• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.513-521
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• 2020

In this paper, we have developed a Fama - French five factor model (FF5 model) from Fama & French (2015) by using concept of time-varying coefficient. For a data set, we have used monthly data form Kenneth R. French home page, it include Japan portfolios (classified by using size and book-to-market) and 5 factors from July 1990 to April 2020. The first analysis, we used Augmented Dickey-Fuller test (ADF test) for the stationary test, from the result, all Japan portfolios and 5 factors are stationary. Next analysis, we estimated a coefficient of Fama - French five factor model by using a generalized additive model with a thin-plate spline to create the time-varying coefficient Fama - French five factor model (TV-FF5 model). The benefit of this study is TV-FF5 model which can capture a different effect at different times of 5 factors but the traditional FF5 model can't do it. From the result, we can show a time-varying coefficient in all factors and in all portfolios, for time-varying coefficients of Rm-Rf, SMB, and HML are significant for all Japan portfolios, time-varying coefficients of RMW are positively significant for SM, and SH portfolio and time-varying coefficients of CMA are significant for SM, SH, and BM portfolio.

• The Journal of the Korea Contents Association
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• v.18 no.10
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• pp.490-497
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• 2018

In this study, we examined whether common idiosyncratic volatility(CIV), a risk factor for idiosyncratic volatility, can be evaluated as a pricing factor. The sample is listed on the Korea Exchange. The analysis period is 288 months from July 1992 to June 2016. The main results of this study are as follows. First, in the empirical verification of the market excess returns of the testing portfolios, the difference in the return on the CIV factor sensitivity difference was statistically significant. In other words, we confirmed that there is a risk premium for CIV factors. Second, CAPM, FF3 factor model, and FF5 factor model do not explain the risk premium for CIV factors, whereas factor models that add CIV factors explain the risk premium for CIV factors. In other words, the CIV factor can be evaluated in terms of pricing factors.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.26 no.5A
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• pp.909-915
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• 2006

To predict autogenous shrinkage of concrete, unsaturated pore compensation factor could be calculated by experiments of autogenous shrinkage of cement paste on the assumption that the differences between degree of hydration and strain rate of autogenous shrinkage are unsaturated pore formation rate. Applying unsaturated pore compensation factor on modified Pickket model considering contribution factor and non-contribution factor to autogenous shrinkage of concrete, experimental data and existing model were compared. From the results modified Pickket model was verified to present similar tendency between Tazawa model and experimental data, but CEB-FIP model might be corrected because this model uses ultimate autogenous shrinkage underestimated and the same autogenous time function of concrete material properties considering only compressive strength.

• Korean Parent-Child Health Journal
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• v.17 no.1
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• pp.37-45
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• 2014

Purpose: This study aimed to review measurements of environmental health behavior and assess the construct validity of Environmental Health Engagement Profile (EHEP) through confirmatory factor analysis. Methods: The literature review was performed for selection of measurements. Confirmatory factor analysis with AMOS 19.0 was used for validation of EHEP. Results: The model fitness was not appropriate in the one-factor model; $x^2=91.11$ (df=5, p<.001), Comparative Fit Index (CFI)=8.19, Non Normed Fit Index (NNFI)=6.39, and Root Mean Square Error of Approximation (RMSEA)=0.20. The model fitness was appropriate in the two-factor model; $x^2=3.19$ (df=1, p=.074), CFI=9.95, NNFI= 9.71, RMSEA=0.07. A modification of scale was found to be the most suitable for use in the investigation of environmental health behavior. Conclusion: This study confirms that a two-factor model underlies the concept of environmental health behavior. The review of measurements can help nurses and researchers to assess the environmental health behaviors.

• International Journal of Computer Science & Network Security
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• v.21 no.5
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• pp.211-216
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• 2021

This study intended to test the structure of the latent factor of a subjective happiness scale and the stability of invariance across groups of students' classifications (gender and students' status). In the large, non-clinical sample (619), students completed the subjective happiness scale. The (CFA) confirmatory factor analysis was used to investigate the factor-structure of the measure, and multiple-group confirmatory factor analysis (MGCFA) model was used to test the stability of invariance across groups of students classifications. The findings of the CFA indicated support for the original one-factor model. Additional analyses of the MGCFA method support the measurement (configural, metric and strong) invariant and practical invariant components of this model. There was an invariant across gender. There was partially invariant across groups of students' statuses. The scale exists in both groups to assess the same concepts of (single and married), excluding Items 3 and 4. Given that this study is the first investigation for the structure of the subjective happiness scale.

