The alpha coefficients for coronary care and mental health II (Table 3) are for the summated scales that exclude the variable that had the lowest loading in the estimate for the corresponding factor model
This is not a novel idea, though new factor models
and analytic strategies are developing constantly.
The dynamic factor model
has gained popularity for two important reasons.
between the second-order factor model
and the four-factor model
CFA results for the single factor model
were: NFI = 89; NNFI = 90; CFI = .
Larger samples could also accommodate the number of parameters estimated in second-order factor models
The Five Factor Model
(FFM) of personality is widely used as a basis for assessment of stress vulnerability (Costa, Somerfield & McCrae, 1996).
Cross Sectional Regressions for the CNZ, Fama-French and GDP Factors (Quarterly Data) This table reports the second-pass cross sectional regressions of a linear factor model
[Equation (7)] for 12 of the 25 Fama and French (1993) portfolios sorted by size and book-to-market.
became a pioneer in the field of quantitative investing when he invented the first Expected Return Factor Model
, capitalizing on natural inefficiencies in the market.
The Norris-Landzberg (NL) model (1969) is an acceleration factor model
that has served electronics for years.
They then add these two factors to CAPM to reflect a portfolio's exposure--that is, the Fama-French three factor model
, which corresponds to the following 3-factor regression:
We establish this fact by drawing comparisons between the static factor model
for the CFNAI and several dynamic factor models
that include quarterly real GDP growth but differ from the Brauning and Koopman (2014) methodology in how they include it.