scholarly journals Uji Empiris Pengaruh Idiosyncratic Volatility Terhadap Expected Return: Aplikasi Fama-French Five Factor Model

2019 ◽  
Vol 9 (2) ◽  
pp. 268
Author(s):  
Muhammad Pudjianto ◽  
Buddi Wibowo
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Direct Method ◽  
Five Factor Model ◽  
Idiosyncratic Volatility ◽  
Expected Return ◽  
Cross Sectional ◽  
Ex Ante

Penelitian ini bertujuan untuk melakukan pengujian pengaruh antara idiosyncratic volatility dengan expected return. Idiosyncratic volatility dihitung dengan pendekatan langsung (direct method), yaitu standar deviasi dari residual yang dihasilkan model asset pricing Fama-French Five Factor. Penelitian ini menguji idiosyncratic volatility secara contemporaneous dan ex-ante. One-month lagged idiosyncratic volatility digunakan sebagai proksi dari expected idiosyncratic volatility. Metode yang digunakan dalam menguji model penelitian adalah Fama-Macbeth Cross-Sectional Regression. Hasil penelitian menunjukkan bahwa terdapat pengaruh yang positif dan signifikan antara realized idiosyncratic volatility dengan expected return pada waktu yang bersamaan (contemporaneous). Sedangkan secara ex-ante terdapat pengaruh yang negatif dan signifikan antara one-month lagged idiosyncratic volatility dengan expected return.

scholarly journals Creative Destruction and Asset Prices

2016 ◽  
Vol 51 (6) ◽  
pp. 1739-1768 ◽  
Author(s):  
Joachim Grammig ◽  
Stephan Jank
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Creative Destruction ◽  
Expected Returns ◽  
Expected Return ◽  
Cross Sectional ◽  
Large Growth ◽  
Estimated Risk ◽  
Growth Stocks ◽  
Invention Activity

We relate Schumpeter’s notion of creative destruction to asset pricing, thereby offering a novel explanation of size and value premia. We argue that small-value firms must offer higher expected returns to compensate for the risk posed by serendipitous invention activity, whereas large-growth stocks provide protection against creative destruction and receive expected return discounts. A 2-factor model that accounts for creative-destruction risk effectively explains the cross-sectional return variation of size- and book-to-market-sorted portfolios. The estimated risk compensations associated with creative destruction are substantial and statistically significant, indicating their relevance for asset pricing.

A psychometric evaluation of the job crafting questionnaire (JCRQ) among employees working in Jordanian universities

2019 ◽  
Vol 27 (1) ◽  
pp. 36-50 ◽  
Author(s):  
Mohammed Yasin Ghadi
Keyword(s):  
Construct Validity ◽  
Discriminant Validity ◽  
Factor Model ◽  
Five Factor Model ◽  
Psychometric Evaluation ◽  
Job Crafting ◽  
Cross Sectional ◽  
Content Type ◽  
Five Dimensions ◽  
Cross Sectional Design

Purpose Job crafting is recently argued to have five dimensions (Nielsen et al., 2017): increasing challenging demands, decreasing social demands, increasing social job resources, increasing quantitative demands and decreasing hindrance demands. The purpose of this study aimed to investigate the psychometric properties and construct validity of the five-factor model of job crafting, introduced by using a sample of Jordanian university employees. Design/methodology/approach A pre-determined survey on was used. Accordingly, 513 professional workers in several universities completed the survey. Cronbach’s alpha was used to assess the internal consistency of the scale, whereas series of confirmatory factor (CFA) analysis and exploratory factor analysis (EFA) were conducted to assess the scale’s factorial and discriminant validity. Other tests were also conducted. Findings As predicted, the proposed model best fit the data. Statistical analysis yielded several findings. First, the results of the reliability test revealed that the five sub-scales of job crafting had significant and sufficiently strong internal consistencies. Second, the results showed that the 15 items loaded significantly with a factor loadings more than 0.50. Third, the CFA results confirmed that the five-factor model best fitted the data in comparison to the one-factor model. Finally, the construct validity of JCRQ-15 was confirmed through its correlation with several validating variables. Research limitations/implications Some limitations need to be addressed. First, the sample came from participants working in specific Jordanian universities which may limit the generalization that could be made from the results to other occupations. Second, due to the cross-sectional design of the present study, the question remains whether the JCRQ-15 are stable overtime. Third, the common methods bias might be a problem because it is one of the main sources of measurement error in validation studies using self-reported scales. Originality/value The present study provided an early supportive evidence for the use of the JCRQ-15 as a valid measure of job crafting in the Jordanian context.

