• Journal of Industrial Convergence
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• v.2 no.2
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• pp.127-147
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• 2004

This paper examines the time-series relations among expected return, risk, and book-to-market(B/M) at the portfolio level. The time-series analysis is a natural alternative to cross-sectional regressions. An alternative feature of the time-series regressions is that they focus on changes in expected returns, not on average returns. Using the time-series analysis, we can directly test whether the three-factor model explains time-varying expected returns better than the characteristic-based model. These results should help distinguish between the risk and mispricing stories. We find that B/M is strongly associated with changes in risk, as measured by the Fama and French(1993) three-factor model. After controlling for changes in risk, B/M contains little additional information about expected returns. The evidence suggests that the three-factor model explains time-varying expected returns better than the characteristic-based model.

• Journal of Mechanical Science and Technology
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• v.18 no.2
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• pp.302-312
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• 2004

This work developed improved slip factor model and correction method to predict flow through impeller in forward-curved centrifugal fan. Both steady and unsteady three-dimensional CFD analyses were performed to validate the slip factor model and the correction method. The results show that the improved slip factor model presented in this paper could provide more accurate predictions for forward-curved centrifugal impeller than the other slip factor models since the present model takes into account the effect of blade curvature. The correction method is provided to predict mass-averaged absolute circumferential velocity at the exit of impeller by taking account of blockage effects induced by the large-scale backflow near the front plate and flow separation within blade passage. The comparison with CFD results also shows that the improved slip factor model coupled with the present correction method provides accurate predictions for mass-averaged absolute circumferential velocity at the exit of impeller near and above the flow rate of peak total pressure coefficient.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.605-613
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• 2020

In unfrictionless markets, one measure of asset pricing is its height of friction. This study develops a three-factor model by loosening the assumptions about stocks without friction, without risk, and perfectly liquid. Friction is used as an indicator of transaction costs to be included in the model as a variable that will reduce individual profits. This approach is used to estimate return, beta and other variable for firms listed on the Indonesian Stock Exchange (IDX). To test the efficacy of friction-adjusted three-factor model, we use intraday data from July 2016 to October 2018. The sample includes all listed firms; intraday data chosen purposively from regular market are sorted by capitalization, which represents each tick size from the biggest to smallest. We run 3,065,835 intraday data of asking price, bid price, and trading price to get proportional quoted half-spread and proportional effective half-spread. We find evidence of adjusted friction on the three-factor model. High/low trading friction will cause a significant/insignificant return difference before and after adjustment. The difference in average beta that reflects market risk is able to explain the existence of trading friction, while the difference between SMB and HML in all observation periods cannot explain returns and the existence of trading friction.

• Health Policy and Management
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• v.4 no.2
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• pp.58-76
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• 1994

In order to study factors affecting the use of the ambulatory physician services. Andersen's model for health utilization was modified by adding the health behavior component and examined with three different approaches. Three different approaches were the multiople regression model, logistic regression model, and LISREL model. For multiple regression, dependent variable was reported illness-related visits to a physician during past one year and independent variables are variaous variables measuring predisposing factor, enabling factor, need factor and health behavior. For the logistic regression, dependent variable was visit or no-visit to a physician during past one year and independent variables were same as the multiple regression analysis. For the LISREL, five endogenous variables of health utiliztion, predisposing factor, enabling factor, need factor, and health behavior and 20 exogeneous variables which measures five endogenous variables were used. According to the multiple regression analysis, chronic illness, health status, perceived health status of the need factor; residence, sex, age, marital status, education of the predisposing factor ; health insurance, usual source for medical care of enabling factor were the siginificant exploratory variables for the health utilization. Out of the logistic regression analysis, health status, chronic illness, residence, marital status, education, drinking, use of health aid were found to be significant exploratory variables. From LISREL, need factor affect utilization most following by predisposing factor, enabling factor and health behavior. For LISREL model, age, education, and residence for predisposing factor; health status, chronic illess, and perceived health status for need factor; medical insurance for enabling factor; and doing any kind of health behavior for the health behavior were found as the significant observed variables for each theoretical variables.

