The role of an illiquidity factor in the Portuguese stock market

This study examines the role of illiquidity (proxied by the proportion of zero returns) as an additional risk factor in asset pricing. We use Portuguese monthly data, covering the period between January 1988 and December 2008. We compute an illiquidity factor using the Fama and French [Fama, E. F., and K. R. French (1993), "Common risk factors in the returns on stocks and bonds", Journal of Financial Economics, Vol. 33, Nº. 1, pp. 3-56] procedure and analyze the performance of CAPM, Fama-French three-factor model and illiquidity-augmented versions of these models in explaining both the time-series and the cross-section of returns. Our results reveal that the effect of characteristic liquidity is subsumed by the models considered, but the risk of illiquidity is not priced in the Portuguese stock market.

Inventário de Medos III : Avaliação das qualidades psicométricas em uma amostra portuguesa

Este estudo teve como objetivo avaliar as qualidades psicométricas do Fear Survey Schedule-III, em uma amostra portuguesa. Participaram 1.980 sujeitos selecionados por conveniência a partir de uma população adulta normativa. As idades dos participantes estavam compreendidas entre os 18 e os 80 anos (M = 39,5, DP = 8,5), sendo 59% do sexo feminino. As qualidades psicométricas da escala foram avaliadas em suas facetas de sensibilidade psicométrica, validade de construto e confi abilidade. A validade externa de construto foi avaliada com análise multigrupos em amostra aleatória e independente da amostra de validação inicial. O modelo fatorial original proposto apresentou um ajustamento inaceitável à amostra de validação. Procedeu-se ao refi namento do modelo de medida em uma parte da amostra, selecionada aleatoriamente. Em conclusão, o modelo de medida simplifi cado apresentou uma boa qualidade de ajustamento fatorial e foi invariante em uma segunda amostra independente da primeira. Propôs-se uma nova estrutura hierárquica, com fator de 2ª ordem designado por “Medos”, que revelou boas qualidades psicométricas (sensibilidade, validade de construto e confi abilidade).

Personality traits and behavioural and psychological symptoms in patients with mild cognitive impairment.

BACKGROUND AND AIMS: Both personality changes and behavioural and psychological symptoms (BPS) may be associated with mild cognitive impairment (MCI) in later life and help identify incipient dementia. We wished to investigate the links between personality and BPS in MCI. METHOD: We studied premorbid personality traits as estimated 5 years back and their changes in 83 control subjects and 52 MCI patients using the revised NEO Personality Inventory for the Five-Factor Model completed by a proxy. Information on BPS was obtained using the Neuropsychiatric Inventory (NPI). Analyses were controlled for current depression and anxiety. RESULTS: Premorbid neuroticism and openness to experience were associated with the total NPI score. The changes in neuroticism, extraversion, openness to experiences, and conscientiousness were associated with apathy and affective symptoms. CONCLUSIONS: Personality changes and BPS occur in MCI. The occurrence of affective BPS and apathy is associated with both premorbid personality traits and their changes.

Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty

This paper extends the Nelson-Siegel linear factor model by developing a flexible macro-finance framework for modeling and forecasting the term structure of US interest rates. Our approach is robust to parameter uncertainty and structural change, as we consider instabilities in parameters and volatilities, and our model averaging method allows for investors' model uncertainty over time. Our time-varying parameter Nelson-Siegel Dynamic Model Averaging (NS-DMA) predicts yields better than standard benchmarks and successfully captures plausible time-varying term premia in real time. The proposed model has significant in-sample and out-of-sample predictability for excess bond returns, and the predictability is of economic value.

Personality, psychosocial and health-related predictors of quality of life in old age.

OBJECTIVES: Beyond its well-documented association with depressive symptoms across the lifespan, at an individual level, quality of life may be determined by multiple factors: psychosocial characteristics, current physical health and long-term personality traits. METHOD: Quality of life was assessed in two distinct community-based age groups (89 young adults aged 36.2 ± 6.3 and 92 older adults aged 70.4 ± 5.5 years), each group equally including adults with and without acute depressive symptoms. Regression models were applied to explore the association between quality of life assessed with the World Health Organization Quality of Life - Bref (WHOQOL-Bref) and depression severity, education, social support, physical illness, as well as personality dimensions as defined by the Five-Factor Model. RESULTS: In young age, higher quality of life was uniquely associated with lower severity of depressive symptoms. In contrast, in old age, higher quality of life was related to both lower levels of depressive mood and of physical illness. In this age group, a positive association was also found between quality of life and higher levels of Openness to experience and Agreeableness personality dimensions. CONCLUSION: Our data indicated that, in contrast to young cohorts, where acute depression is the main determinant of poor quality of life, physical illness and personality dimensions represent additional independent predictors of this variable in old age. This observation points to the need for concomitant consideration of physical and psychological determinants of quality of life in old age.

