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.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

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.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved
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Table 1 Fit statistics for the one and three factor models Model RMSEA CFI TLI SRMR [chi square] Single factor model 0.06 .88 .87 .05 19368,63** Three factor model 0.05 .90 .89 .05 19368,63** Model AIC BIC Single factor model 129316,22 129867,46 Three factor model 128942,21 129509,66 Table 2 Standardized factor loadings for one and three factor models Item Area Item wording 12 Love If I did not satisfy the wishes of others, particularly the men in my life, it would be unbearable (L1).
Numerous studies reject the single factor model and state that market risk premium is not capture fiill relevant information [Officer (1973) and Breeden and Douglas (1979)].
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. Distress tolerance was a latent factor with four indicators (the DTS subscale scores).
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.g.
The model with both fixed effects performed better than either single factor model ([X.sup.2] = 35.65, df=1, P=2[E.sup.-9]), and adding the interaction term (fish*American Bullfrogs) provided no benefit (Table 1A).
Section III reviews the structure of the Vasicek (1987, 1991) model for measuring default risk diversification including the so-called asymptotic single factor model. Section IV discusses concentration risks that arise in finite portfolios of obligors with uniform risk and exposure characteristics.
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 =0.266, [X.sup.2] =0.5318, DF = 1, p=0.466, AIC = 259.897).
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.
The researchers mainly used single factor model to study the term structure of SHIBOR.
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., 2007; Zizzi et al., 2003).
(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.
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