Liquidity and asset pricing: A comparison between three-factor and three-moment capital asset pricing models

Liquidity is an important attribute of an asset that investors would like to take into consideration when making investment decisions. However, the previous empirical evidence whether liquidity is a determinant of stock return is not unanimous. This dissertation provides a very comprehensive study about the role of liquidity in asset pricing using the Fama-French (1993) three-factor and Kraus and Litzenberger (1976) three-moment CAPM as models for risk adjustment. The relationship between liquidity and well-known determinants of stock returns such as size and book-to-market are also investigated. This study examines the liquidity and asset pricing issues for both intertemporal as well as cross-sectional data. ^ The results indicate an existence of a liquidity premium, i.e., less liquid stocks would demand higher rate of return than more liquid stocks. More specifically, a drop of 1 percent in liquidity is associated with a higher rate of return of about 2 to 3 basis points per month. Further investigation reveals that neither the Fama-French three-factor model nor the three-moment CAPM captures the liquidity premium. Finally, the results show that well-known determinants of stock return such as size and book-to-market do not serve as proxy for liquidity. ^ Overall, this dissertation shows that a liquidity premium exists in the stock market and that liquidity is a distinct effect, and is not influenced by the presence of non-market factors, market factors and other stock characteristics.^

Contemporary aspects of dividends: Before and during the financial crisis

The number of dividend paying firms has been on the decline since the popularity of stock repurchases in the 1980s, and the recent financial crisis has brought about a wave of dividend reductions and omissions. This dissertation examined the U.S. firms and American Depository Receipts that are listed on the U.S. equity exchanges according to their dividend paying history in the previous twelve quarters. While accounting for the state of the economy, the firm’s size, profitability, earned equity, and growth opportunities, it determines whether or not the firm will pay a dividend in the next quarter. It also examined the likelihood of a dividend change. Further, returns of firms were examined according to their dividend paying history and the state of the economy using the Fama-French three-factor model. Using forward, backward, and step-wise selection logistic regressions, the results show that firms with a history of regular and uninterrupted dividend payments are likely to continue to pay dividends, while firms that do not have a history of regular dividend payments are not likely to begin to pay dividends or continue to do so. The results of a set of generalized polytomous logistic regressions imply that dividend paying firms are more likely to reduce dividend payments during economic expansions, as opposed to recessions. Also the analysis of returns using the Fama-French three factor model reveals that dividend paying firms are earning significant abnormal positive returns. As a special case, a similar analysis of dividend payment and dividend change was applied to American Depository Receipts that trade on the NYSE, NASDAQ, and AMEX exchanges and are issued by the Bank of New York Mellon. Returns of American Depository Receipts were examined using the Fama-French two-factor model for international firms. The results of the generalized polytomous logistic regression analyses indicate that dividend paying status and economic conditions are also important for dividend level change of American Depository Receipts, and Fama-French two-factor regressions alone do not adequately explain returns for these securities.

A Critical Review of the Implied Cost of Equity: A New Way to Estimate the Expected Return

For the last three decades, the Capital Asset Pricing Model (CAPM) has been a dominant model to calculate expected return. In early 1990% Fama and French (1992) developed the Fama and French Three Factor model by adding two additional factors to the CAPM. However even with these present models, it has been found that estimates of the expected return are not accurate (Elton, 1999; Fama &French, 1997). Botosan (1997) introduced a new approach to estimate the expected return. This approach employs an equity valuation model to calculate the internal rate of return (IRR) which is often called, 'implied cost of equity capital" as a proxy of the expected return. This approach has been gaining in popularity among researchers. A critical review of the literature will help inform hospitality researchers regarding the issue and encourage them to implement the new approach into their own studies.