Fiscal foresight and the effects of government spending

We study the effects of government spending by using a structural, large dimensional, dynamic factor model. We find that the government spending shock is non-fundamental for the variables commonly used in the structural VAR literature, so that its impulse response functions cannot be consistently estimated by means of a VAR. Government spending raises both consumption and investment, with no evidence of crowding out. The impact multiplier is 1.7 and the long run multiplier is 0.6.

Fiscal policy, foresight and the trade balance in the U.S.

This paper investigates the effects of fiscal policy on the trade balance using a structural factor model. A fiscal policy shock worsens the trade balance and produces an appreciation of the domestic currency but the effects are quantitatively small. The findings match the theoretical predictions of the standard Mundell-Fleming model, although fiscal policy should not be considered one of the main causes of the large US external deficit. My conclusions differ from those reached using VAR models since the fiscal shock, possibly due to fiscal foresight, is nonfundamental for the variables typically used in open economy VARs.

Personality changes in patients with beginning Alzheimer disease.

Objective: To investigate personality traits in patients with Alzheimer disease, compared with mentally healthy control subjects. We compared both current personality characteristics using structured interviews as well as current and previous personality traits as assessed by proxies. Method: Fifty-four patients with mild Alzheimer disease and 64 control subjects described their personality traits using the Structured Interview for the Five-Factor Model. Family members filled in the Revised NEO Personality Inventory, Form R, to evaluate their proxies' current personality traits, compared with 5 years before the estimated beginning of Alzheimer disease or 5 years before the control subjects. Results: After controlling for age, the Alzheimer disease group presented significantly higher scores than normal control subjects on current neuroticism, and significantly lower scores on current extraversion, openness, and conscientiousness, while no significant difference was observed on agreeableness. A similar profile, though less accentuated, was observed when considering personality traits as the patients' proxies remembered them. Diachronic personality assessment showed again significant differences between the 2 groups for the same 4 domains, with important personality changes only for the Alzheimer disease group. Conclusions: Group comparison and retrospective personality evaluation are convergent. Significant personality changes follow a specific trend in patients with Alzheimer disease and contrast with the stability generally observed in mentally healthy people in their personality profile throughout their lives. Whether or not the personality assessment 5 years before the current status corresponds to an early sign of Alzheimer disease or real premorbid personality differences in people who later develop Alzheimer disease requires longitudinal studies.

No news in business cycles

This paper uses a structural, large dimensional factor model to evaluate the role of 'news' shocks (shocks with a delayed effect on productivity) in generating the business cycle. We find that (i) existing small-scale VECM models are affected by 'non-fundamentalness' and therefore fail to recover the correct shock and impulse response functions; (ii) news shocks have a limited role in explaining the business cycle; (iii) their effects are in line with what predicted by standard neoclassical theory; (iv) the bulk of business cycle fluctuations are explained by shocks unrelated to technology.

Robust Factor Analysis for Compositional Data

Factor analysis as frequent technique for multivariate data inspection is widely used also for compositional data analysis. The usual way is to use a centered logratio (clr)transformation to obtain the random vector y of dimension D. The factor model istheny = Λf + e (1)with the factors f of dimension k & D, the error term e, and the loadings matrix Λ.Using the usual model assumptions (see, e.g., Basilevsky, 1994), the factor analysismodel (1) can be written asCov(y) = ΛΛT + ψ (2)where ψ = Cov(e) has a diagonal form. The diagonal elements of ψ as well as theloadings matrix Λ are estimated from an estimation of Cov(y).Given observed clr transformed data Y as realizations of the random vectory. Outliers or deviations from the idealized model assumptions of factor analysiscan severely effect the parameter estimation. As a way out, robust estimation ofthe covariance matrix of Y will lead to robust estimates of Λ and ψ in (2), seePison et al. (2003). Well known robust covariance estimators with good statisticalproperties, like the MCD or the S-estimators (see, e.g. Maronna et al., 2006), relyon a full-rank data matrix Y which is not the case for clr transformed data (see,e.g., Aitchison, 1986).The isometric logratio (ilr) transformation (Egozcue et al., 2003) solves thissingularity problem. The data matrix Y is transformed to a matrix Z by usingan orthonormal basis of lower dimension. Using the ilr transformed data, a robustcovariance matrix C(Z) can be estimated. The result can be back-transformed tothe clr space byC(Y ) = V C(Z)V Twhere the matrix V with orthonormal columns comes from the relation betweenthe clr and the ilr transformation. Now the parameters in the model (2) can beestimated (Basilevsky, 1994) and the results have a direct interpretation since thelinks to the original variables are still preserved.The above procedure will be applied to data from geochemistry. Our specialinterest is on comparing the results with those of Reimann et al. (2002) for the Kolaproject data