scholarly journals Internal Consistency and Structural Validity of the Norwegian Translation of the Ten-Item Personality Inventory

2021 ◽  
Vol 12 ◽  
Author(s):  
Mikkel Magnus Thørrisen ◽  
Talieh Sadeghi ◽  
Jannecke Wiers-Jenssen
Keyword(s):  
Psychometric Properties ◽  
Internal Consistency ◽  
Factor Model ◽  
Rank Order ◽  
Five Factor Model ◽  
Principal Component ◽  
Cross Sectional Study ◽  
Personality Inventory ◽  
Structural Validity ◽  
Cross Sectional

Background: The Ten-Item Personality Inventory (TIPI) is a validated brief instrument measuring the five-factor model (FFM) personality dimensions, developed for instances where more comprehensive FFM instruments are impractical to use. The TIPI has been translated into several languages, but psychometric properties of the Norwegian version (N-TIPI) have not been systematically explored.Objectives: This study aimed to explore the psychometric properties of the N-TIPI, in terms of internal consistency and structural validity.Methods: In a cross-sectional study, responses on the N-TIPI were collected from 5,009 Norwegian master graduates. Descriptive statistics for the subscales and correlations between subscales were calculated. Internal consistency was assessed with inter-item correlations, Cronbach’s α and Spearman-Brown coefficients. Structural validity was explored with principal component analysis, parallel analysis, and visual scree plot inspection. Results for the N-TIPI were compared with those previously reported for the original TIPI as well as the German, French, Spanish, and Portuguese versions.Results: Compared with the original and non-English versions of TIPI, results for N-TIPI showed comparable subscale rank order of means, standard deviations, and pattern of correlations between subscales, as well as inter-item correlations and Cronbach’s α. The 10 N-TIPI items were adequately reduced to five components, theoretically corresponding with the FFM personality domains.Conclusion: The N-TIPI demonstrated acceptable internal consistency and satisfactory structural validity. Although further research is warranted, the instrument stands out as feasible when it is essential to minimize participants’ response burden in studies that aim to explore personality as one among several concepts or utilize personality traits as covariates.

scholarly journals The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market

2020 ◽  
Vol 72 (4) ◽  
pp. 661-684 ◽  
Author(s):  
Philipp Dirkx ◽  
Franziska J. Peter
Keyword(s):  
Asset Pricing ◽  
Preliminary Analysis ◽  
Factor Model ◽  
Five Factor Model ◽  
Explanatory Power ◽  
Market Size ◽  
German Market ◽  
Monthly Data ◽  
Factors Associated ◽  
Country Specific

Abstract We implement the Fama-French five-factor model and enhance it with a momentum factor for the German market using recent monthly data from 2002 to 2019. We construct the factors associated with the market, size, value, profitability, investment, and momentum for the CDAX constituents and examine to what extent this six-factor model captures the return premia in the German market. Our preliminary analysis does not document any significant evidence on the profitability or investment premium. The results on the six-factor model compared with the three-factor model reveal that the additional factors do not add significant explanatory power to the analysis. We conclude that the relevance of the profitability and investment factors within the context of international asset pricing studies cannot be transferred to the country- specific case of the German market.

scholarly journals Is idiosyncratic risk ignored in asset pricing: Sri Lankan evidence?