Workplace Discrimination Climate and Team Effectiveness: The Mediating Role of Collective Value Congruence, Team Cohesion, and Collective Affective Commitment

This study explored the relationship between workplace discrimination climate on team effectiveness through three serial mediators: collective value congruence, team cohesion, and collective affective commitment. As more individuals of marginalized groups diversify the workforce and as more organizations move toward team-based work (Cannon-Bowers & Bowers, 2010), it is imperative to understand how employees perceive their organization’s discriminatory climate as well as its effect on teams. An archival dataset consisting of 6,824 respondents was used, resulting in 332 work teams with five or more members in each. The data were collected as part of an employee climate survey administered in 2011 throughout the United States’ Department of Defense. The results revealed that the indirect effect through M1 (collective value congruence) and M2 (team cohesion) best accounted for the relationship between workplace discrimination climate (X) and team effectiveness (Y). Meaning, on average, teams that reported a greater climate for workplace discrimination also reported less collective value congruence with their organization (a1 = -1.07, p < .001). With less shared perceptions of value congruence, there is less team cohesion (d21 = .45, p < .001), and with less team cohesion there is less team effectiveness (b2 = .57, p < .001). In addition, because of theoretical overlap, this study makes the case for studying workplace discrimination under the broader construct of workplace aggression within the I/O psychology literature. Exploratory and confirmatory factor analysis found that workplace discrimination based on five types of marginalized groups: race/ethnicity, gender, religion, age, and disability was best explained by a three-factor model, including: career obstruction based on age and disability bias (CO), verbal aggression based on multiple types of bias (VA), and differential treatment based on racial/ethnic bias (DT). There was initial support to claim that workplace discrimination items covary not only based on type, but also based on form (i.e., nonviolent aggressive behaviors). Therefore, the form of workplace discrimination is just as important as the type when studying climate perceptions and team-level effects. Theoretical and organizational implications are also discussed.

Time orientation in organizations: Polychronicity and multitasking

This dissertation consists of four studies examining two constructs related to time orientation in organizations: polychronicity and multitasking. The first study investigates the internal structure of polychronicity and its external correlates in a sample of undergraduate students (N = 732). Results converge to support a one-factor model and finds measures of polychronicity to be significantly related to extraversion, agreeableness, and openness to experience. The second study quantitatively reviews the existing research examining the relationship between polychronicity and the Big Five factors of personality. Results reveal a significant relationship between extraversion and openness to experience across studies. Studies three and four examine the usefulness of multitasking ability in the prediction of work related criteria using two organizational samples (N = 175 and 119, respectively). Multitasking ability demonstrated predictive validity, however the incremental validity over that of traditional predictors (i.e., cognitive ability and the Big Five factors of personality) was minimal. The relationships between multitasking ability, polychronicity, and other individual differences were also investigated. Polychronicity and multitasking ability proved to be distinct constructs demonstrating differential relationships with cognitive ability, personality, and performance. Results provided support for multitasking performance as a mediator in the relationship between multitasking ability and overall job performance. Additionally, polychronicity moderated the relationship between multitasking ability and both ratings of multitasking performance and overall job performance in Study four. Clarification of the factor structure of polychronicity and its correlates will facilitate future research in the time orientation literature. Results from two organizational samples point to work related measures of multitasking ability as a worthwhile tool for predicting the performance of job applicants.

An examination of psychological meaningfulness, safety, and availability as the underlying mechanisms linking job features and personal characteristics to work engagement