• Food Science of Animal Resources
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• v.43 no.2
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• pp.374-381
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• 2023

In a previous study, 'response surface methodology (RSM) using a fullest balanced model' was proposed to improve the optimization of food processing when a standard second-order model has a significant lack of fit. However, that methodology can be used when each factor of the experimental design has five levels. In response surface experiments for optimization, not only five-level designs, but also three-level designs are used. Therefore, the present study aimed to improve the optimization of food processing when the experimental factors have three levels through a new approach to RSM. This approach employs three-step modeling based on a second-order model, a balanced higher-order model, and a balanced highest-order model. The dataset from the experimental data in a three-level, two-factor central composite design in a previous research was used to illustrate three-step modeling and the subsequent optimization. The proposed approach to RSM predicted improved results of optimization, which are different from the predicted optimization results in the previous research.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.11
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• pp.1-10
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• 2021

This paper compares the performance of Fama-French three-factor and five-factor models using a dataset of 20 Pakistani commercial banks for the period 2011 to 2020. We focus on an emerging economy as the findings from earlier studies on developed countries cannot be generalized in emerging markets. For empirical analysis, twelve portfolios were developed based on size, market capitalization, investment strategy, and growth. Subsequently, we constructed five Fama-French factors namely, R_M, SMB, HML, RMW, and CMA. The OLS regression technique with robust standard errors was applied to compare the predictive power of both the Fama-French models. Further, we also compared the mean-variance efficiency of the Fama-French models through the GRS test. Our empirical analysis provides three unique and interesting findings. First, both asset pricing models have similar predictive power to explain the expected portfolio returns in most cases. Second, our results from the GRS test suggest that there is no noticeable difference in the mean-variance efficiency of one asset pricing model over the other. Third, we find that all factors of both Fama-French models are statistically significant and are important for explaining the volatility of expected commercial bank returns in the context of Pakistan.

• Transactions of the Korean Society of Mechanical Engineers A
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• v.38 no.6
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• pp.669-676
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• 2014

A three-way catalyst substrate for domestic passenger car satisfies the design criteria for exhaust gas exchange and pressure drop but does not have satisfactory thermal fatigue performance. Prefracture faults in this three-way catalyst substrate has often been discovered in vehicle repair or vehicle inspection facilities. This paper presents a thermal fatigue performance estimation method for a three-way catalyst substrate using a probabilistic strength reduction factor model. This method is superior to the thermal fatigue performance estimation method for a three-way catalyst substrate that uses a deterministic strength model.

• 유체기계공업학회:학술대회논문집
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• 2002.12a
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• pp.111-115
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• 2002

The objective of this work is to develop improved slip factor model and correction method to predict flow through impeller in forward-curved centrifugal fan by investigating the validity of various slip factor models. Both steady and unsteady three-dimensional CFD analyses were performed with a commercial code tn validate the slip factor model and the correction method. The results show that the improved slip factor model presented in this paper could provide more accurate predictions for forward-curved centrifugal impeller than the other slip factor models since the presented model takes into account the effect of blade curvature. The comparison with CFD results also shows that the improved slip factor model coupled with the present correction method provides accurate predictions for mass-averaged absolute circumferential velocity at the exit of impeller near and above the flow rate of peaktotal pressure coefficient.

• Tribology and Lubricants
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• v.20 no.5
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• pp.284-291
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• 2004

We present a three-dimensional average flow model considering elastic deformation of pad asperities for chemical mechanical planarization. To consider the contact deformation of pad asperities in the calculation of the flow factor, three-dimensional contact analysis of a semi-infinite solid based on the use of influence functions is conducted from computer generated three dimensional roughness data. The average Reynolds equation and the boundary condition of both force and momentum balance are used to investigate the effect of pad roughness and external pressure conditions on film thickness and wafer position angle.

• Journal of applied mathematics & informatics
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• v.6 no.1
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• pp.31-50
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• 1999

We revisit the problems of testing three-factor classifica-tion models with a single observation per cell. A common approach in analyzing such nonreplicated data is to omit the highest order in-teraction and regard it as error. This paper discusses the use of a multiplicative model(See and Smith 1996 and 1998) which is applied on residuals in order to separate the variablility due to three-factor interaction from what is counted as random error. in particualr to test the significance of the interaction term we derived an approxi-mated distribution of the likelihood ratio test statistic based on the quadrilinear model known as Tucher's three-mode principal compo-nent model. The derivation utilizes the distribution of the eignevalues of the Wishart matrix.