Multivariate location–scale mixtures of normals and mean–variance–skewness portfolio allocation

We show that the distribution of any portfolio whose components jointly follow a location–scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean–variance–skewness frontier in closed form, and show that it can be spanned by three funds. For practical purposes, we derive a standardised distribution, provide analytical expressions for the log-likelihood score and explain how to evaluate the information matrix. Finally, we present an empirical application in which we obtain the mean–variance–skewness frontier generated by the ten Datastream US sectoral indices, and conduct spanning tests.     

Formal control and social control in domestic and international buyer–supplier relationships

Focusing on long-term buyer–supplier relationships, this article addresses two questions: (1) What are the antecedents that lead to the adoption of formal control, social control, or both? (2) What is the nature of the relationship between formal control and social control - are they substitutes or complements? We develop a model to investigate the impact of the length of cooperation and institutionalization on the use of control mechanisms. Further, we argue that in China, formal control and social control may be substitutes in domestic buyer–supplier relationships, but they may be complements in international relationships. Survey data collected nationwide with executives in 380 domestic and 200 international buyer–supplier relationships in China are used to test our hypotheses.     

The Sato–Vartia index and the monotonicity axiom

The Sato–Vartia index is believed to be on a par with the Fisher ideal index in terms of its ability to satisfy index number axioms or tests. Yet we show that this index fails to satisfy the monotonicity axiom, and we provide formulas for the point at which a Sato–Vartia price index becomes non-monotonic in prices. In fact, requiring monotonicity for initial as well as final prices rules out not only the Sato–Vartia index but all log-change price indexes whose weights depend upon initial or final expenditure shares. Since cost of living index theory leads naturally to the Sato–Vartia index, as well as to other log-change indexes, there is an irreconcilable tension between the standard axiomatics for indexes, and cost of living index theory.     

The Beveridge–Nelson decomposition in retrospect and prospect

Beveridge and Nelson [Beveridge, Stephen, Nelson, Charles R., 1981. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’. Journal of Monetary Economics 7, 151–174] proposed that the long-run forecast is a measure of trend for time series such as GDP that do not follow a deterministic path in the long run. They showed that if the series is stationary in first differences, then the estimated trend is a random walk with drift that accounts for growth, and the cycle is stationary. In contrast to linear de-trending, the smoother of Hodrick and Prescott (1981) and Hodrick and Prescott [Hodrick, Robert, Prescott, Edward C., 1997. Post-war US business cycles: An empirical investigation. Journal of Money Credit and Banking 29 (1), 1–16] and the unobserved components model of Harvey, [Harvey, A.C., 1985. Trends and cycles in macroeconomic time series. Journal of Business and Economic Statistics 3, 216–227]. Watson [Watson, Mark W., 1986. Univariate detrending methods with stochastic trends Journal of Monetary Economics 18, 49–75] and Clark [Clark, Peter K., 1987. The cyclical component of US economic activity. The Quarterly Journal of Economics 102 (4), 797–814], the BN decomposition attributes most variation in GDP to trend shocks while the cycles are short and brief. Since each is an estimate of the transitory part of GDP that will die out, it seems natural to compare cycle measures by their ability to forecast future growth. The results presented here suggest that cycle measures contain little if any information beyond the short-term momentum captured by BN.     

Inflation and stabilization in Latvia: 1918–1922

The central European stabilization efforts of the interwar period, based on fiscal cuts coupled with the adoption of a pegged exchange rate and external support are often portrayed as prototypes defining the necessary conditions for successful stabilizations. While prevalent, the orthodox package was not universal in the period. We examine one exception, the Latvian stabilization of 1921–1922. Commencing from a background of multiple circulating currencies, the stabilization program was money-based, implemented without external assistance and followed rather than accompanied by exchange rate stabilization.     