Validation d'une version abrégée du TCI (TCI-56) sur un échantillon de jeunes fumeurs et non-fumeurs

Introduction: The psychobiological seven-factor model proposed by Cloninger et al. (1993) takes into account temperament and character dimensions to describe personality. Four of the dimensions are linked with biological, genetic and neuroanatomic structures, whereas the three other dimensions are related to the degree of individual, social and spiritual development. A study conducted by Wills et al. (1994) with adolescents showed that substance abuse was associated with high scores on Novelty Seeking and low scores on Harm Avoidance and Reward Dependence. The aim of the present study was, firstly, to create a short form of Cloninger's (1993) Temperament and Character Inventory (TCI) and, secondly, to study the impact of nicotine dependence as well as demographic variables on a sample of young adults. Method: We created a short form of the TCI containing 56 items (TCI-56), 8 for each scale. Responses are made on a five-point Likert type scale. A Swiss sample (n=211), of 116 women and 95 men, aged from 15 to 30 years, participated in this study. Our population was divided into a group of 81 smokers and another of 130 non-smokers, according to their scores on the Fagerstörm test for nicotine dependence (1999). Results: The structural validation consisted of two separate factor analysis with varimax rotations, one for the temperamental items, and the other, for the character ones. The first factor analysis conducted on the items of the temperament scales allowed to extract 4 factors explaining 40.7% of the variance. The correlations between factors and scales are the following: r=.71 for Novelty Seeking, r=.69 for Persistence, r=.95 for Harm Avoidance, r=.94 for Reward Dependence. The second factor analysis conducted on the items of the character scales allowed to extract 3 factors explaining 41.5% of the variance. The correlations between factors and scales are the following: r=.94 for Self-Directedness, r=.91 for Cooperativeness and r=.99 for Self-Transcendence. The internal consistencies range from α=.65 to α=.75 for the temperament scales, and from α=.71 to α=.83 for the three character scales. Concerning, the impact of the nicotine dependence, we observed that smokers have significantly higher scores for Novelty seeking, than non-smokers (p=.01). We found no difference for Harm Avoidance and Reward Dependence. Nevertheless, smokers seem to have the tendency to score higher on Transcendence (p=.06). Moreover, people having smoked more than 100 cigarettes in their life have significantly higher scores on this scale (p.04) and the correlation between Transcendence and the Fagerstörm test is significant (r=.19). We also found gender differences: the women (N=116) obtain significantly higher scores for Harm Avoidance (p<.001), for Reward Dependence (p<.001) and for Cooperation (p=.01). We further found a significant correlation between age and Self-Directedness, r=.34. We observed no interaction between gender and smoking or age and smoking on the dimensions of the TCI-56. Discussion: The TCI short form (TCI-56) seems to be a valid and useful inventory to assess personality differences. Confirming the results of others about the relation between addiction and personality, we found that smokers have significantly higher scores for Novelty seeking, than non-smokers. But we were not able to find any significant differences for Harm Avoidance and Reward Dependence. This might be due to our sample that was made of young adults. This study also shows that Transcendence could be an interesting dimension for studies on Tobacco smoking to consider. Concerning the impact of demographic variables, we observed that age and gender have specific and coherent influence on personality.

The hierarchical structures of the NEO-PI-R and the 16PF5

The present study compares the higher-level dimensions and the hierarchical structures of the fifth edition of the 16 PF with those of the NEO PI-R. Both inventories measure personality according to five higher-level dimensions. These inventories were however constructed according to different methods (bottom-up vs. top-down). 386 participants filled out both questionnaires. Correlations, regressions and canonical correlations made it possible to compare the inventories. As expected they roughly measure the same aspects of personality. There is a coherent association among four of the five dimensions measured in the tests. However Agreeableness, the remaining dimension in the NEO PI-R, is not represented in the 16 PF 5. Our analyses confirmed the hierarchical structures of both instruments, but this confirmation was more complete in the case of the NEO PI-R. Indeed, a parallel analysis indicated that a four-factor solution should be considered in the case of the 16 PF 5. On the other hand, the NEO PI-R's five-factor solution was confirmed. The top-down construction of this instrument seems to make for a more legible structure. Of the two five-dimension constructs, the NEO PI-R thus seems the more reliable. This confirms the relevance of the Five Factor Model of personality.

