A factor model for option returns

2022 ◽  
Vol 143 (3) ◽  
pp. 1140-1161
Author(s):  
Matthias Büchner ◽  
Bryan Kelly
Keyword(s):  
Factor Model ◽  
Option Returns

A Factor Model for Option Returns

2021 ◽  
Author(s):  
Matthias Büchner ◽  
Bryan T. Kelly
Keyword(s):  
Factor Model ◽  
Option Returns

The Determinants of the KOSPI200 Index Option Returns

2016 ◽  
Vol 24 (1) ◽  
pp. 65-96
Author(s):  
Byung Jin Kang
Keyword(s):  
Cross Section ◽  
Global Financial Crisis ◽  
Factor Model ◽  
Related Factor ◽  
Related Factors ◽  
Cross Sectional ◽  
Option Returns ◽  
The Cross ◽  
The Global Financial Crisis ◽  
Index Option

This study examines the effects of crisis-related factors on the returns of KOSPI200 index options using a factor model, which was introduced by Constantinides, Jackwerth and Savov (2013). Three factors incorporating price jumps, changes in volatility, and volatility jumps are considered as the crisis-related factors. With the data for the period from 2004 to 2015, we find followings : First, most of the crisis-related factor premia are statistically significant, and their signs are consistent with those expected. Second, these crisis-related factors contribute to improve the understanding of the cross-sectional variation in KOSPI200 index option returns. Third, the crisis-related factor premia became much more significant after the global financial crisis in 2008. Finally, our empirical findings are robust to whether the long options and the in-the-money options are included in the sample or not, and to whether the factor premia are constrained to equal the corresponding premia estimated from the cross-section of equities.

scholarly journals A Factor Model For Option Returns

2021 ◽  
Author(s):  
Matthias Buechner ◽  
Bryan Kelly
Keyword(s):  
Factor Model ◽  
Option Returns

Psychometrical Properties of a French Version of the General Self-Efficacy Short Scale (ASKU)

2020 ◽  
Vol 79 (1) ◽  
pp. 15-25
Author(s):  
Jean Philippe Décieux ◽  
Philipp Emanuel Sischka ◽  
Anette Schumacher ◽  
Helmut Willems
Keyword(s):  
Self Efficacy ◽  
Factor Model ◽  
German Version ◽  
French Version ◽  
Context Variable ◽  
Confirmatory Factor ◽  
French Speaking ◽  
German Speaking ◽  
Valid Instrument ◽  
General Self Efficacy

Abstract. General self-efficacy is a central personality trait often evaluated in surveys as context variable. It can be interpreted as a personal coping resource reflecting individual belief in one’s overall competence to perform across a variety of situations. The German-language Allgemeine-Selbstwirksamkeit-Kurzskala (ASKU) is a reliable and valid instrument to assess this disposition in the German-speaking countries based on a three-item equation. This study develops a French version of the ASKU and tests this French version for measurement invariance compared to the original ASKU. A reliable and valid French instrument would make it easy to collect data in the French-speaking countries and allow comparisons between the French and German results. Data were collected on a sample of 1,716 adolescents. Confirmatory factor analysis resulted in a good fit for a single-factor model of the data (in total, French, and German version). Additionally, construct validity was assessed by elucidating intercorrelations between the ASKU and different factors that should theoretically be related to ASKU. Furthermore, we confirmed configural and metric as well as scalar invariance between the different language versions, meaning that all forms of statistical comparison between the developed French version and the original German version are allowed.

Exploring the Multidimensional Facets of Authoritarianism: Authoritarian Aggression and Social Dominance Orientation

2008 ◽  
Vol 67 (1) ◽  
pp. 51-60 ◽  
Author(s):  
Stefano Passini
Keyword(s):  
Social Dominance ◽  
Factor Model ◽  
Three Dimensional ◽  
Social Dominance Orientation ◽  
Model Fit ◽  
Regression Analyses ◽  
One Dimensional ◽  
Confirmatory Factor ◽  
The One ◽  
Better Than

The relation between authoritarianism and social dominance orientation was analyzed, with authoritarianism measured using a three-dimensional scale. The implicit multidimensional structure (authoritarian submission, conventionalism, authoritarian aggression) of Altemeyer’s (1981, 1988) conceptualization of authoritarianism is inconsistent with its one-dimensional methodological operationalization. The dimensionality of authoritarianism was investigated using confirmatory factor analysis in a sample of 713 university students. As hypothesized, the three-factor model fit the data significantly better than the one-factor model. Regression analyses revealed that only authoritarian aggression was related to social dominance orientation. That is, only intolerance of deviance was related to high social dominance, whereas submissiveness was not.

