Single-factor model

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Single-factor model

A model of security returns that acknowledges only one common factor. The single factor is usually the market return. See: Factor model.

Single-Factor Model

A mathematical calculation of the extent to which one macroeconomic factor affect the securities in a portfolio. Single-factor models attempt to account for contingencies like changes in interest rate or inflation. Usually, however, a single-factor model considers how the market return affects the return on the portfolio. See also: Risk analysis, Factor model.
References in periodicals archive ?
In the CFA model, we tested whether a 2-factor model comprised of distress tolerance and current symptoms was a better fit to the data than a single factor model.
In order to analyze the construct related validity of the DBVS, two alternative models were tested using CFA: a single factor model frequently used in delinquency research (e.
The model with both fixed effects performed better than either single factor model ([X.
Section III reviews the structure of the Vasicek (1987, 1991) model for measuring default risk diversification including the so-called asymptotic single factor model.
Although a slightly greater proportion of crabs were nearer the unenergized cable than the energized cable, cable type in the single factor model had no effect on crab response (n= 184, -log likelihood =0.
These results were confirmed by Macmann, Mueller-Plasket, Barnett, and Siler (1991), who conducted a principal component factor analysis with 829 children who had total IQ scores of 120 or above, in which the single factor model (composed of Information, Similarities, Vocabulary and Comprehension) was the most consistent solution.
Like the single factor model, the two-factor model did not provide a fully adequate fit to the data, [chi square] fit (859) = 2186.
The first model tested was the single factor model, which has been used in the majority of published studies to date (see Schutte et al.
2003), found that the data did not fit well with either the 1- or 2-factor models; as a consequence they systematically modified the single factor model by eliminating items until a good fit with the data was obtained.
The correlation matrix S constructed in this fashion does not fit a single factor model (as we demonstrate below).
The single factor model was forced by fixing the correlation between the two factors to -1.
As the single factor model is a nested variant of Model 1 the relative fit of these models can be compared statistically by performing a Chi Square test on the difference in Chi Squares for the two models.
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