Why is PIN priced?

Recent empirical work suggests that a proxy for the probability of informed trading (PIN) is an important determinant of the cross-section of average returns. This paper examines whether PIN is priced because of information asymmetry or because of other liquidity effects that are unrelated to information asymmetry. Our starting point is a model that decomposes PIN into two components, one related to asymmetric information and one related to illiquidity. In a two-pass Fama-MacBeth [1973. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 81, 607–636] regression, we show that the PIN component related to asymmetric information is not priced, while the PIN component related to illiquidity is priced. We conclude, therefore, that liquidity effects unrelated to information asymmetry explain the relation between PIN and the cross-section of expected returns.     

Welfare gains from optimization in dynamic planning models

This paper compares the results of two multisectoral models used to plan the dynamic consistency of sectoral investment. Solution of an optimizing model forecasts a frontier of the economy's future choice set. This frontier represents a ten year welfare gain only 2 or 3 percent greater than any investment program simulated by a dynamic Leontief system. The paper explains what efficient behavior accounts for the better performance of the optimizing model. Developing dynamic programming models is costly in terms of data, computational complexity, man-machine interaction, and solution interpretation. Therefore, it is recommended that the lessons derived by working with the dynamic LP be applied to improve the planner's control of the less expensive input/output simulation model.Final Draft for Economics of Planning-April, 1975H. G. Bergendorff is a staff economist at the Development Research Center of the World Bank, P. B. Clark is Staff Director, Center for Energy Policy (Boston, Mass., U.S.A.) and L. Taylor is Professor of Nutrition Economics at Massachusetts Institute of Technology. The project has been sponsored by the Development Research Center of the World Bank. The authors are grateful for the collaboration of Alejandro Foxley and Paul Ide in early versions of this study and for the assistance of Lucy Cardwell, Jon Eaton, Ruth Sheshinski, and Mieko Nishimizu during the computation phase. Any errors and the interpretations expressed are the responsibility of the authors alone.     

IDENTIFICATION METHODS IN VECTOR‐ERROR CORRECTION MODELS: EQUIVALENCE RESULTS

In a structural vector‐error correction (VEC) model, it is possible to decompose the shocks into those with permanent and transitory effects on the levels of the variables. Pagan and Pesaran derive the restrictions which the permanent–transitory decomposition of the shocks imposes on the structural VEC model. This paper shows that these restrictions are equivalent to a set of restrictions that are applied in the methods of Gonzalo and Ng and King et al. (KPSW). Using this result, it is shown that the Pagan and Pesaran method can be used to recover the structural shocks with permanent effects identically to those from the Gonzalo and Ng and KPSW methods. In the former case, this is illustrated in the context of Lettau and Ludvigson's consumption model and in the latter case in KPSW's six variable model. There are also two other methods for which the Pagan and Pesaran approach can deliver identical permanent shocks which are also discussed.     

Leadership Development in the Context of a University Consolidation: An Initial Evaluation of the Authentic Leadership Pipeline Program

University mergers and consolidations are on the rise, and the trend is likely to continue in the near term future. Such a trend is significant, as a university consolidations are inherently challenging and require strong and well‐developed leadership to be successful. In the current paper, a low‐cost leadership development program (the Authentic Leadership Pipeline program) that was initiated and developed to meet the leadership needs of Augusta University, the institutional result of the consolidation of Georgia Health Sciences University and Augusta State University is described. In addition, an initial pilot evaluation of the program that examined reactions and subjective perceptions of learning and behavior change is described. The findings were promising and suggest a high level of satisfaction, significant learning, and new behavior. Implications, applications, and future directions are discussed.     

Maximizing the Impact of Organization Science: Theory-Building at the Intersection of Disciplines and/or Fields

The intersection of academic disciplines and fields provides an important forum for creative theory building. In this article, we identify three modes of theory building at the intersection and highlight their strengths and weaknesses. We position these three modes relative to one another using the 'impact wheel', which visually describes their influence on five domains: theory, field, discipline, researchers, and external stakeholders. Though impact on these domains varies across the three modes, maximum impact is created when theory building at the intersection uncovers new phenomena that revise the boundaries of existing disciplines and fields while giving birth to new ones. Such theorizing is infrequent and demands particular skills on the part of researchers to help organization science to realize more of its potential.     

Formal and Informal Corruption Environments and Multinational Enterprise Social Irresponsibility

Using an institutional theory framework we theorize, hypothesize, and empirically show that higher levels of formal and informal corruption environments found in a firm's operating portfolio are related to higher levels of corporate social irresponsibility (CSiR). Failing to consider corruption's informal dimension leads to potentially false perceptions about a multinational enterprise's (MNE) operating environment, particularly when the formal dimension is low but the informal corruption dimension is high, as is the case in about one third of our sample. Including the informal corruption environment component provides additional explanatory power over the formal corruption environment alone in predicting CSiR and yields a superior understanding of both the formal and informal dimensions of the corruption institutional environment's influence on corporate social irresponsibility levels of MNEs. Managerial implications and future research directions are discussed.     

An analysis of credit risk spreads for high yield bonds

The overall growth and volatility in the high yield (HY) bond market has provided a viable source of capital and an interesting investment asset class. The result has been strong interest in the HY bond credit risk spread (CRS) because this series is very volatile and has a significant impact on the availability of capital to issuers and the rates of return and risk results for investors. Given these trends in the HY bond market, our study has two purposes. The first is to examine statistical properties of the CRS series for the aggregate HY bond market and the three rated components. The second purpose is to interpret the influence that a set of variables are expected to have on future CRSs and, therefore, HY bond performance. In summary, the statistical analysis indicates a significant business cycle effect, but does not show a monetary policy impact. Additionally, the study finds significant differences in characteristics among bonds with alternative ratings. The analysis of specific variables highlights the strong influence of direct and indirect measures of default risk, capital market risk factors, a specific measure of monetary policy, and an impact from liquidity within the HY bond market. There was also evidence of segmentation within the HY bond market because the empirical results indicate that we should consider separate models across rating classes that employed different variables as well as coefficients that were significantly different for the same variables.     

Labour Management as Development of the Integrated Developmental State in China

The application of the developmental state concept outside its birthplace in East Asia is generally unsuccessful. The culprit is the ‘laundry list’ method commonly seen in the literature. In this paper a ‘strategic capacity’ conceptualisation is used instead, with emphasis on its diverse institutional underpinnings. The paper demonstrates that the Chinese state's approach to industrial relations is integrated with its national development strategy and that crafting institutions of labour management is part of the state's effort at building up its strategic capacity for political, social and economic management. The study delineates the factors shaping labour management institutions, paying special attention to the communist heritage that sets China apart from other developmental states. As such, the concept of developmental state has much wider application.