Using irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data

Multi-factor models constitute a use fui tool to explain cross-sectional covariance in equities retums. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an empirical example with the 389 most liquid equities in the Brazilian Market. The market index shows itself significant to explain equity returns while the US$/Brazilian Real exchange rate and the Brazilian standard interest rate does not. This example shows the usefulness of the estimation method in further using the model to fill in missing values and to provide intervaI forecasts.

Agricultural commodities pricing model applied to the Brazilian sugar market

This article suggests a pricing model for commodities used to produce biofuel. The model is based on the concept that the deterministic component of the Wiener process is not constant and depends on time and exogenous variables. The model, which incorporates theory of storage, the convenience yield and the seasonality of harvests, was applied in the Brazilian sugar market. After predictions were made with the Kalman filter, the model produced results that were statistically more accurate than those returned by the two-factor model available in the literature.

Factor Structure of the Neck Disability Index

BACKGROUND CONTEXT: The Neck Disability Index frequently is used to measure outcomes of the neck. The statistical rigor of the Neck Disability Index has been assessed with conflicting outcomes. To date, Confirmatory Factor Analysis of the Neck Disability Index has not been reported for a suitably large population study. Because the Neck Disability Index is not a condition-specific measure of neck function, initial Confirmatory Factor Analysis should consider problematic neck patients as a homogenous group. PURPOSE: We sought to analyze the factor structure of the Neck Disability Index through Confirmatory Factor Analysis in a symptomatic, homogeneous, neck population, with respect to pooled populations and gender subgroups. STUDY DESIGN: This was a secondary analysis of pooled data. PATIENT SAMPLE: A total of 1,278 symptomatic neck patients (67.5% female, median age 41 years), 803 nonspecific and 475 with whiplash-associated disorder. OUTCOME MEASURES: The Neck Disability Index was used to measure outcomes. METHODS: We analyzed pooled baseline data from six independent studies of patients with neck problems who completed Neck Disability Index questionnaires at baseline. The Confirmatory Factor Analysis was considered in three scenarios: the full sample and separate sexes. Models were compared empirically for best fit. RESULTS: Two-factor models have good psychometric properties across both the pooled and sex subgroups. However, according to these analyses, the one-factor solution is preferable from both a statistical perspective and parsimony. The two-factor model was close to significant for the male subgroup (p<.07) where questions separated into constructs of mental function (pain, reading headaches and concentration) and physical function (personal care, lifting, work, driving, sleep, and recreation). CONCLUSIONS: The Neck Disability Index demonstrated a one-factor structure when analyzed by Confirmatory Factor Analysis in a pooled, homogenous sample of neck problem patients. However, a two-factor model did approach significance for male subjects where questions separated into constructs of mental and physical function. Further investigations in different conditions, subgroup and sex-specific populations are warranted.

Testing the structural and cross-cultural validity of the KIDSCREEN-27 quality of life questionnaire

OBJECTIVES: The aim of this study is to assess the structural and cross-cultural validity of the KIDSCREEN-27 questionnaire. METHODS: The 27-item version of the KIDSCREEN instrument was derived from a longer 52-item version and was administered to young people aged 8-18 years in 13 European countries in a cross-sectional survey. Structural and cross-cultural validity were tested using multitrait multi-item analysis, exploratory and confirmatory factor analysis, and Rasch analyses. Zumbo's logistic regression method was applied to assess differential item functioning (DIF) across countries. Reliability was assessed using Cronbach's alpha. RESULTS: Responses were obtained from n = 22,827 respondents (response rate 68.9%). For the combined sample from all countries, exploratory factor analysis with procrustean rotations revealed a five-factor structure which explained 56.9% of the variance. Confirmatory factor analysis indicated an acceptable model fit (RMSEA = 0.068, CFI = 0.960). The unidimensionality of all dimensions was confirmed (INFIT: 0.81-1.15). Differential item functioning (DIF) results across the 13 countries showed that 5 items presented uniform DIF whereas 10 displayed non-uniform DIF. Reliability was acceptable (Cronbach's alpha = 0.78-0.84 for individual dimensions). CONCLUSIONS: There was substantial evidence for the cross-cultural equivalence of the KIDSCREEN-27 across the countries studied and the factor structure was highly replicable in individual countries. Further research is needed to correct scores based on DIF results. The KIDSCREEN-27 is a new short and promising tool for use in clinical and epidemiological studies.

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.