2019 ◽  
Vol 5 (1) ◽  
Author(s):  
Moinak Maiti
Keyword(s):  
Factor Model ◽  
Stock Exchange ◽  
Investment Decision ◽  
Idiosyncratic Risk ◽  
Idiosyncratic Volatility ◽  
Sri Lankan ◽  
Cross Sectional ◽  
Volatility Risk ◽  
And Performance ◽  
Three Factor

AbstractThe present study focused on one of the important South Asian nations—Sri Lanka—to examine the role of idiosyncratic volatility in asset prices. A four-factor model with idiosyncratic volatility was designed for capturing the market, size, value and idiosyncratic risk yields better than Fama and French’s (J Financ Econ 33:3–56, 1993) three-factor model and performance of the model. Fama–MacBeth’s cross-sectional regression, residual graphs and GRS test all confirm the superiority of four-factor model over 2 three-factor models. For all MC- and IVOL-based portfolios, idiosyncratic volatility is negatively related to the expected returns and positively related for all PB-based portfolios. Finally, study findings confirm that there is a high importance for idiosyncratic volatility risk factor while considering investment decision in Colombo stock exchange. Hence, investor should compensate for holding such risk factors in the portfolio.

scholarly journals Intentional Self-Harm and Personality Traits using Big Five Factor Model in Patients Presenting to a Tertiary Level Hospital

2019 ◽  
Vol 8 (1) ◽  
pp. 11-16
Author(s):  
S Paudyal ◽  
SP Ojha ◽  
P Tulachan ◽  
S Dhungana ◽  
R Kafle
Keyword(s):  
Personality Traits ◽  
Factor Model ◽  
Five Factor Model ◽  
Public Health Problem ◽  
Tertiary Hospital ◽  
Cross Sectional Study ◽  
Cross Sectional ◽  
Self Harm ◽  
Emergency Department Patients ◽  
Relationship Of

Introduction: Suicide is an important, largely preventable public health problem. The occurrence of suicide and suicidal behavior has been increasing dramatically. There is a growing recognition that the personality traits is important risk factor for intentional self-harm (suicide/ purposely self-inflicted poisoning or injury). This study was done to assess the personality traits in patients presenting with intentional self-harm and relationship of intent of the self-harm with personality traits. Material And Method: A cross sectional study was conducted in patients presenting with Intentional self-harm to tertiary hospital emergency department. Patients who met inclusion criteria and gave consent during six months period were included, Socio demographic information and detailed history was taken. The suicide intent scale and five factor model rating form were administered to the patients. Results: Most patients who presented with intentional self –harm scored median score of 4 (high) in anger hostility, self-consciousness, impulsivity and altruism traits while in other traits they scored neutral score, which concluded that patients who presented with intentional self–harm were more bitter, short-tempered, timid, impulsive and sacrificial. The study showed that the relation of certain traits as anxiousness, impulsivity, vulnerability, gregariousness, ideas, trust, straightforwardness, altruism, competence, order and SIS grading was statistically significant (p=<0.05). Conclusion: Our findings suggest that patients who presented with intentional self–harm were more bitter, short–tempered, timid, impulsive and sacrificial. Further patients who committed intentional self harm with low intent were more impulsive, vulnerable, outgoing, haphazard and sloppy as compared to those who committed with high intent who were rather more anxious and sacrificial.

Using Stocks or Portfolios in Tests of Factor Models

2019 ◽  
Vol 55 (3) ◽  
pp. 709-750 ◽  
Author(s):  
Andrew Ang ◽  
Jun Liu ◽  
Krista Schwarz
Keyword(s):  
Asset Pricing ◽  
Risk Premia ◽  
Factor Models ◽  
Idiosyncratic Volatility ◽  
Standard Errors ◽  
Coefficient Estimates ◽  
Pricing Models ◽  
Cross Sectional ◽  
Factor Loadings ◽  
Asset Pricing Models

We examine the efficiency of using individual stocks or portfolios as base assets to test asset pricing models using cross-sectional data. The literature has argued that creating portfolios reduces idiosyncratic volatility and allows more precise estimates of factor loadings, and consequently risk premia. We show analytically and empirically that smaller standard errors of portfolio beta estimates do not lead to smaller standard errors of cross-sectional coefficient estimates. Factor risk premia standard errors are determined by the cross-sectional distributions of factor loadings and residual risk. Portfolios destroy information by shrinking the dispersion of betas, leading to larger standard errors.

