In this paper, we empirically test a new model with the data of US services sector, which is an extension of the 5-factor model in Fama and French (2015) [1]. 3 types of 5 factors (Global, North American and US) are c...In this paper, we empirically test a new model with the data of US services sector, which is an extension of the 5-factor model in Fama and French (2015) [1]. 3 types of 5 factors (Global, North American and US) are compared. Empirical results show the Fama-French 5 factors are still alive! The new model has better in-sample fit than the 5-factor model in Fama and French (2015).展开更多
In this paper, we analyze US stock market with a new 5-factor model in Zhou and Li (2016) [1]. Data we use are 48 industry portfolios (Jul. 1963-Jan. 2017). Parameters are estimated by MLE. LR and KS are used for mode...In this paper, we analyze US stock market with a new 5-factor model in Zhou and Li (2016) [1]. Data we use are 48 industry portfolios (Jul. 1963-Jan. 2017). Parameters are estimated by MLE. LR and KS are used for model diagnostics. Model comparison is done with AIC. The results show Fama-French 5 factors are still alive. This new model in Zhou and Li (2016) [1] fits the data better than the one in Fama and French (2015) [2].展开更多
Personality refers to the integration of feelings, thoughts, and behaviors specific to individual. The fact that personality has a distinguishing feature among individuals explains different behaviors of individuals a...Personality refers to the integration of feelings, thoughts, and behaviors specific to individual. The fact that personality has a distinguishing feature among individuals explains different behaviors of individuals against events and situations. This arises from the fact that personality is specific to individual and is affected by the effects of many factors with which it interacts, and from the integration of them. In this context, this research is based on the hypothesis that there is a relationship between vocs.tionai school students＇ demographic features including their family, socio-culture, geographical environments （gender, age, department, grade, parental education, number of siblings, birth order in the family, and the family＇s income levels）, and the personality profiles. The research was carded out as part of five-factor model of personality in an attempt to determine whether vocational school students＇ personality profiles vary according to demographic variables and to reveal the relationship between them. The research sample consisted of 220 students selected from the students studying in Altmta~ Vocational School in the Spring Term of the 2013-2014 Academic Year. Data were analyzed via SPSS 15.0 statistical package program by performing t-test, analysis of variance and logistic regression analysis. While a significant difference was found between students＇ five-factor personality profiles according to gender, age, department, average, father＇s education, and the number of siblings, no significant difference was found among grade, mother＇s education, birth order in the family, and income levels. Moreover, independent variables affecting students＇ academic averages were determined as a result of the logistic regression analysis.展开更多
CAPM theory that solves relationship between asset return and asset risk for potential investment project by CML and SML,is illustrated in the first section as an introduction of further analysis of corporate valuatio...CAPM theory that solves relationship between asset return and asset risk for potential investment project by CML and SML,is illustrated in the first section as an introduction of further analysis of corporate valuation techniques.Fama and French three factor model is perceived as a revision of CAPM,although it stills has severe weaknesses.CAPM theory solves relationship between asset return and asset risk for potential investment project by CML and SML.展开更多
The current financial education framework has an increasing need to introduce tools that facilitate the application of theoretical models to real-world data and contexts.However,only a limited number of free tools are...The current financial education framework has an increasing need to introduce tools that facilitate the application of theoretical models to real-world data and contexts.However,only a limited number of free tools are available for this purpose.Given this lack of tools,the present study provides two approaches to facilitate the implementa-tion of an event study.The first approach consists of a set of MS Excel files based on the Fama–French five-factor model,which allows the application of the event study methodology in a semi-automatic manner.The second approach is an open-source R-programmed tool through which results can be obtained in the context of an event study without the need for programming knowledge.This tool widens the calculus possibilities provided by the first approach and offers the option to apply not only the Fama–French five-factor model but also other models that are common in the finan-cial literature.It is a user-friendly tool that enables reproducibility of the analysis and ensures that the calculations are free of manipulation errors.Both approaches are freely available and ready-to-use.展开更多
