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This paper examines the seasonal behavior of proportional dealer spreads for OTC NASDAQ common stocks. Results indicate there is seasonality in dealer spreads. Spreads tend to be larger in the second half of the calendar year, peaking in December. At the turn-ofthe-year, spreads tend to peak in mid- to late December and then recede during January. The last trading day in December produces the largest daily decline in spreads during the turn-of-the-year period.
This paper examines rational expectations in the Treasury bill market from 1961 to 1988 with a risk premium specified to be proportional to the volatility of excess returns using instrumental variables. From 1961 to 1972 and from 1972 to 1979, rational expectations cannot be rejected, and both the predictive power of the yield curve and the risk premium are highly significant. By contrast, with just a constant risk premium and with a risk premium proxied by moving averages of absolute interest rate changes, rational expectations are rejected for each subperiod, and the yield curve has significant predictive information only from 1972 to 1979.
A new asset pricing model that generalizes earlier results in the downside risk literature is developed and empirically tested using a multivariate approach. By specifying risk as deviations below any arbitrary target rate of return, the generalized Mean-Lower Partial Moment (MLPM) model overcomes the limited appeal of earlier formulations, and, moreover, a large class of extant pricing models using alternative risk measures (variance, semivariance, semideviation, probability of loss, etc.) becomes special cases of the new framework. Empirical tests indicate that the new model cannot be rejected against an unspecified alternative for a large set of target rates of return. The traditional CAPM, on the other hand, is rejected as a well-specified alternative. The MLPM target rates inferred from market data appear to be related to equity market mean returns rather than to the riskfree rate, the target rate that is implicit in the CAPM and explicit in earlier downside risk formulations.
This paper provides a simple method to account for heteroskedasticity and cross-sectional dependence in samples with large cross sections and relatively few time-series observations. The method is motivated by cross-sectional regression studies in finance and accounting. Simulation evidence suggests that these estimators are dependable in small samples and may be useful when generalized least squares is infeasible, unreliable, or computationally too burdensome. We also consider efficiency issues and show that, in principle, asymptotic efficiency can be improved using a technique due to Cragg (1983).
This paper attempts to characterize liquidity-driven noise in the CRSP Government Bond price data set by comparing these price records to the independently collected Shearson Lehman Brothers (SLB) Bond Data Base. We argue that discrepancies between the data sets are due largely to liquidity-driven price errors, and we show that they are systematically related to certain bond characteristics. On the other hand, these discrepancies are small in magnitude and are approximately mean zero. We examine data filters based on observable bond characteristics and show that these filters can reduce the noise in price records while preserving their mean zero nature. The effects of these errors on performance evaluation are investigated by comparing results using filtered and unfiltered data.
We use the modified Black-Scholes model and a random variance option pricing model to study prices of European currency options traded in Geneva. The options, which cannot be exercised early, include calls and puts on the dollar/Swiss franc exchange rate. In the empirical analysis, we examine the model fit and the biases with respect to the strike price, time to maturity, and volatility. There is some evidence of mispricing and there are small gains available by trading with the random variance model.
This paper examines the determinants of commodity futures hedging and of risk premia arising from covariation of the futures price with stock market returns, and with the revenues of producers. Owing to supply shocks that stochastically redistribute real wealth (surplus) between producers and consumers, and to limited participation in the futures market, the total risk premium in the model is not proportional to the contract's covariance with aggregate consumption. Stock market variability interacts with the incentive to hedge, causing the producer hedging component of the risk premium to increase (decrease) with income elasticity, for a normal (inferior) good. Production costs that depend on output raise the premium. We argue that output and demand shocks will typically be positively correlated, raising the premium. High supply elasticity reduces the absolute heding premium by reducing the variability of spot price and revenue.
Critics claim that theories of secured debt fail to explain the widespread use of collateral because they incorrectly predict when a loan will be secured. This paper provides the first rigorous statistical test of the transaction cost models of secured debt. Data from two samples of over 1,000 small business loans generally support the common set of predictions of these theories. The incidence of secured debt is positively related to probability of default, loan size, loan maturity, and marketability of assets. Changes in the legal and economic environment also alter firms' decisions regarding the pledging of collateral.
