Multivariate tests of the zero-beta CAPM

A ‘cross-sectional regression test’ (CSRT) of the CAPM is developed and its connection to the Hotelling T² test of multivariate statistical analysis is explored. Algebraic relations between the CSRT, the likehood ratio test and the Langrange multiplier test are derived and a useful small-sample bound on the distribution function of the CSRT is obtained. An application of the CSRT suggests that the CRSP equally-weighted index is inefficient, but that the inefficiency is not explained by a firm size-effect from February to December.     

Operational modes for multinational corporations in post-apartheid South Africa: A proposal for a code of affirmative action in the marketplace

The economic and socio-political impact of multinational corporations (MNCs) on third world countries has been the subject of intense debate and controversy leading to charges of exploitation and colonization on the one hand, and demands for codes of conduct on the other. This article examines the working of one of the most comprehensive of such codes under the most reprehensible political conditions, i.e., the operations of U.S.—based multinational corporations in South Africa under the acgis of the Sullivan Principles. It is argued that despite the best intentions, and considerable social goodwill, the Sullivan Principles were seriously flawed both as to goals and as to means of achieving them. Finally, it suggests a new approach to developing standards of MNC behavior in third world countries which emphasizes those areas of activities that are directly under the control of MNCs, and offers targets of achievement to which MNCs can and should be held accountable.The paper is a revised and expanded version of a keynote speech delivered by the author at the First Biannual Conference on Advances in Management, Orlando, Florida March 25–28, 1992.S. Prakash Sethi is Professor and Associate Director, Center for Management, Baruch College, The City University of New York. He is also the Economic Policy Advisor to the National African Federated Chamber of Commerce and Industry (NAFCOC), which is the largest and the oldest organization of Black business and industry people in South Africa.     

The political economy of a productivist agriculture: New Zealand dairy discourses

The New Zealand dairy industry faces political and commercial pressure to improve its environmental performance on the one hand while maintaining economic efficiency and commercial competitiveness in a global marketplace on the other. The growing scale and intensity of dairy production have caused significant cumulative environmental impacts. The industry response to political pressures for improved environmental performance has involved a narrow focus on water quality and pasture management. It is consistent with an approach which seeks to maintain size and industrial leverage in the face of global trade competition. This paper explores the productivist constructions of environmental management by the New Zealand dairy industry in the context of global economic competition and notes an alternative response inspired by an ethic of sustainability. It suggests that despite global pressures of economic competition, it is possible to incorporate non-material values into farm management provided these are recognised and rewarded.     

Estimating and testing beta pricing models: Alternative methods and their performance in simulations

We conduct a simulation analysis of the Fama and MacBeth[1973. Risk, returns and equilibrium: empirical tests. Journal of Political Economy 71, 607–636.] two-pass procedure, as well as maximum likelihood (ML) and generalized method of moments estimators of cross-sectional expected return models. We also provide some new analytical results on computational issues, the relations between estimators, and asymptotic distributions under model misspecification. The generalized least squares estimator is often much more precise than the usual ordinary least squares (OLS) estimator, but it displays more bias as well. A “truncated” form of ML performs quite well overall in terms of bias and precision, but produces less reliable inferences than the OLS estimator.     

Mobilizing grassroots’ technological innovations and traditional knowledge, values and institutions: articulating social and ethical capital

The Honey Bee Network has helped provide a sort of loose platform to converge creative, but uncoordinated individuals across not only Indian states having varying cultural, linguistic and social ethos, but also in 75 other countries around the world. What the Network is trying to do in a rather quiet manner may transform the way the resources—in which poor people are rich—are used in the future. These resources are their knowledge, innovations and sustainable practices.I first argue that the classical concept of social capital does not distinguish between the trust in society created for social good versus social ‘bad’. For instance, the trust among members of the mafia and other socially undesirable networks does not constitute social capital. I am also trying to emphasize that part of social trust which is guided by higher ethical values which may not have become social norms as yet. This is being characterized as ethical capital. Finally, I conclude that the Honey Bee Network has tried to articulate the social and the ethical capital of society at the grassroots to demonstrate how local individuals and communities are trying to solve local problems without any outside help.     

Impact of Customer Orientation,Inducements and Ethics on Loyalty to the Firm: Customers’ Perspective

Customer orientation (CO) and the development of long-term relationships with customers are known conditions for growth and profit sustainability. Businesses use special treatments, inducements, and personal gestures to show their appreciation to customers. However, there are concerns about whether these inducements really create the right perceptions in customer’s mind. This study suggests that when customers believe that the firm is ethical, the inducements and special treatments received are seen in a positive light and can help develop loyalty. The hypotheses were tested with responses from 299 customers of financial institutions in Chile. Results support the hypotheses that firm’s ethical reputation helps in retaining customers. Managerial implications are provided.     

The future according to Jesus: A Galilean model of foresight

Should futures studies situate the historical Jesus within the pre-history of their discipline? This paper proposes a first-century Galilean model, which argues that Jesus envisioned a middle-range future as a dynamic interaction of conventional, counter, and creative paths. This historical model then is compared and contrasted with 20th century frameworks of the kingdom of God, ranging from imminent, existential, inaugurated, and contextual. Suggestions are offered on how futurists might use this model to enhance their understanding of social and strategic foresight.     

Symposium on Market Microstructure: A Review of Empirical Research

This paper provides a review of empirical research in four topics within the area of market microstructure. Specifically, the paper provides an overview of issues related to (a) the estimation of the components of the bid-ask spread, (b) the effects of order flow characteristics and regulations on market liquidity, (c) the differences and similarities between the NYSE and the Nasdaq and (d) the interaction between the options and underlying stock markets.