本文采用动态模型平均(dynamic model averaging,DMA)算法对法玛—弗兰奇五因子模型(Fama-French five-factor model,FF5模型)进行了系统性研究。基于法玛和弗兰奇(Fama and French)的数据,笔者所进行的实证分析表明:资产定价模型因子...本文采用动态模型平均(dynamic model averaging,DMA)算法对法玛—弗兰奇五因子模型(Fama-French five-factor model,FF5模型)进行了系统性研究。基于法玛和弗兰奇(Fama and French)的数据,笔者所进行的实证分析表明:资产定价模型因子对投资组合收益的预测能力和系数是随时间动态变化的;不存在固定的因子模型能够同时解释和预测多种投资组合的收益;在对投资组合收益率进行预测时,DMA算法的预测均方误差(mean square error,MSE)显著低于固定系数的FF5模型。展开更多
Fama and French propose a five-factor model containing the market factor and factors related to size,book-to-market equity ratio,profitability and investment,which outperforms the Fama-French three-factor model in the...Fama and French propose a five-factor model containing the market factor and factors related to size,book-to-market equity ratio,profitability and investment,which outperforms the Fama-French three-factor model in their paper 2014.This study investigates the performance of Fama-French five-factor model and compare with that of Fama-French three-factor model on Chinese A-share stock market.The empirical results show that Fama-French five-factor model explanatory power has differences among different sets of portfolios.Compared with Fama-French three-factor model,the presence of profitability and investment factors donot seem to capture more variations of expected stock returns than the three-factor model except for six value-weighted portfolios formed on size and operating profitability.展开更多
Objective When English-speaking people listen to the Deutsch ＂high-low＂ word illusion, they report hearing English words. Whether Chinese-speaking people report Chinese words when listening to the illusion, or wheth...Objective When English-speaking people listen to the Deutsch ＂high-low＂ word illusion, they report hearing English words. Whether Chinese-speaking people report Chinese words when listening to the illusion, or whether any reported words might be correlated with personality traits as previous investigations have demonstrated for listening to music in other cultures, is open to question. The present study aimed to address this. Methods A total of 308 right-handed, healthy volunteers （177 women and 131 men） were given the illusion test and asked to answer the Zuckerman-Kuhlman personality questionnaire （ZKPQ）. Their depressive tendency was measured by the Plutchik-van Praag depression inventory （PVP）. Results There was no gender effect regarding either the PVP score or the number of reported Chinese words from the illusion. Women scored higher on ZKPQ neuroticism-anxiety than men. The number of meaningful Chinese words reported was correlated with the ZKPQ impulsive sensation-seeking, aggression-hostility, and activity scores. Some words reported by participants who scored higher on these three traits were related in meaning to those scales. Conclusion Our preliminary results suggest that when Chinese-speaking people listen to the Deutsch ＂high-low＂ word illusion, they might use personality-related, specific cognitive schemata.展开更多
文摘In this paper, we empirically test a new model with the data of US services sector, which is an extension of the 5-factor model in Fama and French (2015) [1]. 3 types of 5 factors (Global, North American and US) are compared. Empirical results show the Fama-French 5 factors are still alive! The new model has better in-sample fit than the 5-factor model in Fama and French (2015).
文摘In this paper, we analyze US stock market with a new 5-factor model in Zhou and Li (2016) [1]. Data we use are 48 industry portfolios (Jul. 1963-Jan. 2017). Parameters are estimated by MLE. LR and KS are used for model diagnostics. Model comparison is done with AIC. The results show Fama-French 5 factors are still alive. This new model in Zhou and Li (2016) [1] fits the data better than the one in Fama and French (2015) [2].
文摘Personality refers to the integration of feelings, thoughts, and behaviors specific to individual. The fact that personality has a distinguishing feature among individuals explains different behaviors of individuals against events and situations. This arises from the fact that personality is specific to individual and is affected by the effects of many factors with which it interacts, and from the integration of them. In this context, this research is based on the hypothesis that there is a relationship between vocs.tionai school students＇ demographic features including their family, socio-culture, geographical environments （gender, age, department, grade, parental education, number of siblings, birth order in the family, and the family＇s income levels）, and the personality profiles. The research was carded out as part of five-factor model of personality in an attempt to determine whether vocational school students＇ personality profiles vary according to demographic variables and to reveal the relationship between them. The research sample consisted of 220 students selected from the students studying in Altmta~ Vocational School in the Spring Term of the 2013-2014 Academic Year. Data were analyzed via SPSS 15.0 statistical package program by performing t-test, analysis of variance and logistic regression analysis. While a significant difference was found between students＇ five-factor personality profiles according to gender, age, department, average, father＇s education, and the number of siblings, no significant difference was found among grade, mother＇s education, birth order in the family, and income levels. Moreover, independent variables affecting students＇ academic averages were determined as a result of the logistic regression analysis.