There is a comparison between the ritual way major life stages are negotiated in small-scale societies and our own poverty of effective rites of passage – Western culture is lacking in effective mechanisms for socialization.
Colin Turnbull 1984
Entering into a trade, marrying, growing old and aging, are also celebrated … after the phrase of Van Gennep, they have come to be called rites of passage, rites of transition.
Everett Cherrington Hughes, 1958
In essence, a work career can be conceptualized as a series of transitions from one role to another within an organizational or occupational social system (Barley, Chapter 3; Hall, 1976). The fact that work careers are comprised of sequences of roles is often obscured by alternative conceptualizations that emphasize career's more unitary connotations as a calling, vocation, or professional pursuit. Yet, if we take seriously the idea that a career consists of a sequence of roles, the question of just how the transitions between these roles are accomplished takes on an importance in its own right. Indeed, the study of the social and psychological mechanisms that enable individuals to transit across roles proves to be quite a critical area of investigation.
Hence, this chapter suggests that the role transitions encompassed by work careers, these “turning points” (Hughes, 1958:11), are central to careers and that they pose crucial problems to anyone seriously interested in understanding how careers work. An anthropological model known as rites of passage [Van Gennep, 1960, (1909)] is used to show that major transitions are managed ceremonially across three universal stages of separation, transition, and integration.
We want to have certainties and no doubts – results and no experiments – without even seeing that certainties can arise only through doubt and results only through experiment.
C. G. Jung, 1978
To follow up a problem in the company library, to experiment with work methods, or to study new materials or markets should be working rights, not only for researchers and executives, but for all employees.
B. L. T. Hedberg, 1984
Doubt and experimentation have become institutionalized in self-designing organizations, which are social forms built to deal with rapid environmental change. These self-designing forms have distinctive properties that pose unique issues for people who build and study careers.
If we define careers as “the individually perceived sequence of attitudes and behaviors associated with work-related experiences and activities over the span of a person's life” (Hall, 1976, p. 4), then we know little about the experiences, activities, and perceptions that are created when a career unfolds in a flexible system where change is continuous, experiments are routine, and growth replaces advancement as a measure of success. We know little about what it means to have a career in a system that does not use traditional external markers to signify progress, advancement, and movement in some consistent direction. This chapter suggests a starting point from which researchers can explore career issues in selfdesigning organizations.
We first describe six characteristics of self-designing systems and then contrast these systems with others in the organizational literature that appear to be similar. Using these descriptions as background, we then propose that career paths in self-designing systems originate from subjective rather than objective sources.
In a precursor to this volume (Arthur and Lawrence, 1984), the editors set out the needs for a multi-disciplinary approach to the study of careers that takes into account the environments in which careers unfold. Reaching such a goal, they observed, was limited by the fact that the study of careers “has received by far the most attention from the psychological perspective” (p. 4). In this volume, therefore, they have called on experts with less individually oriented perspectives to augment the story and thus provide a more extended view but also a less focused one. We already know from previous attempts to pull together the thinking on careers how complex such an undertaking is (Law, 1981; Sonnenfeld and Kotter, 1982; Van Maanen and Schein, 1977); and we know the intricately contextual and descriptive requirements of a meaningful career theory (Collin and Young, 1986; Schein, 1986; Van Maanen, 1977). These difficulties are even more apparent in the present volume.
So how, in a concluding chapter to this handbook, might one say something useful about careers and career theory? The chapters are so varied that one is tempted to accept Thomas's (Chapter 17) passing suggestion to forget about the concept of career altogether.
As social scientists we often run into difficulties because of the language we use. Try as we might, we have generally failed to create a lexicon of technical usage that is separate and distinct from the discourse of everyday life and thereby achieves the scientific virtues of precision, neutrality and malleability. The language of mathematics has provided a convenient but overused refuge, but still the social scientist must come out from under its cover to speak to the world about what he or she knows.
Here's where the problems start, and often the cause is that the implicit metaphors lurking in the terms we use confound our attempts to operationalize, define and fix their limits. Concepts are still inclined to spread beyond the boundaries we set for them; other meanings creep back in, like stowaways re-embarking after a craft has been inspected and cleared for departure. The notion of “career” is a case in point. The metaphor of journey can be detected at its center and is traceable to its complex etymological origins. The use of the term career to mean “course” is a fairly recent linguistic re-adoption from several Romance languages, where its semantic root denoted a “carriage way” or road (Onions, 1966).
