scales of Extraversion and Neuroticism) may display much higher correlations in aggregate factor analysis. We hypothesize and report that individual level factor analysis can be explained in terms of Giant Three (or Big Five) descriptions of personality, whereas aggregate level factor analysis can be explained in terms of Gray's physiological based model. Although alternative interpretations exist, aggregate level factor analysis may correctly identify the basis of an individual's personality as a result of better reliability of measures due to aggregation. We discuss the implications of this form of analysis in terms of construct validity, personality theory, and its applicability in general. Copyright (C) 2003 John Wiley Sons, Ltd.

Psychometric properties of the drinking expectancy questionnaire: A review of the factor structure and a proposed new scoring method

Objective: Expectancies about the outcomes of alcohol consumption are widely accepted as important determinants of drinking. This construct is increasingly recognized as a significant element of psychological interventions for alcohol-related problems. Much effort has been invested in producing reliable and valid instruments to measure this construct for research and clinical purposes, but very few have had their factor structure subjected to adequate validation. Among them, the Drinking Expectancies Questionnaire (DEQ) was developed to address some theoretical and design issues with earlier expectancy scales. Exploratory factor analyses, in addition to validity and reliability analyses, were performed when the original questionnaire was developed. The object of this study was to undertake a confirmatory analysis of the factor structure of the DEQ. Method: Confirmatory factor analysis through LISREL 8 was performed using a randomly split sample of 679 drinkers. Results: Results suggested that a new 5-factor model, which differs slightly from the original 6-factor version, was a more robust measure of expectancies. A new method of scoring the DEQ consistent with this factor structure is presented. Conclusions: The present study shows more robust psychometric properties of the DEQ using the new factor structure.

Statistical modeling and projections of lung cancer mortality in 4 industrialized countries

The purpose of this work was to model lung cancer mortality as a function of past exposure to tobacco and to forecast age-sex-specific lung cancer mortality rates. A 3-factor age-period-cohort (APC) model, in which the period variable is replaced by the product of average tar content and adult tobacco consumption per capita, was estimated for the US, UK, Canada and Australia by the maximum likelihood method. Age- and sex-specific tobacco consumption was estimated from historical data on smoking prevalence and total tobacco consumption. Lung cancer mortality was derived from vital registration records. Future tobacco consumption, tar content and the cohort parameter were projected by autoregressive moving average (ARIMA) estimation. The optimal exposure variable was found to be the product of average tar content and adult cigarette consumption per capita, lagged for 2530 years for both males and females in all 4 countries. The coefficient of the product of average tar content and tobacco consumption per capita differs by age and sex. In all models, there was a statistically significant difference in the coefficient of the period variable by sex. In all countries, male age-standardized lung cancer mortality rates peaked in the 1980s and declined thereafter. Female mortality rates are projected to peak in the first decade of this century. The multiplicative models of age, tobacco exposure and cohort fit the observed data between 1950 and 1999 reasonably well, and time-series models yield plausible past trends of relevant variables. Despite a significant reduction in tobacco consumption and average tar content of cigarettes sold over the past few decades, the effect on lung cancer mortality is affected by the time lag between exposure and established disease. As a result, the burden of lung cancer among females is only just reaching, or soon will reach, its peak but has been declining for I to 2 decades in men. Future sex differences in lung cancer mortality are likely to be greater in North America than Australia and the UK due to differences in exposure patterns between the sexes. (c) 2005 Wiley-Liss, Inc.

The Bazhanov-Stroganov model from 3D approach

We apply a three-dimensional approach to describe a new parametrization of the L-operators for the two-dimensional Bazhanov-Stroganov (BS) integrable spin model related to the chiral Potts model. This parametrization is based on the solution of the associated classical discrete integrable system. Using a three-dimensional vertex satisfying a modified tetrahedron equation, we construct an operator which generalizes the BS quantum intertwining matrix S. This operator describes the isospectral deformations of the integrable BS model.