The present study tested a nomological net of work engagement that was derived from its extant research. Two of the main work engagement models that have been presented and empirically tested in the literature, the JD-R model and Kahn's model, were integrated to test the effects that job features and personal characteristics can have on work engagement through the psychological conditions of meaningfulness, safety, and availability. In this study, safety refers to psychological perceptions of safety and not workplace safety behaviors. The job features that were tested in this model included person-job fit, autonomy, co-worker relations, supervisor support, procedural justice, and interactional justice, while the personal characteristics consisted of self-consciousness, self-efficacy, extraversion, and neuroticism. Thirty-four hypotheses and a conceptual model were tested in order to establish the viability of this nomological net of work engagement in which it was expected that meaningfulness would mediate the relationships between job features and work engagement, safety would mediate the relationships that job features and personal characteristics have with work engagement, and availability (physical, emotional, and cognitive resources) would mediate the relationships that personal characteristics have with work engagement. Furthermore, analyses were run in order to determine the factor structure of work engagement, assess whether or not it exhibits differential validity from organizational commitment and job satisfaction, and confirm that it is positively related to the outcome variable of organizational citizenship behavior (OCB). The final sample consisted of 500 workers from an online labor market who responded to a questionnaire composed of measures of all constructs included in this study. Findings show that work engagement is best represented as a three-factor construct, composed of vigor, dedication and absorption. Furthermore, support was found for the distinction of work engagement from the related constructs of organizational commitment and job satisfaction. With regard to the proposed model, meaningfulness proved to be the strongest predictor of work engagement. Results show that it partially mediates the relationships that all job features have with work engagement. Safety proved to be a partial mediator of the relationships that autonomy, co-worker relations, supervisor support, procedural justice, interactional justice, and self-efficacy have with work engagement, and fully mediate the relationship between neuroticism and work engagement. Findings also show that availability partially mediates the positive relationships that extraversion and self-efficacy have with work engagement, and fully mediates the negative relationship that neuroticism has with work engagement. Finally, a positive relationship was found between work engagement and OCB. Research and organizational implications are discussed.

Ethnic and American identity development: A developmental systems approach

Given the role ethnic identity has as a protective factor against the effects of marginalization and discrimination (Umaña-Taylor, 2011), research longitudinally examining ethnic identity has become of increased importance. However, successful identity development must incorporate elements from both one's ethnic group and from the United States (Berry, 1980). Despite this, relatively few studies have jointly evaluated ethnic and American identity (Schwartz et al., 2012). The current dissertation, guided by three objectives, sought to address this and several other gaps in the literature. First, psychometric properties of the Multigroup Ethnic Identity Measure (MEIM) and the American Identity Measure (AIM) were evaluated. Secondly, the dissertation examined growth trends in recently immigrated Hispanic adolescents' and their caregivers' ethnic and American identity. Lastly, the relationship between adolescents' and caregivers' ethnic and American identity was evaluated. The study used an archival sample consisting of 301 recently immigrated Hispanic families collected from Miami (N = 151) and Los Angeles (N = 150). Consistent with previous research, results in Study 1 indicated a two-factor model reliably provided better fit than a one-factor model and established longitudinal invariance for the MEIM and the AIM. Results from Study 2 found significant growth in adolescents' American identity. While some differences were found across site and nationality, evidence suggested recently immigrated Hispanic adolescents were becoming more bicultural. Counterintuitively, results found a significant decline in caregivers' ethnic identity which future studies should further examine. Finally, results from Study 3, found several significant positive relationships between adolescents' and their caregivers' ethnic and American identity. Findings provided preliminary evidence for the importance of examining identity development within a systemic lens. Despite several limitations, these three studies represented a step forward in addressing the current gaps in the cultural identity literature. Implications for future investigation are discussed.

Cultural intelligence: Extending the nomological network

This dissertation consists of three independent studies, which study the nomological network of cultural intelligence (CI)—a relatively new construct within the fields of cross-cultural psychology and organizational psychology. Since the introduction of this construct, CI now has a generally accepted model comprised of four codependent subfactors. In addition, the focus of preliminary research within the field is on understanding the new construct’s correlates and outcomes. Thus, the goals for this dissertation were (a) to provide an additional evaluation of the factor structure of CI and (b) to examine further the correlates and outcomes that should theoretically be included in its nomological network. Specifically the model tests involved a one-factor, three-factor, and four-factor structure. The examined correlates of CI included the Big Five personality traits, core self-evaluation, social self-efficacy, self-monitoring, emotional intelligence, and cross-cultural experience. The examined outcomes also included overall performance, contextual performance, and cultural adaption in relation to CI. Thus, this dissertation has a series of 20 proposed and statistically evaluated hypotheses. The first study in this dissertation contained the summary of the extant CI literature via meta-analytic techniques. The outcomes of focus were significantly relevant to CI, while the CI correlates had more inconclusive results. The second and third studies contained original data collected from a sample of students and adult workers, respectively. In general, the results between these two studies were parallel. The four-factor structure of CI emerged as the best fit to the data, and several correlates and outcomes indicated significant relation to CI. In addition, the tested incremental validity of CI showed significant results emerging in both studies. Lastly, several exploratory analyses indicated the role of CI as a mediator between relevant antecedent and the outcome of cultural adaption, while the data supported the mediator role of CI. The final chapter includes a thorough discussion of practical implications as well as limitation to the research design.^