Thinking of careers as journeys is clearly both apt and attractive for many people. Journeys have beginnings and ends, with purposes connecting them – a reassuring image. But the dangers of this epic metaphor are twofold: It encourages reification of the integrity of careers and it inclines one to view the journey as an attribute of the traveler rather than the compulsive shape of the terrain.
Back in the early 1970s, there was no established “field” of careers in organization and management studies. Tim Hall recalls that it was fun when he and a small band of organizational scholars, who viewed themselves as being on the cutting edge of theory, who liked to work on somewhat offbeat topics, and who would rather challenge than defend the academic “establishment,” embarked on their career studies. Anyone interested in examining the long-term issues associated with working in organizations was really on his or her own to find useful theory and research in a number of relevant social science disciplines, such as psychology, sociology, political science, economics, and anthropology. To do good research, you had to scan and learn from a number of disciplines and you had to develop your own theoretical ideas. In organizational terms, the scholarly environment in which we operated was complex, dynamic, and nonroutine.
The down side of all this was that sometimes you wondered who your audience was. Many questions gnawed away at you: Is anyone out there interested in this “career stuff?” What journals would possibly publish papers on careers? Who is in my reference group? Everyone I trade papers with is in a psychology, sociology, or education department. Yet I work in a business school. Am I in the right place? But you had a sense that it was all new. And you knew it was important as you saw more and more evidence of the long-term influence of careers on individuals, the institutions in which they worked, and the societies to which they belonged. There was a sense of being on the “ground floor” of something important.
Researchers interested in career development must begin by addressing the fact that occupational and organizational choice, adjustment, and success are products of two distinct but interactive forces: the individual and the environment in which that individual functions. That they are distinct is evident in the vast amount of research amassed relevant to the dimensions separately – individual characteristics on the one hand (the domain of traditional psychology) and the organization on the other hand [the domain of the organizational behaviorist, individual–organization (I/O) psychologist, and human resource specialist]. That they are interactive is the focus of this book.
This chapter will review theory and research based on the assumption that optimal career outcomes for both the individual and the organization can best be facilitated through a congruence between the individual's characteristics and the demands, requirements, and rewards of the organizational environment. This body of theory and research stems historically from two areas of psychology – first, the study and measurement of individual differences and, second, Parsons's (1909) “matching men and jobs” approach to career choice and guidance. The joining of the concepts and technology of individual differences with matching models of career choice led to “trait-factor” approaches to career development and adjustment. These approaches range from a general emphasis on the use of tests of individual differences variables in selection, placement, and counseling to theories that focus specifically on ways in which the correspondence between individuals and environments leads to outcomes such as successful job performance and job satisfaction.
In large organizations, people often fail to see the institutional structures that affect their lives. Students are often unaware of the school structures that affect their careers in schools and in later life (Rosenbaum 1976, 1980a, 1980b), and employees and managers often do not see organizational practices that constrain their careers (Kanter 1977; Rosenbaum 1984). Why do these misperceptions occur? Their occurrence in diverse organizations seems to imply systematic causation.
This chapter investigates whether our conception of organization careers is defective and whether it creates these misperceptions. This chapter indicates the limitations of the dominant model of careers in American society, proposes an alternative, and presents empirical tests of the two. After examining how these two models are related to employees' misperceptions, this chapter considers the implications of mistaken models and misperceptions for organization policies and practices.
Employees' careers in organizations have been conceived in at least two ways. The individualistic model, the dominant model of careers in the United States, contends that individuals are the main agents determining their job progress. The structural model views careers as “a structural aspect of an organization,” and it contends that individuals' careers in organizations are structured by internal labor market structures, vacancy chains, and organization policies (Slocum 1974: 6). While each model has strengths, each also has serious limitations.
Formal structural models, such as internal labor market and Markovian models, are limited in not being easily related to individuals' attributes or their actual career paths, and these models sometimes require restrictive assumptions (Doeringer and Piore 1971; Milkovich et al. 1976; Nystrom 1981; Vroom and MacCrimmon 1968; White 1970).