Exploring the conditional performance of UK unit trusts

We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter (2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities that the trusts hold.

Fractionating Human Intelligence

What makes one person more intellectually able than another? Can the entire distribution of human intelligence be accounted for by just one general factor? Is intelligence supported by a single neural system? Here, we provide a perspective on human intelligence that takes into account how general abilities or ‘‘factors’’ reflect the functional organiza- tion of the brain. By comparing factor models of individual differences in performance with factor models of brain functional organization, we demon- strate that different components of intelligence have their analogs in distinct brain networks. Using simulations based on neuroimaging data, we show that the higher-order factor ‘‘g’’ is accounted for by cognitive tasks corecruiting multiple networks. Finally, we confirm the independence of these com- ponents of intelligence by dissociating them using questionnaire variables. We propose that intelli- gence is an emergent property of anatomically distinct cognitive systems, each of which has its own capacity.

Testing for a Unit Root in Panels with Dynamic Factors

This paper studies testing for a unit root for large n and T panels in which the cross-sectional units are correlated. To model this cross-sectional correlation, we assume that the data is generated by an unknown number of unobservable common factors. We propose unit root tests in this environment and derive their (Gaussian) asymptotic distribution under the null hypothesis of a unit root and local alternatives. We show that these tests have significant asymptotic power when the model has no incidental trends. However, when there are incidental trends in the model and it is necessary to remove heterogeneous deterministic components, we show that these tests have no power against the same local alternatives. Through Monte Carlo simulations, we provide evidence on the finite sample properties of these new tests.

Nova Talenta: 2014-2015

Contenido Introducción 1. Inteligencia emocional, liderazgo transformacional y género: factores que influencian el desempeño organizacional / Ana María Galindo Londoño, Sara Urrego Mayorga; Director: Juan Carlos Espinosa Méndez. 2. El rol de la mujer en el liderazgo / Andrea Patricia Cuestas Díaz; Directora: Francoise Venezia Contreras Torres. 3. Liderazgo transformacional, clima organizacional, satisfacción laboral y desempeño. Una revisión de la literatura / Juliana Restrepo Orozco, Ángela Marcela Ochoa Rodríguez; Directora: Françoise Venezia Contreras Torres. 4. “E-Leadership” una perspectiva al mundo de las compañías globalizadas / Ángela Beatriz Morales Morales, Mónica Natalia Aguilera Velandia; Director: Juan Carlos Espinosa. 5. Liderazgo y cultura. Una revisión / Daniel Alejandro Romero Galindo; Directora: Francoise Venezia Contreras Torres. 6. La investigación sobre la naturaleza del trabajo directivo: una revisión de la literatura / Julián Felipe Rodríguez Rivera, María Isabel Álvarez Rodríguez; Director: Juan Javier Saavedra Mayorga. 7. La mujer en la alta dirección en el contexto colombiano / Ana María Moreno, Juliana Moreno Jaramillo ; Directora: Françoise Venezia Contreras Torres. 8. Influencia de la personalidad en el discurso y liderazgo de George W. Bush después del 11 de septiembre de 2011 / Karen Eliana Mesa Torres; Director: Juan Carlos Espinosa. 9. La investigación sobre el campo del followership: una revisión de la literatura / Christian D. Báez Millán, Leidy J. Pinzón Porras; Director: Juan Javier Saavedra Mayorga. 10. El liderazgo desde la perspectiva del poder y la influencia. Una revisión de la literatura / Lina María García, Juan Sebastián Naranjo; Director: Juan Javier Saavedra Mayorga. 11. El trabajo directivo para líderes y gerentes: una visión integradora de los roles organizacionales / Lina Marcela Escobar Campos, Daniel Mora Barrero; Director: Rafael Piñeros. 12. Participación emocional en la toma de decisiones / Lina Rocío Poveda C., Gloria Johanna Rueda L.; Directora: Francoise Contreras T. 13. Estrés y su relación con el liderazgo / María Camila García Sierra, Diana Paola Rocha Cárdenas; Director: Juan Carlos Espinosa. 14. “Burnout y engagement” / María Paola Jaramillo Barrios, Natalia Rojas Mancipe; Director: Rafael Piñeros.

Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis

In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. We find that affine models do not provide adequate performance either in-sample or out-of-sample. On the contrary, parsimonious models such as Nelson and Siegel have adequate results in-sample, however out-of-sample they are not able to systematically improve upon random walk base forecast.

Corporate social performance and stock returns: UK evidence from disaggregate measures

This study examines the relation between corporate social performance and stock returns in the UK. We closely evaluate the interactions between social and financial performance with a set of disaggregated social performance indicators for environment, employment, and community activities instead of using an aggregate measure. While scores on a composite social performance indicator are negatively related to stock returns, we find the poor financial reward offered by such firms is attributable to their good social performance on the environment and, to a lesser extent, the community aspects. Considerable abnormal returns are available from holding a portfolio of the socially least desirable stocks. These relationships between social and financial performance can be rationalized by multi-factor models for explaining the cross-sectional variation in returns, but not by industry effects.

Forecasting by factors, by variables, by both or neither?

We consider forecasting with factors, variables and both, modeling in-sample using Autometrics so all principal components and variables can be included jointly, while tackling multiple breaks by impulse-indicator saturation. A forecast-error taxonomy for factor models highlights the impacts of location shifts on forecast-error biases. Forecasting US GDP over 1-, 4- and 8-step horizons using the dataset from Stock and Watson (2009) updated to 2011:2 shows factor models are more useful for nowcasting or short-term forecasting, but their relative performance declines as the forecast horizon increases. Forecasts for GDP levels highlight the need for robust strategies, such as intercept corrections or differencing, when location shifts occur as in the recent financial crisis.

Distributions of caregiving tasks among family members: the place of gender and availability.

To extend family-oriented approaches to caregiving, participants in 2 studies were asked to distribute tasks among a set of adult children, first with information only about gender and then with systematically varied information about commitments to paid work, marriage, and/or parenting. Making the distributions, using a computer-based program, were 2 groups of older adults (ages 60 to 90 years). In Study 1, gender composition was kept constant (2 sons and 2 daughters). In Study 2, it was varied. The results showed several ways in which people combine attention to gender and to availability. The results also pointed to the need to consider both the number and type of tasks allocated. The results are discussed in terms of implications for the way caregiving is regarded, the development of multiple-factor models for variations among family members, and the possible replications and extensions to other circumstances and populations.

The factorial validity of emotional intelligence : an unresolved issue

An unresolved but pertinent issue in the field of emotional intelligence (EI) is factorial validity. Numerous studies have investigated this issue (Gignac, 2005; Mayer, Salovey, Caruso, & Sitarenios, 2003; Petrides & Furnham, 2000; Saklofske, Austin, & Minski, 2003), but most are based on correlations among subscale scores from relevant measures, making the implicit assumption that subscale scores are unidimensional, rather than questioning the structure of subscales themselves. Accordingly, the present study adopts the Anderson and Gerbing (1988) two-step strategy of first considering the structure within subscales before examining the relationship between subscales. An evaluation was undertaken using the Emotional Intelligence Scale (EIS, Schutte et al., 1998), the Work Profile Questionnaire – Emotional Intelligence Version (WQPei, Cameron, 1999) and the Mayer–Salovey–Caruso Emotional Intelligence Test (MSCEIT V.2., Mayer, Salovey, & Caruso, 1999b). Results were characterised by instability, heterogeneity and inconsistency. Specifically, the EIS was not found to form the homogenous structure postulated by authors. Similarly, support was not found for the seven factor model of the WPQei. Large discrepancies exist between the one, two and four factor models described by Mayer et al. (2003) for the MSCEIT V.2. and the 21 components revealed at the primary level in the current analyses. Additionally, reliability statistics for the MSCEIT V.2. were less than optimal. Questions remain regarding the clarity, reliability and validity of the instruments examined.

An investigation on asset allocation and performance measurement for unit trust funds in Malaysia using multifactor model : a post crisis period analysis

This study examines the pattern of asset allocation and the performance of unit trust in Malaysia over the post crisis period by using risk-adjusted performance measures and multi-factor model from the year 2000 to 2004. Evidence from the statistics suggests that an active asset allocation strategy had been observed among Malaysian fund managers during the post Asian financial crisis. It is also suggested that investment allocation in equity remained a dominant vehicle for investment and asset allocation. Findings from multifactor model suggest that all funds of different objectives registered positive alphas except for income funds, with growth funds being among the top. While balanced funds registered highest diversification effectively, diversifying away about 70%-80% of unsystematic risk, the momentum factor is not among the important elements to explain unit trust performance in Malaysia.

