School of Business Discussion Papers

International diversification of investment portfolios: U.S. & Japanese perspectives

Cheol S. Eun et al. — Tue, 04 Nov 2008 20:50:11 PST

In this paper, we analyze the gains from international diversification of investment portfolios from the Japanese as well as the U.S. perspectives. The major findings of the paper include: First, the 'potential' gains from international, as opposed to purely domestic, diversification are much greater for U.S. investors than for Japanese investors. For U.S. investors, the gains accrue not so much in terms of lower risk as in terms of higher return, and the opposite holds for Japanese investors. Second, using various 'ex ante' international investment strategies designed to control parameter uncertainty, U.S. investors can realize substantial gains from international diversification in out-of-sample periods. Japanese investors, however, can gain little. Third, hedging exchange risk generally allows the U.S., but not Japanese, investors to benefit more from international diversification. For U.S. investors, the international bond diversification with exchange risk hedging offers a superior risk-return trade-off than the international stock diversification, with or without hedging.

Firm performance and macro-economic variables

Ray McNamara et al. — Tue, 16 Sep 2008 16:36:08 PDT

The purpose of this research is to predict the fundamental performance of a firm as measured by the rate of return on assets (ROA). The paper presents a model relating ROA to prior year ROA and to the level of activity in the economy. A principal components' analysis of thirty-three economic indicators was used. The variables used were drawn from the main theories/perspectives on macro economic behaviour. These were the Leading and Coincident Indicators perspective, Supply or Cost-Push Theories, Monetary Economics, and Savings-Investment theories. Three factors emerged and were labelled as an Output Factor, Interest Factor, and a Corporate Activity Factor. A four variable model incorporating a lead-lag relationship of ROA, percentage change in Gross Domestic Product (the output factor), prior year interest rate on Treasury Notes (the interest rate factor), corporate profits (the corporate activity factor) was significant. R2 values in excess of .65 indicates considerable aggregate explanatory power. We conclude that firm performance is a function of the prior year ROA, and macro-economic variables. The lead lag model suggests that earnings forecasts may be made based on the model presented in this study.

Affective events - emotions matrix: a classification of work events and associated emotions

John Basch et al. — Mon, 07 Jan 2008 20:47:12 PST

Extract:

Affective Events Theory (AET) (Weiss and Cropanzano, 1996) proposes that organizational events are proximal causes of affective reactions. "Things happen to people in work settings and people often react emotionally to these events. These affective experiences have direct influences on behaviors and attitudes". Recent research by Fisher (1998) has supported the hypothesized relationship between aggregated moment to moment emotions at work and outcomes such as job satisfaction, organizational commitment, and intention to quit. AET also proposes that stable work environment features such as job scope predispose the occurrence of certain types of affect-producing events. For instance, an enriched job might more often lead to discrete events involving feedback, task accomplishment, and optimal challenge, which may then lead to positive emotions such as pride, happiness, and enthusiasm.

Mood and emotions while working - missing pieces of job satisfaction

Cynthia D. Fisher — Mon, 07 Jan 2008 20:32:57 PST

Job satisfaction is often described as an affective response to one's job, but usually measured largely as a cognitive evaluation ofjob features. This paper explores several hypothesized relationships between real time affect while working (50 observations ofmood and emotions over two weeks) and measures ofjob satisfaction. As expected, affect measures predict satisfaction but are not identical to satisfaction. Affect is more strongly related to a faces measure ofsatisfaction than to more verbal measures of satisfaction. Positive and negative emotions both make unique contributions to satisfaction, and contribute to the prediction of overall satisfaction above and beyond facet satisfactions. Frequency ofnet positive emotion is a stronger predictor of satisfaction than is intensity ofpositive emotion. Implications for further research and improving job satisfaction are discussed.

Emotions at work: what do people feel and how should we measure it?

Cynthia D. Fisher — Mon, 07 Jan 2008 18:04:33 PST

Affect at work is of increasing interest to organisational researchers. Prior research on felt affect at work has focused almost exclusively mood rather than emotion. As yet we have little knowledge about which emotions are felt or how frequently they are felt in the workplace, or of what their causes or consequences might be. There has not even been an instrument available for measuring emotion at work. This paper reports on a preliminary study designed as a lead-in to further research on emotion at work. One hundred sixteen people reported on the frequency with which they had experienced 135 different emotions while at work. Differences in the emotional experiences of female and male employees, part time and full time workers, and employees in five different job categories are explored. The data on emotion frequency, together with literature on typologies of emotions, are then used to construct a short self report instrument for assessing real-time emotional experiences at work. This instrument is presently being used in experience sampling research on emotion by the author.

Personality and employee selection: credibility regained

Cynthia D. Fisher et al. — Mon, 07 Jan 2008 18:01:15 PST

Conceptual and methodological advances on both the predictor and criterion side and several influential meta-analytic reviews have contributed to a resurgence of credibility for personality as a predictor in employee selection. This paper reviews the prior problems with personality as a predictor, summarises research findings on the effectiveness of personality in selection, and lays out the circumstances under which personality measures are most likely to be useful. The most consistent findings are that personality measures such as integrity and conscientiousness predict contextual and motivational aspects of performance reasonably well. Suggestions for future research on personality in selection are made, and human resource management implications of personality-based selection are discussed.

On the concept of new venture

Dean A. Shepherd et al. — Mon, 07 Jan 2008 17:53:20 PST

The research defining question of whether a new venture is a theoretically distinct corporate form, or a special case to which conventional theory should be adapted, has not been adequately addressed. To this end a taxonomy of new ventures is offered to provide for improved clarity of research issues.

Modeling the term structure

A. R. Pagan et al. — Mon, 07 Jan 2008 17:45:14 PST

Extract:

Models of the term structure of interest rates have assumed increasing importance in recent years in line with the need to value interest rate derivative assets. Economists and econometricians have long held an interest in the subject, as an understanding of the determinants of the the term structure has always been viewed as crucial to an understanding of the impact of monetary policy and its transmission mechanism.

A stress coping-based approach to organization, work group and individual effectiveness after downsizing

James B. Shaw et al. — Mon, 07 Jan 2008 16:55:22 PST

The need for a unified, cross-level (organization, work group, individual employee) model of organizational downsizing has been suggested by several authors (e.g., Kozlowski et al., 1993). The definition of "downizing," in terms applicable only at the organization level, prevents researchers from developing a more cohesive view of the impact of downsizing for the organization, work groups and individuals. In this paper, we define downsizing more broadly as a constellation of stressor events centering around pressures toward work force reductions which place demands upon the organization, work groups, and individual employees, and require a process of coping and adaptation. This stress-based view of downsizing allows researchers to develop concepts to guide research on downsizing that are more broadly applicable across levels of analysis. To show the advantages of this stress-based view of downsizing, this paper uses concepts from the stress coping literature to identify a set of critical dependent variables that should be studied in downsizing research. We argue that these variables are aplicable for organization, group, and individual employee-level research.

Teaching HRM and managerial skills with the 'living case' exercise: an evaluation

Cynthia D. Fisher et al. — Mon, 07 Jan 2008 16:31:27 PST

Extract:

The purpose of this paper is to describe and evaluate an innovative approach to teaching human resource management. The approach involves students working in small groups on a semester-long project in the form of an on-going case study (here after called the 'living case'). After setting up a simulated organisation complete with identification of strategies, structure and culture, students are required to make and defend a series of HR decisions in which they apply theory and classroom learning about HRM to their "real" organisation. The approach emphasises the context of HRM decisions and helps to develop a range of both HR specific and more general management competencies. The living case develops managerial skills which have recently been identified as critical to future success in Australian organisations.