• Communications for Statistical Applications and Methods
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• v.28 no.5
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• pp.521-536
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• 2021

As life expectancies increase continuously over the world, the accuracy of forecasting mortality is more and more important to maintain social systems in the aging era. Currently, the most popular model used is the Lee-Carter model but various studies have been conducted to improve this model with one of them being 6-parametric factor model (6-PFM) which is introduced in this paper. To this new model, long short-term memory (LSTM) and regularized LSTM are applied in addition to vector autoregression (VAR), which is a traditional time-series method. Forecasting accuracies of several models, including the LC model, 4-PFM, 5-PFM, and 3 6-PFM's, are compared by using the U.S. and Korea life-tables. The results show that 6-PFM forecasts better than the other models (LC model, 4-PFM, and 5-PFM). Among the three 6-PFMs studied, regularized LSTM performs better than the other two methods for most of the tests.

• Atmosphere
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• v.25 no.2
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• pp.249-260
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• 2015

The changes in thermodynamic and dynamic aspects on near (2025~2049) and long-term (2075~2099) future climate changes between the historical run (1979~2005) and the Representative Concentration Pathway (RCP) 4.5 run with 20 coupled models which employed in the phase five of Coupled Model Inter-comparison Project (CMIP5) over East Asia (EA) and the Korean Peninsula are investigated as an extended study for Moon et al. (2014) study noted that the 20 models' multi-model ensemble (MME) and best five models' multi-model ensemble (B5MME) have a different increasing trend of precipitation during the boreal winter and summer, in spite of a similar increasing trend of surface air temperature, especially over the Korean Peninsula. Comparing the MME and B5MME, the dynamic factor (the convergence of mean moisture by anomalous wind) and the thermodynamic factor (the convergence of anomalous moisture by mean wind) in terms of moisture flux convergence are analyzed. As a result, the dynamic factor causes the lower increasing trend of precipitation in B5MME than the MME during the boreal winter and summer over EA. However, over the Korean Peninsula, the dynamic factor causes the lower increasing trend of precipitation in B5MME than the MME during the boreal winter, whereas the thermodynamic factor causes the higher increasing trend of precipitation in B5MME than the MME during the boreal summer. Therefore, it can be noted that the difference between MME and B5MME on the change in precipitation is affected by dynamic (thermodynamic) factor during the boreal winter (summer) over the Korean Peninsula.

• Korea Journal of Hospital Management
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• v.16 no.3
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• pp.57-74
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• 2011

The purpose of this study is to analyze the relationship between the BSC model's non-financial factors such as learning and growth, internal process, customer and financial factor in general hospitals. To achieve research purpose, the data were collected from 293 employees of 5 hospitals using a standardized questionnaires which were constructed to include BSC model, and applied the structural equation modeling to examine the relationship between non-financial and financial factor. The results show that the learning and growth factor of the model has positive effects of the internal process and customer factor. The internal process and customer factor are strongly related to financial factor. Hospitals have to know non-financial factor which has positively relate to financial factor. Therefore, the results of this study help to enhance the health care center to become aligned and focused on implementing the long-term competitive strategy. This study proposes an effective performance indicators for general hospitals and it is expected to be likely to have positive influence upon enhancing services of general hospitals.

• Journal of the Korean Home Economics Association
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• v.46 no.6
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• pp.101-114
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• 2008

The purpose of this study was to develop a self-report scale measuring dysfunctional communication behaviors that Korean husbands and wives may use during marital fights. Based on the four concepts of criticism, contempt, defensiveness, and stonewalling proposed by Gottman(1994a), an initial pool of 38 items was developed. Through expert reviews of the 38 items to assess content validity, preliminary 30 items were selected. Using a sample of 89 married couples who were living in Susan, Korea, we conducted item analyses and exploratory factor analyses with the 30 items. These analyses yielded a final 19-item, four-factor scale : criticism(5 items), contempt(5 items), defensiveness(5 items), and stonewalling(4 items). The internal consistency estimates for these subscales were satisfactory. Finally, using another sample of 228 wives, we conducted confirmatory factor analysis to confirm cross validity of the 19-item, four-factor model. The result indicated that this model fitted the data reasonably well. All standardized factor loadings were significant in this model. The results of this study supported reliability and validity of this scale.

• Clinical Psychopharmacology and Neuroscience
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• v.16 no.4
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• pp.489-493
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• 2018

Objective: This study was to identify whether working memory (WM) can be clearly subdivided according to auditory and visual modality. To do this, we administered the most recent and universal clinical WM measures in a mixed psychiatric sample. Methods: A total of 115 patients were diagnosed on the basis of DSM-IV diagnostic criteria and with MINI-Plus 5.0, a structured diagnostic interview. WM subtests of Korean version of Wechsler Adult Intelligence Scale-IV and Korean version of Wechsler Memory Scale-IV were administered to assess WM. Confirmatory factor analysis (CFA) was used to observe whether WM measures fit better to a one-factor or two-factor model. Results: CFA results demonstrated that a two factor model fits the data better than one-factor model as expected. Conclusion: Our study supports a modality model of WM, or the existence of modality-specific WM systems, and thus poses a clinical significance of assessing both auditory and visual WM tests.