A global food–energy–water nexus with heterogeneity,non-stationarity and cross-sectional dependence

We estimate the Food–Energy–Water (FEW) nexus for 21 countries worldwide, with data available from year 1990–2000 in order to investigate the relationship between food production and two scarce resources: energy and water. Food production is proxied by four alternative variables: The index of agricultural production, the index of crops production, the index of livestock production and the value added from agriculture. Water and energy as independent variables are controlled by methane and nitrogen emissions, capital, labor and five versions of fertilizer proxy: pesticides, insecticides, fungicides, herbicide and other. For robust estimation, we have perused a number of standard and novel panel estimators such as the common correlated effects mean group estimator and the augmented mean group estimator (AMG). These estimators can account both for non-stationarity and the cross-dependence problems. Based on standard estimators such as the generalized least squares estimator or the Arellano-Bond generalized method of moments GMM, they reveal the existence of a significant FEW nexus while the mean group estimator, the group mean DOLS estimator, the common correlated effects and the augmented mean group estimator (AMG) do not yield significant coefficients for water and energy. In the latter models only labor and pesticides are significant at 5%. Also, the unobserved total factor productivity appears significant at 5% under the AMG estimation. When significant, energy and water elasticities ranged from ? 0.001 to ? 0.256 and from ? 0.014 to ? 0.084 respectively.     

Learning and stability of the Bayesian–Walrasian equilibrium

Under the Bayesian–Walrasian Equilibrium (BWE) (see Balder and Yannelis, 2009), agents form price estimates based on their own private information, and in terms of those prices they can formulate estimated budget sets. Then, based on his/her own private information, each agent maximizes interim expected utility subject to his/her own estimated budget set. From the imprecision due to the price estimation it follows that the resulting equilibrium allocation may not clear the markets for every state of nature, i.e., exact feasibility of allocations may not occur. This paper shows that if the economy is repeated from period to period and agents refine their private information by observing the past BWE, then in the limit all agents will obtain the same information and market clearing will be reached. The converse is also true. The analysis provides a new way of looking at the asymmetric equilibrium which has a statistical foundation.     

Trade friction and price discovery in the USD–CAD spot and forward markets

This paper examines the impact of trade friction on price discovery in the USD–CAD spot and forward markets. Using the recently developed fractionally cointegrated vector autoregressive (FCVAR) model, we investigate how the foreign exchange spot and forward markets respond to trade friction. We consider two major trade friction events: the United States–Mexico–Canada Agreement and the recent trade friction between Canada and China. Both events show that the forward market plays a dominant role in price discovery, and the influence of the forward market increases as trade tension increases. By comparing the fractional and non-fractional models, we find that the fractional model fits the data better and has superior forecasting performance to the cointegrated vector autoregressive (CVAR) model.     

Reforms and agricultural productivity in Central and Eastern Europe and the Former Soviet Republics: 1989–2005

This paper analyses the changes in agricultural performance in Central and Eastern Europe and the Former Soviet republics since the start of the transition process. We provide a conceptual framework for the evolution of productivity and efficiency measures and link this evolution to the issue of factor abundance taking into account specific transition characteristics. We document the changes in agricultural performance using empirical data on the evolution of partial productivity and total factor productivity estimates and we illustrate how productivity varies between countries at various stages of the transition process. Over the past twenty years, virtually all transition countries witnessed an initial decline in productivity, and virtually all countries currently witness an increase in productivity. However, the depth and length of the initial decline differs enormously between countries. Our analysis indicates that the productivity changes were related to the extent of the pre-reform distortions, initial resource endowments and technology use, and the reform implementation in the countries.     

Negative work–family/family–work spillover and demand for flexible work arrangements: the moderating roles of parenthood and gender

In recent years, companies have increasingly adopted flexible work arrangements (FWAs) to help company managers address negative work–family/family–work spillover (inter-role conflicts between work and family roles). Accordingly, we investigate the effects of parenthood and gender on the relationship between negative work–family/family–work spillover and demand for FWAs. Based on a sample of 1577 managers (967 females and 610 males) of South Korean companies, the results show that parenthood has a significant moderating effect on the relationship between negative work–family/family–work spillover and the demand for FWAs, regardless of gender. The present study highlights the importance of parenthood not only in addressing negative work–family/family–work spillover but also in expressing a demand for FWAs.     