文摘CAPM theory that solves relationship between asset return and asset risk for potential investment project by CML and SML,is illustrated in the first section as an introduction of further analysis of corporate valuation techniques.Fama and French three factor model is perceived as a revision of CAPM,although it stills has severe weaknesses.CAPM theory solves relationship between asset return and asset risk for potential investment project by CML and SML.
基金the Secretaria d’Universitats i Recerca del Departament d’Empresa i Coneixement of the Catalan government,and to Universitat Ramon Llull for their financial support.The financial support for this work did not influence its outcome.
文摘The current financial education framework has an increasing need to introduce tools that facilitate the application of theoretical models to real-world data and contexts.However,only a limited number of free tools are available for this purpose.Given this lack of tools,the present study provides two approaches to facilitate the implementa-tion of an event study.The first approach consists of a set of MS Excel files based on the Fama–French five-factor model,which allows the application of the event study methodology in a semi-automatic manner.The second approach is an open-source R-programmed tool through which results can be obtained in the context of an event study without the need for programming knowledge.This tool widens the calculus possibilities provided by the first approach and offers the option to apply not only the Fama–French five-factor model but also other models that are common in the finan-cial literature.It is a user-friendly tool that enables reproducibility of the analysis and ensures that the calculations are free of manipulation errors.Both approaches are freely available and ready-to-use.
文摘本文采用动态模型平均(dynamic model averaging,DMA)算法对法玛—弗兰奇五因子模型(Fama-French five-factor model,FF5模型)进行了系统性研究。基于法玛和弗兰奇(Fama and French)的数据,笔者所进行的实证分析表明:资产定价模型因子对投资组合收益的预测能力和系数是随时间动态变化的;不存在固定的因子模型能够同时解释和预测多种投资组合的收益;在对投资组合收益率进行预测时,DMA算法的预测均方误差(mean square error,MSE)显著低于固定系数的FF5模型。
文摘Fama and French propose a five-factor model containing the market factor and factors related to size,book-to-market equity ratio,profitability and investment,which outperforms the Fama-French three-factor model in their paper 2014.This study investigates the performance of Fama-French five-factor model and compare with that of Fama-French three-factor model on Chinese A-share stock market.The empirical results show that Fama-French five-factor model explanatory power has differences among different sets of portfolios.Compared with Fama-French three-factor model,the presence of profitability and investment factors donot seem to capture more variations of expected stock returns than the three-factor model except for six value-weighted portfolios formed on size and operating profitability.
基金supported by grants from the National Natural Science Foundation of China (30971042)the Innovative Research Team for Translational Neuropsychiatric Medicine, Zhejiang Province (2011R50049)the Program for Changjiang Scholars and Innovative Research Team in University,Chinese Ministry of Education (IRT1038)
文摘Objective When English-speaking people listen to the Deutsch ＂high-low＂ word illusion, they report hearing English words. Whether Chinese-speaking people report Chinese words when listening to the illusion, or whether any reported words might be correlated with personality traits as previous investigations have demonstrated for listening to music in other cultures, is open to question. The present study aimed to address this. Methods A total of 308 right-handed, healthy volunteers （177 women and 131 men） were given the illusion test and asked to answer the Zuckerman-Kuhlman personality questionnaire （ZKPQ）. Their depressive tendency was measured by the Plutchik-van Praag depression inventory （PVP）. Results There was no gender effect regarding either the PVP score or the number of reported Chinese words from the illusion. Women scored higher on ZKPQ neuroticism-anxiety than men. The number of meaningful Chinese words reported was correlated with the ZKPQ impulsive sensation-seeking, aggression-hostility, and activity scores. Some words reported by participants who scored higher on these three traits were related in meaning to those scales. Conclusion Our preliminary results suggest that when Chinese-speaking people listen to the Deutsch ＂high-low＂ word illusion, they might use personality-related, specific cognitive schemata.