A review of the cross-cultural equivalence of frequently used personality inventories

Personality inventories are frequently used for career guidance. Some should theoretically depend on cultural context, while others are supposed to be universal. The cross-cultural equivalence is only partial for culture-dependent models, as the locus of control. Concerning models that are supposed to be universal like the one proposed by Cattell or the Five-Factor Model, a partial and a full structural equivalence are, respectively observed. The extent of the scalar equivalence is difficult to assess indicating that more studies should be conducted to understand how culture affects processes underlying the evaluation of personality.

Personality changes in patients with beginning Alzheimer disease

Objective: To investigate personality traits in patients with Alzheimer disease, compared with mentally healthy control subjects. We compared both current personality characteristics using structured interviews as well as current and previous personality traits as assessed by proxies.Method: Fifty-four patients with mild Alzheimer disease and 64 control subjects described their personality traits using the Structured Interview for the Five-Factor Model. Family members filled in the Revised NEO Personality Inventory, Form R, to evaluate their proxies' current personality traits, compared with 5 years before the estimated beginning of Alzheimer disease or 5 years before the control subjects.Results: After controlling for age, the Alzheimer disease group presented significantly higher scores than normal control subjects on current neuroticism, and significantly lower scores on current extraversion, openness, and conscientiousness, while no significant difference was observed on agreeableness. A similar profile, though less accentuated, was observed when considering personality traits as the patients' proxies remembered them. Diachronic personality assessment showed again significant differences between the 2 groups for the same 4 domains, with important personality changes only for the Alzheimer disease group.Conclusions: Group comparison and retrospective personality evaluation are convergent. Significant personality changes follow a specific trend in patients with Alzheimer disease and contrast with the stability generally observed in mentally healthy people in their personality profile throughout their lives. Whether or not the personality assessment 5 years before the current status corresponds to an early sign of Alzheimer disease or real premorbid personality differences in people who later develop Alzheimer disease requires longitudinal studies.

The evolution of personality in patients with mild cognitive impairment.

Aims: To describe personality traits and their changes in mild cognitive impairment (MCI) and control subjects. Methods: Sixty-three MCI and 90 control subjects were asked to describe their current personality traits by the Structured Interview for the Five-Factor Model (SIFFM). For each subject, a close relative retrospectively assessed these descriptions both as to the previous and current personality traits, using the Revised NEO Personality Inventory, Form R (NEO-PI-R). Results: Self-assessed MCI subjects reported significantly lower scores in the openness dimension than control subjects [F(1, 150) = 9.84, p = 0.002, ηp(2) = 0.06]. In current observer ratings, MCI subjects had higher scores on neuroticism [F(1, 137) = 7.55, p = 0.007, ηp(2) = 0.05] and lower ones on extraversion [F(1, 137) = 6.40, p = 0.013, ηp(2) = 0.04], openness [F(1, 137) = 9.93, p = 0.002, ηp(2) = 0.07], agreeableness [F(1, 137) = 10.18, p = 0.002, ηp(2) = 0.07] and conscientiousness [F(1, 137) = 25.96, p < 0.001, ηp(2) = 0.16]. Previous personality traits discriminated the groups as previous openness [odds ratio (OR) = 0.97, 95% confidence interval (CI) = 0.95-0.99, p = 0.014] and conscientiousness (OR = 0.96, 95% CI 0.94-0.98, p = 0.001) were negatively related to MCI group membership. In MCI subjects, conscientiousness [F(1, 137) = 19.20, p < 0.001, ηp(2) = 0.12] and extraversion [F(1, 137) = 22.27, p < 0.001, ηp(2) = 0.14] decreased between previous and current evaluations and neuroticism increased [F(1, 137) = 22.23, p < 0.001, ηp(2) = 0.14], whereas no significant change was found in control subjects. Conclusions: MCI subjects undergo significant personality changes. Thus, personality assessment may aid the early detection of dementia. © 2013 S. Karger AG, Basel.