The congruence of actual and perceived person–organization fit

Person–organization fit (P–O fit) is an important and often-researched variable, which sheds light on the way employees perceive their relationship with the organization they work for. In this study, two different assessments of P–O fit are compared, i.e. actual fit (an indirect measurement based on the comparison of organizational and personal values or characteristics) and perceived fit (a direct measurement involving employees' own estimations of their P–O fit). The four quadrants of the Competing Values Framework (CVF) are used to investigate which values have the strongest influence on employees' fit perceptions. In a polynomial regression analysis, the predictive power of the indirect fit measure on the direct fit measure is tested in a sample of two organizations (hospital n1 = 222; chemical plant n2 = 550). The results show that of the four CVF quadrants human relations values have the strongest predictive power for employees' fit perceptions and rational goal values contribute least. In the discussion section, special attention will be paid to the measurement of individual values as the results raise important methodological questions.     

Aligning strategic human resource management and person–environment fit

Strategic human resource management addresses the need to create vertical linkages of human resource management (HRM) attributes with corporate strategy as well as horizontal linkages that integrate practices among HRM functions. Most models commonly focus on either vertical or horizontal linkages. This paper utilizes three categories of person–environment fit to create both vertical and horizontal linkages. Based on a strategic contingency framework, it demonstrates how person–environment fit relates to organizational competencies that supports corporate strategy. Furthermore, it demonstrates how person–environment fit can be used to promote internal alignment of HRM practices. Implications of this approach to strategic human resource management are then discussed.     

The relationship between perceptions of HR practices and employee outcomes: examining the role of person–organisation and person–job fit

Human resource management (HRM) practices can play an important role in matching people with the organisations and the jobs they work in. However, little is known about how employees perceive and interpret HR practices and whether or how these perceptions relate to perceptions of person–organisation (P–O) and person–job (P–J) fit. This study aims to bridge strategic HRM and person–environment fit literature by examining possible mediating and moderating roles of P–O and P–J fit in the relationship between employee perceptions of a broad set of HR practices and employee attitudes and behaviours. Results from a sample of 412 employees support direct relationships as well as a mediating and moderating role of P–O and P–J fit in the relationship between perceived HR practices and employee outcomes.     

Relationships among leader–member exchange,person–organization fit and work attitudes in Japanese and Korean organizations: testing a cross-cultural moderating effect

This study examines a possible national culture difference in the moderating effect of leader–member exchange (LMX) on the relationship between person–organization (P–O) fit and work attitudes, including job satisfaction and organizational commitment, in Japan and Korea. Specifically, we use trait activation theory as a lens to explain the complementarities between P–O fit and LMX that may exert an influence on employees' work attitudes. We hypothesize that from the cross-cultural management perspective, such complementary effects would work in Japan where organizations encourage more decentralization and empowerment than those in Korea, which may enable supervisors in Japanese organizations to provide unambiguous reward expectancies for their immediate subordinates. Using samples of 138 Japanese and 144 Korean employees working for privately owned firms in Japan and Korea, we demonstrate that a significant three-way interaction of employees' P–O fit, LMX and a national culture difference (i.e. nationality) influences their work attitudes. Specifically, LMX moderated the positive relationships between P–O fit and both job satisfaction and organizational commitment for Japanese employees, tending to weaken them. For Korean employees, however, no such interactions were observed. The findings are used to discuss the applicability and generalizability of trait activation theory in East Asian cultures. In addition, suggestions are made regarding the discussion of HRM practices from a cross-vergence perspective. Limitations and directions for future research are also discussed.     

Leader–member exchange,subordinate stewardship,and hierarchical governance

In this article, by integrating the institutional theory, leader–member exchange (LMX) theory, and stewardship theory, we propose a model of subordinate stewardship behaviors in organizational hierarchies and the resultant hierarchical governance structures. First, we develop propositions suggesting that the quality of LMX (supervisor–subordinate) is determined by three antecedents: leader characteristics, subordinate characteristics, and internal organizational context. The quality of LMX, in turn, affects the subordinate stewardship behaviors. Second, by integrating institutional theory and stewardship theory, we propose that the interaction between isomorphic pressures and the level of subordinate stewardship behaviors may result in four distinct types of hierarchical governance structures: isomorphic stewardship, isomorphic controls, firm-specific controls, and firm-specific stewardship. These governance mechanisms reflect the internal drive toward subordinate stewardship, while complying with the external norms of isomorphism. Thus, different types of governance structures may exist between and within firms. Implications of this model are discussed here.     