Adsorption of carbon tetrachloride on graphitized thermal carbon black and in slit graphitic pores: Five-site versus one-site potential models

The performance of intermolecular potential models on the adsorption of carbon tetrachloride on graphitized thermal carbon black at various temperatures is investigated. This is made possible with the extensive experimental data of Machin and Ross(1), Avgul et al.,(2) and Pierce(3) that cover a wide range of temperatures. The description of all experimental data is only possible with the allowance for the surface mediation. If this were ignored, the grand canonical Monte Carlo (GCMC) simulation results would predict a two-dimensional (2D) transition even at high temperatures, while experimental data shows gradual change in adsorption density with pressure. In general, we find that the intermolecular interaction has to be reduced by 4% whenever particles are within the first layer close to the surface. We also find that this degree of surface mediation is independent of temperature. To understand the packing of carbon tetrachloride in slit pores, we compared the performance of the potential models that model carbon tetrachloride as either five interaction sites or one site. It was found that the five-site model performs better and describes the imperfect packing in small pores better. This is so because most of the strength of fluid-fluid interaction between two carbon tetrachloride molecules comes from the interactions among chlorine atoms. Methane, although having tetrahedral shape as carbon tetrachloride, can be effectively modeled as a pseudospherical particle because most of the interactions come from carbon-carbon interaction and hydrogen negligibly contributes to this.

Three-factor models versus time series models:quantifying time-dependencies of interactions between stimuli in cell biology and psychobiology for short longitudinal data

Signal integration determines cell fate on the cellular level, affects cognitive processes and affective responses on the behavioural level, and is likely to be involved in psychoneurobiological processes underlying mood disorders. Interactions between stimuli may subjected to time effects. Time-dependencies of interactions between stimuli typically lead to complex cell responses and complex responses on the behavioural level. We show that both three-factor models and time series models can be used to uncover such time-dependencies. However, we argue that for short longitudinal data the three factor modelling approach is more suitable. In order to illustrate both approaches, we re-analysed previously published short longitudinal data sets. We found that in human embryonic kidney 293 cells cells the interaction effect in the regulation of extracellular signal-regulated kinase (ERK) 1 signalling activation by insulin and epidermal growth factor is subjected to a time effect and dramatically decays at peak values of ERK activation. In contrast, we found that the interaction effect induced by hypoxia and tumour necrosis factor-alpha for the transcriptional activity of the human cyclo-oxygenase-2 promoter in HEK293 cells is time invariant at least in the first 12-h time window after stimulation. Furthermore, we applied the three-factor model to previously reported animal studies. In these studies, memory storage was found to be subjected to an interaction effect of the beta-adrenoceptor agonist clenbuterol and certain antagonists acting on the alpha-1-adrenoceptor / glucocorticoid-receptor system. Our model-based analysis suggests that only if the antagonist drug is administer in a critical time window, then the interaction effect is relevant.

Higher-order factor structures and intercorrelations of the 16PF5 and FIRO-B

This study investigated the intercorrelations and the independent and combined factor structures of the Sixteen Personality Factor Questionnaire Fifth Edition (16PF5) and the Fundamental Interpersonal Orientation-Behaviour Scale (FIRO-B). Four thousand four hundred and fourteen U.S. participants completed these measures as part of executive assessments between 1994 and 2003. Exploratory factor analyses supported the five-factor higher-order structure of the 16PF5; however, the three-component structure for the FIRO-B was not supported. A six-factor structure was found to underlie the variance in the measures in combination. Five of these were close to the 16PF5 higher-order structure, but a sixth factor labelled Social Independence also emerged. This new factor consisted of the 16PF5 primaries of Liveliness and Social Boldness, and the FIRO-B Wanted Control scale.

Liquidity and asset pricing: A comparison between three-factor and three-moment capital asset pricing models

Liquidity is an important attribute of an asset that investors would like to take into consideration when making investment decisions. However, the previous empirical evidence whether liquidity is a determinant of stock return is not unanimous. This dissertation provides a very comprehensive study about the role of liquidity in asset pricing using the Fama-French (1993) three-factor and Kraus and Litzenberger (1976) three-moment CAPM as models for risk adjustment. The relationship between liquidity and well-known determinants of stock returns such as size and book-to-market are also investigated. This study examines the liquidity and asset pricing issues for both intertemporal as well as cross-sectional data. ^ The results indicate an existence of a liquidity premium, i.e., less liquid stocks would demand higher rate of return than more liquid stocks. More specifically, a drop of 1 percent in liquidity is associated with a higher rate of return of about 2 to 3 basis points per month. Further investigation reveals that neither the Fama-French three-factor model nor the three-moment CAPM captures the liquidity premium. Finally, the results show that well-known determinants of stock return such as size and book-to-market do not serve as proxy for liquidity. ^ Overall, this dissertation shows that a liquidity premium exists in the stock market and that liquidity is a distinct effect, and is not influenced by the presence of non-market factors, market factors and other stock characteristics.^

