The Sensitivity of Tests of Asset Pricing Models to the IID-Normal Assumption: Contemporaneous Evidence from the US and UK Stock Markets

Standard tests of asset pricing models are based on the iid -normal assumption. We compare standard test results with those obtained from procedures that do not require iid -normality. Analysing unconditional and conditional asset pricing models, we find that the use of tests that consider departures from the iid -normal assumption affect probability values, sometimes by a considerable amount but that test outcomes are not affected. The results also suggest that issues surrounding the testing of joint hypothesis influence probability values and that the use of appropriate tests may be more important when analysing US data than when analysing UK data.     

THE ART OF STRATEGIC DIVESTMENT

Divestiture makes sense only as part of a sound, long-term strategy. Before simply shedding business units, companies must consider all the options, and be willing to constantly review, replenish, and trim portfolios as markets change and evolve. In so doing, a company increases not only its flexibility but also its chances of adding shareholder value.
This article examines the corporate restructuring "big picture," in which divestments are only one alternative. It reviews additional measures besides divestments, such as outsourcing, joint ventures, asset swaps, and using new technologies to cut costs, and provides case studies of each. It also raises some interesting issues regarding divestiture, such as ways to sell a business unit without strengthening a competitor's hand, as well as strategies for improving a business unit's valuation in preparation for sale. The authors, who are M&A advisors at Accenture, conclude that "a carefully planned and well-executed restructuring that involves divestiture can be as significant a victory for management and shareholders as a successful acquisition."     

The Impact of Portfolio Diversification on Trading Rules Profits: Some Evidence for UK Share Portfolios

This paper demonstrates how the autocorrelation structure of UK portfolio returns is linked to dynamic interrelationships among the component securities of that portfolio. Moreover, portfolio return autocorrelation is shown to be an increasing function of the number of securities in the portfolio. Since the security interrelationships seemed to be more a product of their history of non-synchronous trading than of systematic industry-related phenomena, it should not be possible to exploit the high levels of return persistence using trading rules. We show that rules designed to exploit this portfolio autocorrelation structure do not produce economic profits.     

Two ethical issues in mergers and acquisitions

With the recent rash of mergers and friendly and unfriendly takeovers, two important issues have not received sufficient attention as questionable ethical practices. One has to do with the rights of employees affected in mergers and acquisitions and the second concerns the responsibilities of shareholders during these activities. Although employees are drastically affected by a merger or an acquisition because in almost every case a number of jobs are shifted or even eliminated, employees at all levels are usually the last to find out about a merger transaction and have no part in the takeover decision. Second, if shareholders are the fiduciary beneficiaries of mergers and acquisitions, then it would appear that they have some responsibilities or obligations attached to these benefits, but little is said about such responsibilities. In this essay I shall analyze these two ethical issues, and at the end of the paper I shall suggest how they are related. Patricia H. Werhane is Professor of Philosophy at Loyola University of Chicago. She is one of the founding members of the Society for Business Ethics. Her publications include Philosophical Issues in Art, Ethical Issues in Business, coedited with Tom Donaldson, Persons, Rights and Corporations, Philosophical Issues in Human Rights, edited with D. Ozar and A. R. Gini.     

THE INTEGRATION OF MACRO AND MICRO DATA FOR THE HOUSEHOLD SECTOR1

National accounts in their present form do not serve very well as a framework for microdata, largely because of differing concepts and coverage in the macro and micro data. This article identifies the differences in sectoring and the handling of imputations and attributions between macro and micro data, and then proposes a form of presentation of the macro accounts that will facilitate their integration. Data for the United States in 1980 are used as an illustrative example. The final section explores the consequences of the proposed alterations in the macro accounts for the analysis of saving and investment and the accumulation and distribution of wealth, using U.S. data for the period since 1947. The article concludes that the proposed alterations do lead to new analytical insights, and further, that in their present form the national accounts are both misleading and inadequate.     

WAREHOUSE OPERATIONS EMPLOYEES: LINKING PERSON‐ORGANIZATION FIT,JOB SATISFACTION,AND COPING RESPONSES

Employee turnover in the warehousing industry has historically been extremely high. The current research proposes that one of the keys to maximizing employee retention is focusing on good person‐organization fit. The research examines the relationships between person‐organization fit, job satisfaction, and coping behaviors (escape and control behaviors) within a sample of 667 warehouse operations employees.     

SUPPLY CHAIN PROCESS INTEGRATION: A THEORETICAL FRAMEWORK

The current study was undertaken to further understanding of supply chain process integration. It is suggested that supply chain integration, the practice of realigning firms' operating structures, should be understood from an internal‐external perspective and a process view. Drawing upon four theories—Strategy‐Structure‐Performance framework, the resource based view of the firm, transaction cost economics, and social network analysis—and combining industry inputs, a theoretical framework of supply chain process integration is developed. It is argued that a firm's strategic priorities are key factors of supply chain process integration. Superior performance is likely to be achieved when necessary supply chain capabilities are developed through supply chain process integration.