Employee–organization exchange and employee creativity: a motivational perspective

Abstract

A critical omission in employee creativity literature is lack of a clear understanding of why and how employee–organization exchange (EOX) affects employee creativity. We collected three-phrase data from 384 employees working with 64 supervisors in Guangdong Province, China. Results of Mplus (using design-based modeling approach) suggest that (i) need satisfaction mediates the EOX-creativity relationship, (ii) leader-member exchange (LMX) enhances the positive EOX-need satisfaction relationship, (iii) creative self-efficacy (CSE) neutralizes the positive need satisfaction-creativity relationship, and (iv) the indirect effect of EOX on creativity via need satisfaction is stronger for employees with high quality LMX and with low CSE. Using inducement-contribution framework, the study integrates social exchange and self-determination theories to explicate the mediating role of need satisfaction in the EOX-creativity relationship. Further, the study contributes to the understanding of the EOX-creativity relationship by examining the boundary conditions of LMX (as a synergistic enhancer) in the first stage and CSE (as a neutralizer that diminishes gains) in the second stage of indirect effect.     

OCB and external–internal social networks: effects on individual performance and adaptation to change

In this study, we develop and test a model that links one's internal and external social network structures to his or her willingness and ability to adapt in a changing work context. Using a survey data from 371 employees working in 133 different branches of a large financial firm, we find that individual behaviors that explain task performance and individual adaptation to change are affected by a number of supportive social ties (size of the support network) with which one receives support inside and, mostly, outside the workplace. The results also show that individual performance and adaptation to change are affected by the level of workers' organizational citizenship behavior. We also identify a mediating effect exerted by the informational network structure (mostly an internal network) on the relationship between the support network (mostly an external network) and individual task performance.     

Time-varying lead–lag structure between investor sentiment and stock market

This paper uses the thermal path method to study the lead–lag structure of sentiment and the stock market. First, based on principal component analysis, four indicators are selected to construct the sentiment index. Furthermore, the effectiveness of the thermal path method is verified by numerical simulation. Finally, the lead-lag characteristics of the Shanghai Stock Index and the sentiment index are studied via the symmetric thermal optimal path method. The analysis results show that in the short term, investor sentiment has a leading position in the stock market, which may be related to the herd effect and buying the winners behavior. However, over a longer period of time, investor sentiment is affected mainly by fluctuation in the market, which may be related to the existence of cyclical fluctuations in the market and futures arbitrage. In addition, the stock market's leading effect appears mainly from January 2006 to January 2012, with an average lead time of one month.     

The gender diversity–performance relationship in services and manufacturing organizations

Empirical findings on the link between gender diversity and performance have been inconsistent. This paper presents three competing predictions of the organizational gender diversity–performance relationship: a positive linear prediction derived from the resource-based view of the firm, a negative linear prediction derived from self-categorization and social identity theories, and an inverted U-shaped curvilinear prediction derived from the integration of the resource-based view of the firm with self-categorization and social identity theories. This paper also proposes a moderating effect of industry type (services vs. manufacturing) on the gender diversity–performance relationship. The predictions were tested in publicly listed Australian organizations using archival quantitative data with a longitudinal research design. The results show partial support for the positive linear and inverted U-shaped curvilinear predictions as well as for the proposed moderating effect of industry type. The curvilinear relationship indicates that different proportions of organizational gender diversity have different effects on organizational performance, which may be attributed to different dynamics as suggested by the resource-based view and self-categorization and social identity theories. The results help reconcile the inconsistent findings of past research that focused on the linear gender diversity–performance relationship. The findings also show that industry context can strengthen or weaken the effects of organizational gender diversity on performance.