Australian stock indexes and the four-factor model

Stock indexes are passive 'value-weighted' portfolios and should not have alphas which are significantly different from zero. If an index produces an insignificant alphan, then significant alphas for equity funds using this index can be attributed solely to manager performance. However, recent literature sugests that US Stock indexes can demonstrate significant alphas, which ultimately raise questions regarding equity fund manager performance in both the US and abroad. in this paper, we employ the Carhart four-factor model and newly available Asian-Pacific risk factors to generate alphas and risk factor loadings for eight Australian stock indexes from January 2004 to December 2012. We ifnd that the initial full sample period analysis does not provide indication of significant alphas in the indexes examined. However, by carrying out 36-month rolling regressions, we discover at least four significant alphas in seven of the eight indexes and factor loading variability. As previously reported in the US, this paper confirms similar issues with the four-factor model using Australian stock indexes and performance benchmarking. In effectively measuring Australian equity fund manager performance, it is therefore essential to evaluate a fund's alpha and risk factors relative to the alpha and risk factors of the appropriate benchmark index.

Confirmatory factory analysis of the Neck Disability Index in a general problematic neck population indicates a one-factor model

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.

A factor model of seasonality in stock returns

Published as an article in: The Quarterly Review of Economics and Finance, 2004, vol. 44, issue 2, pages 224-236.

Essays on Applications of the Factor Model

Thesis (Ph.D.)--University of Washington, 2013

A five factor model of grief : a q-methodological study /

Q-methodology permitted 41 people to communicate their perspective of grief. In an attempt to clarify the research to date and to allow those who have experienced this human journey to direct the scientists, 80 statements were chosen to present to the participants based on the research from academic and counselling sources. Five different perspectives emerged from the Q-sorts and factor analysis. Each perspective was valuable for the understanding of different groups of mourners. They were interpreted using questionnaire data and interview information. They are as follows: Factor 1- Growth Optimism; Factor 2 - Schema Destruction and Negative Affect; Factor 3- Identification with the Deceased Person; Factor 4- Intact World view with High Clarity and High Social Support; Factor 5- Schema Destruction with High Preoccupation and Attention to Emotion. Some people grow in the face of grief, others hold on to essentially the same schemas and others are devastated by their loss. The different perspectives reported herein supply clues to the sources of these differing outcomes. From examination of Factor 1, it appears that a healthy living relationship helps substantially in the event of loss. An orientation toward emotions that encourages clarity, exemplified by Factor 4, without hyper-vigilance to emotion may be helpful as well. Strategies for maintaining schematic representations of the world with little alteration include: identification with the values of the deceased person, as in Factor 3 and reliance on social support and/or God as demonstrated by Factor 4. When the relationship had painful periods, social support may be accessed to benefit some mourners. When the person's frame of reference or higher order schemas are assaulted by the events of loss, the people most at risk for traumatic grief seem to be those with difficult relationships as indicated by Factor 5 individuals. When low social support, high attention to emotion with low clarity and little belief that feelings can be altered for the better are also attributes of the mourner devastating grief can result. In the end, there are groups of people who are forced to endure the entire process of schema destruction and devastation. Some appear to recover in part and others appear to stay in a form of purgatory for many years. The results of this study suggest that, those who experience devastating grief may be in the minority. In the future interventions could be more specifically addressed if these perspectives are replicated in a larger, more detailed study.

A Semi-Parametric Factor Model for Interest Rates.

Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor models of interest rates but proposes a semi-parametric procedure to model interest rates.

The use of the bi-factor model to test the uni-dimensionality of a battery of reasoning tests

Resumen tomado de la publicación

Real-time factor model forecasting and the effects of instability

Factor forecasting models are shown to deliver real-time gains over autoregressive models for US real activity variables during the recent period, but are less successful for nominal variables. The gains are largely due to the Financial Crisis period, and are primarily at the shortest (one quarter ahead) horizon. Excluding the pre-Great Moderation years from the factor forecasting model estimation period (but not from the data used to extract factors) results in a marked fillip in factor model forecast accuracy, but does the same for the AR model forecasts. The relative performance of the factor models compared to the AR models is largely unaffected by whether the exercise is in real time or is pseudo out-of-sample.

Dimensional approaches to schizophrenia: A comparison of the Bern Psychopathology scale and the five-factor model of the Positive and Negative Syndrome Scale

The aim was to examine to what extent the dimensions of the BPS map the five factors derived from the PANSS in order to explore the level of agreement of these alternative dimensional approaches in patients with schizophrenia. 149 inpatients with schizophrenia spectrum disorders were recruited. Psychopathological symptoms were assessed with the Bern Psychopathology Scale (BPS) and the Positive and Negative Syndrome Scale (PANSS). Linear regression analyses were conducted to explore the association between the factors and the items of the BPS. The robustness of patterns was evaluated. An understandable overlap of both approaches was found for positive and negative symptoms and excitement. The PANSS positive factor was associated with symptoms of the affect domain in terms of both inhibition and disinhibition, the PANSS negative factor with symptoms of all three domains of the BPS as an inhibition and the PANSS excitement factor with an inhibition of the affect domain and a disinhibition of the language and motor domains. The results show that here is only a partial overlap between the system-specific approach of the BPS and the five-factor PANSS model. A longitudinal assessment of psychopathological symptoms would therefore be of interest.

A note on three factor model of discounting

In Montiel Olea and Strzalecki (2014), authors have axiomatically developed an algorithm to infer the parameters of beta-delta model of cognitive bias (present and future biases). While this is extremely useful, it allows the implied beta to become very large when the response is impatient in the future choices relative to present choices, i.e., when there is a strong future bias. I modify the model to further exponentiate the functional form to get more reasonable beta values.

A dynamic factor model for mid-term forecasting of wind power generation

The main objective of this paper is the development and application of multivariate time series models for forecasting aggregated wind power production in a country or region. Nowadays, in Spain, Denmark or Germany there is an increasing penetration of this kind of renewable energy, somehow to reduce energy dependence on the exterior, but always linked with the increaseand uncertainty affecting the prices of fossil fuels. The disposal of accurate predictions of wind power generation is a crucial task both for the System Operator as well as for all the agents of the Market. However, the vast majority of works rarely onsider forecasting horizons longer than 48 hours, although they are of interest for the system planning and operation. In this paper we use Dynamic Factor Analysis, adapting and modifying it conveniently, to reach our aim: the computation of accurate forecasts for the aggregated wind power production in a country for a forecasting horizon as long as possible, particularly up to 60 days (2 months). We illustrate this methodology and the results obtained for real data in the leading country in wind power production: Denmark

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.