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.

A comparison between three and five factor models of Pakistani personality data

The Eysenck Personality Questionnaire-Revised (EPQ-R), the Eysenck Personality Profiler Short Version (EPP-S), and the Big Five Inventory (BFI-V4a) were administered to 135 postgraduate students of business in Pakistan. Whilst Extraversion and Neuroticism scales from the three questionnaires were highly correlated, it was found that Agreeableness was most highly correlated with Psychoticism in the EPQ-R and Conscientiousness was most highly correlated with Psychoticism in the EPP-S. Principal component analyses with varimax rotation were carried out. The analyses generally suggested that the five factor model rather than the three-factor model was more robust and better for interpretation of all the higher order scales of the EPQ-R, EPP-S, and BFI-V4a in the Pakistani data. Results show that the superiority of the five factor solution results from the inclusion of a broader variety of personality scales in the input data, whereas Eysenck's three factor solution seems to be best when a less complete but possibly more important set of variables are input. (C) 2001 Elsevier Science Ltd. All rights reserved.

Three-dimensional model for multi-component reactive transport with variable density groundwater flow

PHWAT is a new model that couples a geochemical reaction model (PHREEQC-2) with a density-dependent groundwater flow and solute transport model (SEAWAT) using the split-operator approach. PHWAT was developed to simulate multi-component reactive transport in variable density groundwater flow. Fluid density in PHWAT depends not on only the concentration of a single species as in SEAWAT, but also the concentrations of other dissolved chemicals that can be subject to reactive processes. Simulation results of PHWAT and PHREEQC-2 were compared in their predictions of effluent concentration from a column experiment. Both models produced identical results, showing that PHWAT has correctly coupled the sub-packages. PHWAT was then applied to the simulation of a tank experiment in which seawater intrusion was accompanied by cation exchange. The density dependence of the intrusion and the snow-plough effect in the breakthrough curves were reflected in the model simulations, which were in good agreement with the measured breakthrough data. Comparison simulations that, in turn, excluded density effects and reactions allowed us to quantify the marked effect of ignoring these processes. Next, we explored numerical issues involved in the practical application of PHWAT using the example of a dense plume flowing into a tank containing fresh water. It was shown that PHWAT could model physically unstable flow and that numerical instabilities were suppressed. Physical instability developed in the model in accordance with the increase of the modified Rayleigh number for density-dependent flow, in agreement with previous research. (c) 2004 Elsevier Ltd. All rights reserved.

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.

Analysis and application of an equilibrium model for in vitro bioassay systems with three components: Receptor, hormone and hormone-binding-protein

A simple theoretical framework is presented for bioassay studies using three component in vitro systems. An equilibrium model is used to derive equations useful for predicting changes in biological response after addition of hormone-binding-protein or as a consequence of increased hormone affinity. Sets of possible solutions for receptor occupancy and binding protein occupancy are found for typical values of receptor and binding protein affinity constants. Unique equilibrium solutions are dictated by the initial condition of total hormone concentration. According to the occupancy theory of drug action, increasing the affinity of a hormone for its receptor will result in a proportional increase in biological potency. However, the three component model predicts that the magnitude of increase in biological potency will be a small fraction of the proportional increase in affinity. With typical initial conditions a two-fold increase in hormone affinity for its receptor is predicted to result in only a 33% increase in biological response. Under the same conditions an Ii-fold increase in hormone affinity for receptor would be needed to produce a two-fold increase in biological potency. Some currently used bioassay systems may be unrecognized three component systems and gross errors in biopotency estimates will result if the effect of binding protein is not calculated. An algorithm derived from the three component model is used to predict changes in biological response after addition of binding protein to in vitro systems. The algorithm is tested by application to a published data set from an experimental study in an in vitro system (Lim et al., 1990, Endocrinology 127, 1287-1291). Predicted changes show good agreement (within 8%) with experimental observations. (C) 1998 Academic Press Limited.

Factor structure of the Mood and Anxiety Symptom Questionnaire does not generalize to an anxious/depressed sample

Objective: The tripartite model of anxiety and depression has been proposed as a representation of the structure of anxiety and depression symptoms. The Mood and Anxiety Symptom Questionnaire (MASQ) has been put forwards as a valid measure of the tripartite model of anxiety and depression symptoms. This research set out to examine the factor structure of anxiety and depression symptoms in a clinical sample to assess the MASQ's validity for use in this population. MethodsThe present study uses confirmatory factor analytic methods to examine the psychometric properties of the MASQ in 470 outpatients with anxiety and mood disorder. Results: The results showed that none of the previously reported two-factor, three-factor or five-factor models adequately fit the data, irrespective of whether items or subscales were used as the unit of analysis. Conclusions: It was concluded that the factor structure of the MASQ in a mixed anxiety/depression clinical sample does not support a structure consistent with the tripartite model. This suggests that researchers using the MASQ with anxious/depressed individuals should be mindful of the instrument's psychometric limitations.

Three dimensional preparatory trunk motion precedes asymmetrical upper limb movement

Three-dimensional trunk motion. trunk muscle electromyography and intra-abdominal pressure were evaluated to investigate the preparatory control of the trunk associated with voluntary unilateral upper limb movement. The directions of angular motion produced by moments reactive to limb movement in each direction were predicted using a three-dimensional model of the body. Preparatory motion of the trunk occurred in three dimensions in the directions opposite to the reactive moments. Electromyographic recordings from the superficial trunk muscles were consistent with preparatory trunk motion. However, activation of transversus abdominis was inconsistent with control of direction-specific moments acting on the trunk. The results provide evidence that anticipatory postural adjustments result in movements and not simple rigidification of the trunk. (C) 2000 Elsevier Science B.V. All rights reserved.

Do personality factors predict job satisfaction?

Two studies investigated the relationships between personality traits and aspects of job satisfaction. In Study 1, job applicants (n=250) completed the Eysenck Personality Profiler and the Work Values Questionnaire (WVQ), which requires respondents to rate various work-related facets according to the extent to which they contribute to their job satisfaction. These facets were combined into two composites (hygiene and motivator) based on previous research. The three personality superfactors accounted for a small percentage of the variance in importance ratings (about 5%). In Study 2, employees (n=82) completed a measure of the 'Big Five' personality traits and the Job Satisfaction Questionnaire (JSQ), which assesses both what respondents consider as important in their work environment as well as their satisfaction with their current job. Importance ratings were again combined into two composites while job satisfaction ratings were factor analyzed and three factors, differentiated along hygiene versus motivator lines, emerged. Personality traits again accounted for a small percentage of the total variance both in importance ratings and in levels of job satisfaction. It is concluded that personality does not have a strong or consistent influence either on what individuals perceive as important in their work environment or on their levels of job satisfaction. (C) 2002 Published by Elsevier Science 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.

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.

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.

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.