Time orientation in organizations: Polychronicity and multitasking

This dissertation consists of four studies examining two constructs related to time orientation in organizations: polychronicity and multitasking. The first study investigates the internal structure of polychronicity and its external correlates in a sample of undergraduate students (N = 732). Results converge to support a one-factor model and finds measures of polychronicity to be significantly related to extraversion, agreeableness, and openness to experience. The second study quantitatively reviews the existing research examining the relationship between polychronicity and the Big Five factors of personality. Results reveal a significant relationship between extraversion and openness to experience across studies. Studies three and four examine the usefulness of multitasking ability in the prediction of work related criteria using two organizational samples (N = 175 and 119, respectively). Multitasking ability demonstrated predictive validity, however the incremental validity over that of traditional predictors (i.e., cognitive ability and the Big Five factors of personality) was minimal. The relationships between multitasking ability, polychronicity, and other individual differences were also investigated. Polychronicity and multitasking ability proved to be distinct constructs demonstrating differential relationships with cognitive ability, personality, and performance. Results provided support for multitasking performance as a mediator in the relationship between multitasking ability and overall job performance. Additionally, polychronicity moderated the relationship between multitasking ability and both ratings of multitasking performance and overall job performance in Study four. Clarification of the factor structure of polychronicity and its correlates will facilitate future research in the time orientation literature. Results from two organizational samples point to work related measures of multitasking ability as a worthwhile tool for predicting the performance of job applicants.

Workplace Discrimination Climate and Team Effectiveness: The Mediating Role of Collective Value Congruence, Team Cohesion, and Collective Affective Commitment

This study explored the relationship between workplace discrimination climate on team effectiveness through three serial mediators: collective value congruence, team cohesion, and collective affective commitment. As more individuals of marginalized groups diversify the workforce and as more organizations move toward team-based work (Cannon-Bowers & Bowers, 2010), it is imperative to understand how employees perceive their organization’s discriminatory climate as well as its effect on teams. An archival dataset consisting of 6,824 respondents was used, resulting in 332 work teams with five or more members in each. The data were collected as part of an employee climate survey administered in 2011 throughout the United States’ Department of Defense. The results revealed that the indirect effect through M1 (collective value congruence) and M2 (team cohesion) best accounted for the relationship between workplace discrimination climate (X) and team effectiveness (Y). Meaning, on average, teams that reported a greater climate for workplace discrimination also reported less collective value congruence with their organization (a1 = -1.07, p < .001). With less shared perceptions of value congruence, there is less team cohesion (d21 = .45, p < .001), and with less team cohesion there is less team effectiveness (b2 = .57, p < .001). In addition, because of theoretical overlap, this study makes the case for studying workplace discrimination under the broader construct of workplace aggression within the I/O psychology literature. Exploratory and confirmatory factor analysis found that workplace discrimination based on five types of marginalized groups: race/ethnicity, gender, religion, age, and disability was best explained by a three-factor model, including: career obstruction based on age and disability bias (CO), verbal aggression based on multiple types of bias (VA), and differential treatment based on racial/ethnic bias (DT). There was initial support to claim that workplace discrimination items covary not only based on type, but also based on form (i.e., nonviolent aggressive behaviors). Therefore, the form of workplace discrimination is just as important as the type when studying climate perceptions and team-level effects. Theoretical and organizational implications are also discussed.

E-service quality:development of a hierarchical model

Using survey data from 358 online customers, the study finds that the e-service quality construct conforms to the structure of a third-order factor model that links online service quality perceptions to distinct and actionable dimensions, including (1) website design, (2) fulfilment, (3) customer service, and (4) security/privacy. Each dimension is found to consist of several attributes that define the basis of e-service quality perceptions. A comprehensive specification of the construct, which includes attributes not covered in existing scales, is developed. The study contrasts a formative model consisting of 4 dimensions and 16 attributes against a reflective conceptualization. The results of this comparison indicate that studies using an incorrectly specified model overestimate the importance of certain e-service quality attributes. Global fit criteria are also found to support the detection of measurement misspecification. Meta-analytic data from 31,264 online customers are used to show that the developed measurement predicts customer behavior better than widely used scales, such as WebQual and E-S-Qual. The results show that the new measurement enables managers to assess e-service quality more accurately and predict customer behavior more reliably.

Designing gainsharing model variations with logistics service company

This thesis studies, in collaboration with a Finnish logistics service company, gainsharing and the development of a gainsharing models in a logistics outsourcing context. The purpose of the study is to create various gainsharing model variations for the use of a service provider and its customers in order to develop and enhance the customer’s processes and operations, create savings and improve the collaboration between the companies. The study concentrates on offering gainsharing model alternatives for companies operating in internal logistics outsourcing context. Additionally, the prerequisites for the gainsharing arrangement are introduced. In the beginning of the study an extensive literature review is conducted. There are three main themes explored which are the collaboration in an outsourcing context, key account management and gainsharing philosophy. The customer expectations and experiences are gathered by interviewing case company’s employees and its key customers. In order to design the gainsharing model prototypes, customers and other experts’ knowledge and experiences are utilized. The result of this thesis is five gainsharing model variations that are based on the empirical and theoretical data. In addition, the instructions related to each created model are given to the case company, but are not available in this paper