THE STRUCTURE OF SKEWNESS PREFERENCES IN ASSET PRICING MODELS WITH HIGHER MOMENTS: AN EMPIRICAL TEST

In this paper, the authors employ a nonlinear formulation to examine empirically the structural content of the three moment capital asset pricing model (CAPM). Whereas previous research focused on the coefficients of beta and co-skewness, this paper presents empirical results on the market risk premium and elasticity coefficient components of these two coefficients. The results indicate that although the estimated coefficient of coskewness gives important information on the marginal rate of substitution between skewness and expected return, the elasticity coefficient can provide additional (albeit different) information on skewness preference that is independent of the effects of the market risk premium. This research also shows how the non-linear formulation provides a direct linkage between the twomoment and three-moment CAPM versions and thus provides an empirical test of the theoretical conditions under which skewness preference is consistent with the two-moment CAPM empiricial results.     

Asset preference,skewness, and the measurement of expected utility

This article shows that serious analytical errors may occur in expected utility theory when Taylor series approximation methods are used without careful attention to underlying mathematical assumptions. Recent studies have developed theory incorporating skewness of return into expected utility calculations based on a Taylor series approximation. It is apparent that this theory is invalid if assumptions for application of a Taylor series cannot be met. Errors may occur if returns fall outside the region of convergence of the utility function ot if the partial sums of the Taylor series provide poor approximations to the utility function. Stylized examples are presented to illustrate miscalculation of utility when the various assumptions are violated. These examples are motivated by the use of Taylor series approximations in current literature which deal with the new spectrum of financial securities.     

CEO Leadership Styles and the Implementation of Organizational Diversity Practices: Moderating Effects of Social Values and Age

Drawing on strategic choice theory, we investigate the influence of CEO leadership styles and personal attributes on the implementation of organizational diversity management practices. Specifically, we examined CEO transformational and transactional leadership in relation to organizational diversity practices and whether CEO social values and age may moderate these relationships. Our results suggest that transformational leadership is most strongly associated with the implementation of diversity practices. Transactional leadership is also related to the implementation of diversity management practices when either CEO social values or age are relatively high. These findings extend previous work examining predictors of diversity management in organizations and highlight the central role that organizational leaders may play in the successful implementation of these practices.     

Toward a Multistage,Multilevel Theory of Innovation

Despite an impressive amount of research, the innovation literature may be characterized as fragmented with little cross‐fertilization and synthesis of findings across levels. Based on a review of conceptual and empirical work on innovation, we present a cross‐level theory that aims to clarify terminology in the innovation process and highlight key concepts and themes that have emerged in innovation research across levels of analysis. We model innovation, offer specific research propositions derived from the model, and identify directions for future research both within and across levels of analysis. Overall, this research responds to the need for greater cross‐level theory building on innovation and a more inclusive consideration of various social and contextual influences in the innovation process. Copyright © 2011 ASAC. Published by John Wiley & Sons, Ltd.     

Desegregation in Pietersburg after the repeal of the Group Areas Act

Since the Group Areas Act was repealed in 1991, black people have for the first time become legal home‐owners in previously whites‐only areas of South African cities. This survey is concerned with residential changes in Pietersburg between June 1991 and May 1993. The residential location of black people was monitored and mapped, and the first new black home‐owners were interviewed to determine their reasons for moving to Pietersburg. The survey shows that only blacks in the middle‐ and high‐income groups made the move, and that property values were not a deciding factor in the purchase of a home.     

Dividend Announcements and Changes in Beta

This study examines changes in beta risk around dividend announcement dates. The evidence shows that beta changes are strongly influenced by the changing behavior of large and small betas. This implies that researchers who attribute risk changes to specific announcements may need to control their research design for regression order bias. Further research may also be needed to ascertain whether or not this regression order bias plays a significant role in the estimation of abnormal returns in event studies.