The Bias in Two-Pass Regression Tests of Asset-Pricing Models in Presence of Idiosyncratic Errors with Cross-Sectional Dependence

2019 ◽  
Vol 22 (02) ◽  
pp. 1950012
Author(s):  
Thomas Gramespacher ◽  
Armin Bänziger
Keyword(s):  
Asset Pricing ◽  
Risk Premium ◽  
Measurement Errors ◽  
Factor Model ◽  
Pricing Models ◽  
Time Series Regression ◽  
Cross Sectional ◽  
Asset Pricing Models ◽  
Slope Estimator ◽  
Regression Tests

In two-pass regression-tests of asset-pricing models, cross-sectional correlations in the errors of the first-pass time-series regression lead to correlated measurement errors in the betas used as explanatory variables in the second-pass cross-sectional regression. The slope estimator of the second-pass regression is an estimate for the factor risk-premium and its significance is decisive for the validity of the pricing model. While it is well known that the slope estimator is downward biased in presence of uncorrelated measurement errors, we show in this paper that the correlations seen in empirical return data substantially suppress this bias. For the case of a single-factor model, we calculate the bias of the OLS slope estimator in the presence of correlated measurement errors with a first-order Taylor-approximation in the size of the errors. We show that the bias increases with the size of the errors, but decreases the more the errors are correlated. We illustrate and validate our result using a simulation approach based on empirical data commonly used in asset-pricing tests.

Evaluating alternative performance benchmarks for Indian mutual fund industry

2017 ◽  
Vol 14 (2) ◽  
pp. 222-250 ◽  
Author(s):  
Sanjay Sehgal ◽  
Sonal Babbar
Keyword(s):  
Asset Pricing ◽  
Mutual Fund ◽  
Factor Model ◽  
Five Factor Model ◽  
Content Type ◽  
Asset Pricing Model ◽  
Fund Managers ◽  
Asset Pricing Models ◽  
Performance Benchmarks ◽  
Fama And French

Purpose The purpose of this paper is to perform a relative assessment of performance benchmarks based on alternative asset pricing models to evaluate performance of mutual funds and suggest the best approach in Indian context. Design/methodology/approach Sample of 237 open-ended Indian equity (growth) schemes from April 2003 to March 2013 is used. Both unconditional and conditional versions of eight performance models are employed, namely, Jensen (1968) measure, three-moment asset pricing model, four-moment asset pricing model, Fama and French (1993) three-factor model, Carhart (1997) four-factor model, Elton et al. (1999) five-index model, Fama and French (2015) five-factor model and firm quality five-factor model. Findings Conditional version of Carhart (1997) model is found to be the most appropriate performance benchmark in the Indian context. Success of conditional models over unconditional models highlights that fund managers dynamically manage their portfolios. Practical implications A significant α generated over and above the return estimated using Carhart’s (1997) model reflects true stock-picking skills of fund managers and it is, therefore, worth paying an active management fee. Stock exchanges and credit rating agencies in India should construct indices incorporating size, value and momentum factors to be used for purpose of benchmarking. Originality/value The study adds new evidence as to applicability of established asset pricing models as performance benchmarks in emerging market India. It examines role of higher order moments in explaining mutual fund returns which is an under researched area.

Dynamic Factors and Asset Pricing

2010 ◽  
Vol 45 (3) ◽  
pp. 707-737 ◽  
Author(s):  
Zhongzhi (Lawrence) He ◽  
Sahn-Wook Huh ◽  
Bong-Soo Lee
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Dynamic Factor ◽  
Pricing Model ◽  
Portfolio Returns ◽  
Dynamic Factors ◽  
Ex Ante ◽  
Out Of Sample ◽  
Competing Models ◽  
Fama And French

AbstractThis study develops an econometric model that incorporates features of price dynamics across assets as well as through time. With the dynamic factors extracted via the Kalman filter, we formulate an asset pricing model, termed the dynamic factor pricing model (DFPM). We then conduct asset pricing tests in the in-sample and out-of-sample contexts. Our analyses show that the ex ante factors are a key component in asset pricing and forecasting. By using the ex ante factors, the DFPM improves upon the explanatory and predictive power of other competing models, including unconditional and conditional versions of the Fama and French (1993) 3-factor model. In particular, the DFPM can explain and better forecast the momentum portfolio returns, which are mostly missed by alternative models.

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