factor model


Also found in: Financial.

factor model

[′fak· tər ‚mäd·əl]
(statistics)
Any one of the probability models which goes into the construction of a product model.
References in periodicals archive ?
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.
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.