A nonparametric Bayesian Poisson Gamma model for count data

We propose a nonparametric Bayesian, linear Poisson gamma model for count data and use it for dictionary learning. A key property of this model is that it captures the parts-based representation similar to nonnegative matrix factorization. We present an auxiliary variable Gibbs sampler, which turns the intractable inference into a tractable one. Combining this inference procedure with the slice sampler of Indian buffet process, we show that our model can learn the number of factors automatically. Using synthetic and real-world datasets, we show that the proposed model outperforms other state-of-the-art nonparametric factor models.

Validation of patient health questionnaire (PHQ) for major depression in Chinese outpatients with multiple somatic symptoms: A multicenter cross-sectional study

Background: Despite the high co-morbidity of depressive symptoms in patients with multiple somatic symptoms, the validity of the 9-item Patient Health Questionnaire (PHQ-9) has not yet been investigated in Chinese patients with multiple somatic symptoms. Methods: The multicenter cross-sectional study was conducted in ten outpatient departments located in four cities in China. The psychometric properties of the PHQ-9 were examined by confirmative factor analysis (CFA). Criterion validation was undertaken by comparing results with depression diagnoses obtained from the Mini International Neuropsychiatric Interview (MINI) as the gold standard. Results: Overall, 491 patients were recruited of whom 237 had multiple somatic symptoms (SOM+ group, PHQ-15 ≥ 10). Cronbach's α of the PHQ-9 was 0.87, 0.87, and 0.90 for SOM+ patients, SOM- patients, and total sample respectively. All items and the total score were moderately correlated. The factor models of PHQ-9 tested by CFA yielded similar diagnostic performance when compared to sum score estimation. Multi-group confirmatory factor analysis based on unidimensional model showed similar psychometric properties over the groups with low and high somatic symptom burden. The optimal cut-off point to detect depression in Chinese outpatients was 10 for PHQ-9 (sensitivity=0.77, specificity=0.76) and 3 for PHQ-2 (sensitivity=0.77, specificity=0.74). Limitations: Potential selection bias and nonresponse bias with applied sampling method. Conclusions: PHQ-9 (cut-off point=10) and PHQ-2 (cut-off point=3) were reliable and valid to detect major depression in Chinese patients with multiple somatic symptoms.

On the determination of the number of factors using information criteria with data-driven penalty

As is well known, when using an information criterion to select the number of common factors in factor models the appropriate penalty is generally indetermine in the sense that it can be scaled by an arbitrary constant, c say, without affecting consistency. In an influential paper, Hallin and Liška (J Am Stat Assoc102:603–617, 2007) proposes a data-driven procedure for selecting the appropriate value of c. However, by removing one source of indeterminacy, the new procedure simultaneously creates several new ones, which make for rather complicated implementation, a problem that has been largely overlooked in the literature. By providing an extensive analysis using both simulated and real data, the current paper fills this gap.

Cross-sectional averages versus principal components

In spite of the increased use of factor-augmented regressions in recent years, little is known regarding the relative merits of the two main approaches to estimation and inference, namely, the cross-sectional average and principal component estimators. By providing a formal comparison of the approaches, the current paper fills this gap in the literature.

Detectando não-linearidades nos retornos dos fundos multimercados

Estudos recentes apontam que diversas estratégias implementadas em hedge funds geram retornos com características não lineares. Seguindo as sugestões encontradas no paper de Agarwal e Naik (2004), este trabalho mostra que uma série de hedge funds dentro da indústria de fundos de investimentos no Brasil apresenta retornos que se assemelham ao de uma estratégia em opções de compra e venda no índice de mercado Bovespa. Partindo de um modelo de fatores, introduzimos um índice referenciado no retorno sobre opções de modo que tal fator possa explicar melhor que os tradicionais fatores de risco a característica não linear dos retornos dos fundos de investimento.