Cultural Intelligence: Extending the Nomological Network

This dissertation consists of three independent studies, which study the nomological network of cultural intelligence (CI)—a relatively new construct within the fields of cross-cultural psychology and organizational psychology. Since the introduction of this construct, CI now has a generally accepted model comprised of four codependent subfactors. In addition, the focus of preliminary research within the field is on understanding the new construct’s correlates and outcomes. Thus, the goals for this dissertation were (a) to provide an additional evaluation of the factor structure of CI and (b) to examine further the correlates and outcomes that should theoretically be included in its nomological network. Specifically the model tests involved a one-factor, three-factor, and four-factor structure. The examined correlates of CI included the Big Five personality traits, core self-evaluation, social self-efficacy, self-monitoring, emotional intelligence, and cross-cultural experience. The examined outcomes also included overall performance, contextual performance, and cultural adaption in relation to CI. Thus, this dissertation has a series of 20 proposed and statistically evaluated hypotheses. The first study in this dissertation contained the summary of the extant CI literature via meta-analytic techniques. The outcomes of focus were significantly relevant to CI, while the CI correlates had more inconclusive results. The second and third studies contained original data collected from a sample of students and adult workers, respectively. In general, the results between these two studies were parallel. The four-factor structure of CI emerged as the best fit to the data, and several correlates and outcomes indicated significant relation to CI. In addition, the tested incremental validity of CI showed significant results emerging in both studies. Lastly, several exploratory analyses indicated the role of CI as a mediator between relevant antecedent and the outcome of cultural adaption, while the data supported the mediator role of CI. The final chapter includes a thorough discussion of practical implications as well as limitation to the research design.

Time Orientation in Organizations: Polychronicity and Multitasking

This dissertation consists of four studies examining two constructs related to time orientation in organizations: polychronicity and multitasking. The first study investigates the internal structure of polychronicity and its external correlates in a sample of undergraduate students (N = 732). Results converge to support a one-factor model and finds measures of polychronicity to be significantly related to extraversion, agreeableness, and openness to experience. The second study quantitatively reviews the existing research examining the relationship between polychronicity and the Big Five factors of personality. Results reveal a significant relationship between extraversion and openness to experience across studies. Studies three and four examine the usefulness of multitasking ability in the prediction of work related criteria using two organizational samples (N = 175 and 119, respectively). Multitasking ability demonstrated predictive validity, however the incremental validity over that of traditional predictors (i.e., cognitive ability and the Big Five factors of personality) was minimal. The relationships between multitasking ability, polychronicity, and other individual differences were also investigated. Polychronicity and multitasking ability proved to be distinct constructs demonstrating differential relationships with cognitive ability, personality, and performance. Results provided support for multitasking performance as a mediator in the relationship between multitasking ability and overall job performance. Additionally, polychronicity moderated the relationship between multitasking ability and both ratings of multitasking performance and overall job performance in Study four. Clarification of the factor structure of polychronicity and its correlates will facilitate future research in the time orientation literature. Results from two organizational samples point to work related measures of multitasking ability as a worthwhile tool for predicting the performance of job applicants.

