Since we can have a wide variety of investment styles, single-factor models can yield biased estimates of performance.
For a conditional single-factor model, the regression becomes:
Studies examining the structure of problem behavior by gender have found that single-factor models describe a significant portion of the variance for both male and female participants, but the factor loadings for specific problem behaviors appear to differ by gender (Donovan & Jessor, 1985; Donovan et al.
The single-factor model explained 54% of the variance in these measures, a value that is somewhat higher than values found when first-order, single-factor models are tested with general samples of American youths (Donovan & Jessor, 1985; Donovan et al.
Previous research has found evidence to suggest reverse scoring items perform poorly in single-factor models (Woods, 2006).
When seen collectively, the single-factor model demonstrates a poor fitting model to the data.
These single-factor models cannot be compared statistically with one another directly, but based on Akaike's Information Criterion (AIC) scores, the time model was the most parsimonious of the five.
Estimates ([+ or -]1 SC) of fine root survival and decomposition rates (from MARK) for single-factor models separately evaluating the effects of time period ([[Phi].
Single-factor models may be "good enough" for some applications such as managing portfolios of similar-maturity bonds, but they will result in hedging error when applied to complex securities, such as spread derivatives, for example.
Examples of equilibrium-based interest rate models include the Cox, Ingersoll, and Ross (1985), or CIR, model and the widely used Vasicek (1977) model--both usually implemented as single-factor models.
In this Part, we compare the explanatory power of single-factor models
such as the CAPM and the market model with multifactor models such as the APT.
Exhibit 3 illustrates the need for a multi-factor model, as opposed to a single-factor model
, for systematic risk.