Measuring portfolio performance and the empirical content of asset pricing models

Recent work by Richard Roll has challenged the worth of portfolio performance measures based on the capital asset pricing model. This paper demonstrates that Roll's conclusions are due to his focusing on a ‘truly’ ex-ante efficient index. Using a choice and information theoretic framework, we show that an appropriate index is efficient relative to the probabilities assessed by the ‘market’. Residual analyses and portfolio performance tests, using such an index, yield meaningful results for a wide class of information structures. Roll's primary criticisms, however, relate to tests of the asset pricing model itself. We argue that these criticisms are vastly overstated.     

A CROSS-FUNCTIONAL COMPARISON OF PRESCRIBED VERSUS PREFERRED PATTERNS OF MANAGERIAL STRUCTURE

Previous research indicates that effective operating systems adopt structural patterns appropriate to their environmental uncertainty. Production units have typically been found to require more structure than comparable research organizations. The current findings document a consistent mismatch between the relative structural levels desired by research and production managers and the structural levels currently recommended for their respective functions. Implications regarding this conflict between organizational efficiency and employee attitudes are presented.     

What's absent in absence management?

Current approaches to absence management, such as focused attendance management, integrated disability management, benefit design and wellness programs, are necessary but not sufficient. Employers should focus on building a "present and committed" workforce, reducing the number of absences and using technology to link absences to the bottom line.     

The Effect of Advertising on Pharmaceutical Innovation

Although there is much controversy in the economic literature about how advertising affects market competition, little is known about the effect of advertising on product innovation. We examined the relationship between advertising expenditures and the research and development activities of pharmaceutical firms using empirical data from eight therapy areas. This study finds that detailing advertising may have a significant positive effect on the number of new products entering into clinical development. Markets of chronic disease with high levels of detailing advertising were more attractive to pharmaceutical firms. However, the effect of advertising on new product novelty remains inconclusive.