An Examination of Psychological Meaningfulness, Safety, and Availability as the Underlying Mechanisms linking Job Features and Personal Characteristics to Work Engagement

The present study tested a nomological net of work engagement that was derived from its extant research. Two of the main work engagement models that have been presented and empirically tested in the literature, the JD-R model and Kahn’s model, were integrated to test the effects that job features and personal characteristics can have on work engagement through the psychological conditions of meaningfulness, safety, and availability. In this study, safety refers to psychological perceptions of safety and not workplace safety behaviors. The job features that were tested in this model included person-job fit, autonomy, co-worker relations, supervisor support, procedural justice, and interactional justice, while the personal characteristics consisted of self-consciousness, self-efficacy, extraversion, and neuroticism. Thirty-four hypotheses and a conceptual model were tested in order to establish the viability of this nomological net of work engagement in which it was expected that meaningfulness would mediate the relationships between job features and work engagement, safety would mediate the relationships that job features and personal characteristics have with work engagement, and availability (physical, emotional, and cognitive resources) would mediate the relationships that personal characteristics have with work engagement. Furthermore, analyses were run in order to determine the factor structure of work engagement, assess whether or not it exhibits differential validity from organizational commitment and job satisfaction, and confirm that it is positively related to the outcome variable of organizational citizenship behavior (OCB). The final sample consisted of 500 workers from an online labor market who responded to a questionnaire composed of measures of all constructs included in this study. Findings show that work engagement is best represented as a three-factor construct, composed of vigor, dedication and absorption. Furthermore, support was found for the distinction of work engagement from the related constructs of organizational commitment and job satisfaction. With regard to the proposed model, meaningfulness proved to be the strongest predictor of work engagement. Results show that it partially mediates the relationships that all job features have with work engagement. Safety proved to be a partial mediator of the relationships that autonomy, co-worker relations, supervisor support, procedural justice, interactional justice, and self-efficacy have with work engagement, and fully mediate the relationship between neuroticism and work engagement. Findings also show that availability partially mediates the positive relationships that extraversion and self-efficacy have with work engagement, and fully mediates the negative relationship that neuroticism has with work engagement. Finally, a positive relationship was found between work engagement and OCB. Research and organizational implications are discussed.

Selecting a college or university: A study of students and their parents

This case study investigated the decision-making process of high-achieving high school students and their parents in selecting a college or university. The conceptual framework that guided this study included theoretical and empirical research framed around a three-phase model of college choice. Parental influence dominated the first phase of this model. The search phase, which was the second and the most crucial one, included financial considerations related to this decision, admissions considerations during the search phase, the psychology of decision making, and advertising strategies for teenagers. Once students completed the search phase they developed expectations of the institutions they considered prior to making the final decision. The study employed qualitative methods using individual interviews with students and their parents. ^ Six high-achieving high school seniors from a South Florida high school and their parents were selected to participate in this study. Of these students, four were female and two were male. Participants were individually interviewed on two separate occasions over a three-month period. Students and their parents were interviewed separately, with one exception, during the first set of interviews and together during the second. The data obtained from these interviews were transcribed and these transcripts were coded, categorized, analyzed, and sorted into major themes and submitted to interpretive analysis. ^ In-depth descriptions of participants' experiences during the decision-making process are described in the study. Financial factors—which included the cost of college, the socio-economic status of the family, and scholarship possibilities—drove the selection process for these students and their parents, most of whom reported their family incomes between the lower-middle to upper-middle class range. All of these students took advantage of the Bright Futures Scholarship Program, other scholarship opportunities, and the lower tuition costs of in-state public institutions. The effectiveness of recruitment techniques, such as brochures, campus visits, the development of college Web sites, and the overall impact of Internet resources, was assessed by the researcher. ^ As these students had progressed through the search phase, they developed perceptions of potential institutions as they were assisted by those around them. The value of familiarity with institutions and the use of heuristics were quite evident in the final analysis of this study, based on what the students communicated about how their knowledge of and comfort in these institutions affected their decisions. Parental influence played an important role in the selection process for the students in this study as the parents clearly directed the process, by the constant advice they gave their children and by the financial limitations they communicated to them. ^

Individual differences influencing context effects in responding to items assessing conscientiousness in a personality test