Genetic and environmental influences on extreme personality dispositions in adolescent female twins

Background: The objective was to determine whether the pattern of environmental and genetic influences on deviant personality scores differs from that observed for the normative range of personality, comparing results in adolescent and adult female twins. Methods: A sample of 2,796 female adolescent twins ascertained from birth records provided Junior Eysenck Personality Questionnaire data. The average age of the sample was 17.0 years ( S. D. 2.3). Genetic analyses of continuous and extreme personality scores were conducted. Results were compared for 3,178 adult female twins. Results: Genetic analysis of continuous traits in adolescent female twins were similar to findings in adult female twins, with genetic influences accounting for between 37% and 44% of the variance in Extraversion (Ex), Neuroticism (N), and Social Non-Conformity (SNC), with significant evidence of shared environmental influences (19%) found only for SNC in the adult female twins. Analyses of extreme personality characteristics, defined categorically, in the adolescent data and replicated in the adult female data, yielded estimates for high N and high SNC that deviated substantially (p < .05) from those obtained in the continuous trait analyses, and provided suggestive evidence that shared family environment may play a more important role in determining personality deviance than has been previously found when personality is viewed continuously. However, multiple-threshold models that assumed the same genetic and environmental determinants of both normative range variation and extreme scores gave acceptable fits for each personality dimension. Conclusions: The hypothesis of differences in genetic or environmental factors responsible for N and SNC among female twins with scores in the extreme versus normative ranges was partially supported, but not for Ex.

Returns from investing in Australian equity superannuation funds, 1991-1999

In this analysis of investment manager performance, two questions are addressed. First, do managers that actively trade stocks create value for investors? Second, can the multifactor model of Gruber capture the cross-section of average fund returns for the Australian setting? The answers from this study are as follows: as an industry, investment managers destroyed value for superannuation investors for the period 1991 through 1999, under-performing passive portfolio returns by 2.80-4.00 per cent per annum on a risk-unadjusted basis and 0.50-0.93 per cent per annum on a risk-adjusted basis. Evidence is provided in support of the four-factor model of Gruber; however, the model fails to capture the impact of investment style for the Australian setting. The findings suggest that Australian superannuation investors would transform their retirement savings into retirement income more efficiently through the use of passive alternatives to the stock selection problem.

A genetic investigation of the covariation among Inspection Time, Choice Reaction Time, and IQ subtest scores

Information processing speed, as measured by elementary cognitive tasks, is correlated with higher order cognitive ability so that increased speed relates to improved cognitive performance. The question of whether the genetic variation in Inspection Time (IT) and Choice Reaction Time (CRT) is associated with IQ through a unitary factor was addressed in this multivariate genetic study of IT, CRT, and IQ subtest scores. The sample included 184 MZ and 206 DZ twin pairs with a mean age of 16.2 years (range 15-18 years). They were administered a visual (pi-figure) IT task, a two-choice RT task, five computerized subtests of the Multidimensional Aptitude Battery, and the digit symbol substitution subtest from the WAIS-R. The data supported a factor model comprising a general, three group (verbal ability, visuospatial ability, broad speediness), and specific genetic factor structure, a shared environmental factor influencing all tests but IT, plus unique environmental factors that were largely specific to individual measures. The general genetic factor displayed factor loadings ranging between 0.35 and 0.66 for the IQ subtests, with IT and CRT loadings of -0.47 and -0.24, respectively. Results indicate that a unitary factor is insufficient to describe the entire relationship between cognitive speed measures and all IQ subtests, with independent genetic effects explaining further covariation between processing speed (especially CRT) and Digit Symbol.

Multivariate genetic analysis of cognitive abilities in an adolescent twin sample

The sources of covariation among cognitive measures of Inspection Time, Choice Reaction Time, Delayed Response Speed and Accuracy, and IQ were examined in a classical twin design that included 245 monozygotic (MZ) and 298 dizygotic (DZ) twin pairs. Results indicated that a factor model comprising additive genetic and unique environmental effects was the most parsimonious. In this model, a general genetic cognitive factor emerged with factor loadings ranging from 0.28 to 0.64. Three other genetic factors explained the remaining genetic covariation between various speed and Delayed Response measures with IQ. However, a large proportion of the genetic variation in verbal (54%) and performance (25%) IQ was unrelated to these lower order cognitive measures. The independent genetic IQ variation may reflect information processes not captured by the elementary cognitive tasks, Inspection Time and Choice Reaction Time, nor our working memory task, Delayed Response. Unique environmental effects were mostly nonoverlapping, and partly represented test measurement error.