A Psychometric Study of the Quality Perception Questionnaire

2012 ◽  
Vol 71 (2) ◽  
pp. 101-106 ◽  
Author(s):  
Raffaele Cioffi† ◽  
Anna Coluccia ◽  
Fabio Ferretti ◽  
Francesca Lorini ◽  
Aristide Saggino ◽  
...  
Keyword(s):  
Structural Equation ◽  
Factor Model ◽  
Equation Modeling ◽  
Fit Indices ◽  
Quality Perception ◽  
Italian Survey ◽  
Confirmatory Factor ◽  
Instrument Measuring ◽  
Hospital Structures

The present paper reexamines the psychometric properties of the Quality Perception Questionnaire (QPQ), an Italian survey instrument measuring patients’ perceptions of the quality of a recent hospital admission experience, in a sample of 4400 patients (Mage = 56.42 years; SD = 19.71 years, 48.8% females). The 14-item survey measures four factors: satisfaction with medical doctors, nursing staff, auxiliary staff, and hospital structures. First, we tested two models using a confirmatory factor analysis (structural equation modeling): a four orthogonal factor and a four oblique factor model. The SEM fit indices and the χ² difference suggested the acceptance of the second model. We then did a simulation using a bootstrap with 1000 replications. Results confirmed the four oblique factor solution. Third, we tested whether there were significant differences with respect to age or sex. The multivariate general linear model showed no significant differences in the factors with respect to sex or age.

Question Wording Effects in the Assessment of Global Self-Esteem

2000 ◽  
Vol 16 (1) ◽  
pp. 13-19 ◽  
Author(s):  
Martin Dunbar ◽  
Graeme Ford ◽  
Kate Hunt ◽  
Geoff Der
Keyword(s):  
Reading Ability ◽  
Factor Model ◽  
Self Esteem ◽  
Reading Scores ◽  
Poor Reading ◽  
Method Effect ◽  
Two Samples ◽  
Positive Item ◽  
Method Effects ◽  
Best Fit

Summary: Marsh (1996) produced evidence that method effects associated with negatively worded items might be responsible for the results of earlier factor analytic studies that reported finding positive and negative self-esteem factors in the Rosenberg Global self-esteem scale ( Rosenberg, 1965 ). He analyzed data collected from children using a 7-item self-esteem measure. This report details attempts to replicate Marsh 's analysis in data collected from two samples of adults who completed the full 10-item Global Self-Esteem (GSE) scale. The results reported here are similar to those given by Marsh in so much as a correlated uniquenesses model produced a superior fit to the data than the simple one factor model (without correlated uniquenesses) or the often reported two factor (positive and negative self-esteem) model. However, whilst Marsh reported that the best fit was produced by allowing negative item uniquenesses to correlate with each other, the model that produced the best fit to these data was one that contained correlated positive item uniquenesses. Supporting his claim that differential responding to negative and positive self-esteem items reflects a method effect associated with reading ability, Marsh also showed that factors associated with negative and positive items were most distinct among children who had poor reading scores. We report a similar effect among a sample of older adults where the correlation between these factors was compared across two groups who were selected according to their scores on a test of verbal reasoning.

Social Desirability in Personality Inventories

2014 ◽  
Vol 35 (3) ◽  
pp. 144-157 ◽  
Author(s):  
Martin Bäckström ◽  
Fredrik Björklund
Keyword(s):  
Social Desirability ◽  
Big Five ◽  
Work Performance ◽  
Factor Model ◽  
Five Factor Model ◽  
Peer Ratings ◽  
Personality Inventories ◽  
Model Study ◽  
The Difference ◽  
New Variables

The difference between evaluatively loaded and evaluatively neutralized five-factor inventory items was used to create new variables, one for each factor in the five-factor model. Study 1 showed that these variables can be represented in terms of a general evaluative factor which is related to social desirability measures and indicated that the factor may equally well be represented as separate from the Big Five as superordinate to them. Study 2 revealed an evaluative factor in self-ratings and peer ratings of the Big Five, but the evaluative factor in self-reports did not correlate with such a factor in ratings by peers. In Study 3 the evaluative factor contributed above the Big Five in predicting work performance, indicating a substance component. The results are discussed in relation to measurement issues and self-serving biases.

Validation of the Short Dark Triad in a German Sample

2020 ◽  
pp. 1-12
Author(s):  
Caroline Wehner ◽  
Ulrike Maaß ◽  
Marius Leckelt ◽  
Mitja D. Back ◽  
Matthias Ziegler
Keyword(s):  
Sensation Seeking ◽  
Factor Model ◽  
Structural Models ◽  
Self Esteem ◽  
Dark Triad ◽  
Fit Indices ◽  
Nomological Network ◽  
Competitive Test ◽  
Three Factor ◽  
Behavioral Criteria

Abstract. The structure, correlates, and assessment of the Dark Triad are widely discussed in several fields of psychology. Based on the German version of the Short Dark Triad (SDT), we add to this by (a) providing a competitive test of existing structural models, (b) testing the nomological network, and (c) proposing an ultrashort 9-item version of the SDT (uSDT). A sample of N = 969 participants provided data on the SDT and a range of further measures. Our competitive test of five structural models revealed that fit indices and nomological network assumptions were best met in a three-factor model, with separate factors for psychopathy, Machiavellianism, and narcissism. The results provided an extensive overview of the raw, unique, and shared associations of Dark Triad dimensions with narcissism facets, sadism, impulsivity, self-esteem, sensation seeking, the Big Five, maladaptive personality traits, sociosexual orientation, and behavioral criteria. Finally, the uSDT exhibited satisfactory psychometric properties. The highest overlap in expected relations between SDT and uSDT, and convergent and discriminant measures was also found for the three-factor model. Our study underlines the utility of a three-factor model of the Dark Triad, extends findings on its nomological network, and provides an ultrashort instrument.

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