Two-factor model

Two-factor model

Usually, Fischer Black's zero-beta version of the capital asset pricing model. It may also refer to another type of model whereby expected returns are generated by any two factors.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

Two-Factor Model

1. An economic model that states that production is derived from two factors. These factors are the availability of cost of labor and the availability and cost of capital.

2. A form of the capital asset pricing model that does not account for beta. This form of the CAPM was developed by Fischer Black.

3. Any economic model that discusses two factors as predominate or exclusive causes of some event.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved
References in periodicals archive ?
After examining the model fit indices of the one-factor model, the factor loadings of the two-factor model and the correlation matrix for the Spanish version, the researcher decided to run a modified EFA.
I demonstrate the salient features of the ZLBGATSM framework using a two-factor model. An illustrative estimation with US term structure data indicates that the ZLB-GATSM "shadow short rate" provides a useful gauge of the stance of monetary policy; in particular becoming negative when the US policy rate reached the ZLB in late 2008, and moving more negative with subsequent unconventional monetary policy easings.
First a one-factor model was analysed and it was compared with a separate, but correlated, two-factor model of social and economic exchanges.
Table 2 Comparison of Alternative Confirmatory Factor Analysis Models [DELTA][chi square] AIC Model [chi square] df ([DELTA]df) index Study 2 (n=341) Hypothesized 120.33 51 -- 174.33 (second-order model) One factor 186.68 54 66.35 (3) ** 234.68 Two-factor Model 2 173.85 52 53.52 (1) ** 225.85 (structural +relational combined) Two-factor Model 3 185.90 52 65.57 (1) ** 237.87 (structural +cognitive combined) Two-factor Model 4 173.70 52 53.37 (1) ** 225.71 (relational +cognitive combined) ** p <.01 AIC, Akaike information criterion; df, degree of freedom.
The two-factor model also showed better fit to the data according to the comparative fit index (two-factor model = .91, one-factor model = .85), the goodness-of-fit index (two-factor model = .91, one-factor model = .87), and the Tucker-Lewis index (two-factor model = .89, one-factor model = .82).
The two-factor model of attitudes toward menopause and their antecedents is shown in Figure 1.
Next, another two-factor model incorporating Physiological hyperarousal and a General negative affect factors was tested.
The Positive and Negative Affect Schedule (PANAS; Watson & Clark, 1988) is a 20-item scale designed to measure a two-factor model of mood--positive affect and negative affect.
An exploratory factor analysis revealed a three-factor model that accounted for 54% of the variance of the intercorrelation matrix and a two-factor model that accounted for 47% of the variance.
When added to the two-factor model, it showed that it contains incremental information over the market risk premium as far as the future state of the macroeconomy is concerned.
Principal components analysis was performed in order to determine the parameters for the one--and for the two-factor models. They found the surprising result that the one-factor HJM with proportional linear volatility outperformed the two-factor model for German interest rate warrants over 1989 to 1993.