Factor model

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Factor model

A way of decomposing the forces that influence a security's rate of return into common and firm-specific influences.

Factor Model

A mathematical calculation of the extent to which macroeconomic factors affect the securities in a portfolio. Factor models attempt to account for contingencies like changes in interest rates or inflation. Factor models fall into three main categories. A statistical factor model attempts to explain risks particular to an investment. A fundamental factor model looks at risks to an industry or market that may affect a portfolio. Finally, a macroeconomic factor model considers relevant risks to the wider economy. See also: Risk analysis.
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Therefore, the statistical factor models passes neither the time-series or the cross-section tests in this analysis.
A Statistical Factor Asset Pricing Model Versus the 4-Factor Model/Modelo Estatistico de Aprecamento de Ativos Versus o Modelo de Quatro Fatores
The current findings show no support for preferring either the one or three factor models over the other; both models appear to fit the data equally well.
WOMEN'S IRRATIONAL BELIEFS ABOUT TRADITIONAL FEMININE SEX ROLE STEREOTYPES WITH THE MULTI-CULTURAL VERSION OF THE O'KELLY WOMEN BELIEFS SCALE
The factor models which are measurement models explaining the relationship between the three latent constructs namely "Socio-environment cost", "Socio-cultural cost" and "Socio-economic cost" and their respective indicator variables are finally arrived at with necessary revisions.
Structural Equation Modeling of Perceived Impacts of Tourism--A Study in Residents Perspective
Due to advancements in data collection techniques, factor models have become increasingly popular.
Asset Returns and Economic Conditions
"Determining the Number of Factors in Approximate Factor Models." Econometrica, 70, 2002, 191-221.
The effect of minimum wages on employment: a factor model approach
If needed they can even be included in multiple factor models and assigned to constant values including zero as appropriate in the product.
Products of Compartmental Models in Epidemiology
At the same time, their focus was less on off-the-shelf factor capabilities and more on strategic factor models and a more holistic multi-factor approach that explains all of their factor exposures.
Big Investors Boost Use of Factor Investing Strategies
Detailed analysis of dynamics of the standard four factors from the Carhart model helped us to define the final specification of the five factor model. Below we present the detailed description of the procedure of calculating HML, SMB, VML and VMC risk factors, definitions of zero-investment portfolios based on them and then our observation concerning these factors' dynamics.
Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices
Lastly, the differences between the chi-square-values for the three models were calculated following a likelihood ratio test under the null hypothesis that the one-factor model fits as well as the two-factor models, and that the two-correlated factor model fits as well as the hierarchical factor model.
Estructura factorial y propiedades psicometricas de la Escala de Actitudes Disfuncionales Revisada en universitarios colombianos
This debate is very relevant to the use of factor models. These models, which are used to design investment portfolios with specific characteristics, have been one of the most successful methods to come out of academic finance in the past 40 years.
Financial markets don't work as well as we thought
(2011) and Machado & Medeiros (2011), among others, have demonstrated that this model is more suitable to explain the return on assets than the CAPM and other factor models as well.
Value premium and country risk as dimensions to estimate conditional returns: a study of the Brazilian market

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