Context effects in a personality scale were examined by determining if conscientiousness scale (C) scores were significantly different when administered alone vs. part of a Five Factor Model inventory (Big5). The effectiveness of individual difference variables (IDVs) as predictors of the context effect was also examined. The experiment compared subjects who completed the full Big5 once and the C alone once (Big5/C or C/Big5) to subjects who complete either the Big5 inventory twice (Big5/Big5) or the C twice (C/C). No significant differences were found. When Big5/C and C/Big5 groups were combined, IDVs were tested, and only the field dependence variable (R2 = .06) was found to significantly predict the context effect. However, the small R2 minimized concerns of context effects in Big5 inventories. ^

Anxiety sensitivity's facets in relation to anxious and depressive symptoms in youth

Anxiety sensitivity is a multifaceted cognitive risk factor currently being examined in relation to anxiety and depression. The paucity of research on the relative contribution of the facets of anxiety sensitivity to anxiety and depression, coupled with variations in existing findings, indicate that the relations remain inadequately understood. In the present study, the relations between the facets of anxiety sensitivity, anxiety, and depression were examined in 730 Hispanic-Latino and European-American youth referred to an anxiety specialty clinic. Youth completed the Childhood Anxiety Sensitivity Index, the Revised Children’s Manifest Anxiety Scale, and the Children’s Depression Inventory. The factor structure of the Childhood Anxiety Sensitivity Index was examined using ordered-categorical confirmatory factor analytic techniques. Goodness-of-fit criteria indicated that a two-factor model fit the data best. The identified facets of anxiety sensitivity included Physical/Mental Concerns and Social Concerns. Support was also found for cross-ethnic equivalence of the two-factor model across Hispanic-Latino and European-American youth. Structural equation modeling was used to examine models involving anxiety sensitivity, anxiety, and depression. Results indicated that an overall measure of anxiety sensitivity was positively associated with both anxiety and depression, while the facets of anxiety sensitivity showed differential relations to anxiety and depression symptoms. Both facets of anxiety sensitivity were related to overall anxiety and its symptom dimensions, with the exception being that Social Concerns was not related to physiological anxiety symptoms. Physical/Mental Concerns were strongly associated with overall depression and with all depression symptom dimensions. Social Concerns was not significantly associated with depression or its symptom dimensions. These findings highlight that anxiety sensitivity’s relations to youth psychiatric symptoms are complex. Results suggest that focusing on anxiety sensitivity’s facets is important to fully understand its role in psychopathology. Clinicians may want to target all facets of anxiety sensitivity when treating anxious youth. However, in the context of depression, it might be sufficient for clinicians to target Physical/Mental Incapacitation Concerns.

Evaluation of the internal structural validity of the Diagnostic and Statistical Manual of Mental Disorders (Fourth Edition) anxiety disorders in children and adolescents

The purpose of the present dissertation was to evaluate the internal validity of symptoms of four common anxiety disorders included in the Diagnostic and Statistical Manual of Mental Disorders fourth edition (text revision) (DSM-IV-TR; American Psychiatric Association, 2000), namely, separation anxiety disorder (SAD), social phobia (SOP), specific phobia (SP), and generalized anxiety disorder (GAD), in a sample of 625 youth (ages 6 to 17 years) referred to an anxiety disorders clinic and 479 parents. Confirmatory factor analyses (CFAs) were conducted on the dichotomous items of the SAD, SOP, SP, and GAD sections of the youth and parent versions of the Anxiety Disorders Interview Schedule for DSM-IV (ADIS-IV: C/P; Silverman & Albano, 1996) to test and compare a number of factor models including a factor model based on the DSM. Contrary to predictions, findings from CFAs showed that a correlated model with five factors of SAD, SOP, SP, GAD worry, and GAD somatic distress, provided the best fit of the youth data as well as the parent data. Multiple group CFAs supported the metric invariance of the correlated five factor model across boys and girls. Thus, the present study’s finding supports the internal validity of DSM-IV SAD, SOP, and SP, but raises doubt regarding the internal validity of GAD.^