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The Goldman Sachs asset management (GSAM) factor model is a quantitative investment model used by financial analysts to assess the potential performance and risk of company. [ 1 ] [ 2 ] [ 3 ] There are various types of factor models – statistical models, macroeconomic models and fundamental models.
fictitious capital, which refers to intangible representations or abstractions of physical capital, such as stocks, bonds and securities (or "tradable paper claims to wealth") Adam Smith defined capital as "that part of man's stock which he expects to afford him revenue". In economic models, capital is an input in the production function.
The first stage consists of fitting a series of local factor models of the familiar form resulting in a set of factor returns f(i,j,t) where f(i,j,t) is the return to factor i in the jth local model at t. The factor returns are then fit to a second stage model of the form
National Intangible Capital NIC consists of four basic dimensions according to the model by Edvinsson & Malone (1997). [3] This model has been further developed, [4] now consisting 48 different indicators representing the four main NIC categories: [1] Human capital: Capacity and capability of a country population Market capital: Global business ...
Intellectual capital is the result of mental processes that form a set of intangible objects that can be used in economic activity and bring income to its owner (organization), covering the competencies of its people (human capital), the value relating to its relationships (relational capital), and everything that is left when the employees go home (structural capital), [1] of which ...
Factor models are statistical models that attempt to explain complex phenomena using a small number of underlying causes or factors. [3] The traditional asset pricing model, known formally as the capital asset pricing model (CAPM) uses only one variable to compare the returns of a portfolio or stock with the returns of the market as a whole. In ...
In mathematical finance, the intertemporal capital asset pricing model, or ICAPM, created by Robert C. Merton, [1] is an alternative to the Capital Asset Pricing Model (CAPM). It is a linear factor model with wealth as state variable that forecasts changes in the distribution of future returns or income .
A market anomaly in a financial market is predictability that seems to be inconsistent with (typically risk-based) theories of asset prices. [1] Standard theories include the capital asset pricing model and the Fama-French Three Factor Model, but a lack of agreement among academics about the proper theory leads many to refer to anomalies without a reference to a benchmark theory (Daniel and ...