Women in high-level leadership positions, such as corporate CEOs, when studied, seem to exhibit the same sorts of leadership behaviors as their male counterparts. That is probably because the demands of the leadership role require certain actions and behaviors to succeed. In addition, because of the hurdles that women must leap to get to the top (leadership and gender expert, Alice Eagly, refers to this as the "labyrinth" that women, but not men, need to go through), it could be the case that only women who exhibit the same sorts of leadership styles and behaviors as male leaders make it through. So, studying leaders at the top, gives the impression that there are no big differences in how men and women lead.
You get a somewhat different picture if you ask followers and leaders about male and female leaders. They notice differences that are in line with stereotypes about men and women, reporting that female leaders are more nurturing, empathic, and responsive than male leaders, but they will also report the negative side (e.g., moody). Male leaders, on the other hand, are perceived to be more action-oriented and more focused on tasks. As a Catalyst study concludes that according to leaders and followers in the workplace, "women leaders take care, men leaders take charge." Realize, however, that this involves people's perceptions of leaders, colored by stereotypes and expectations.
Finally, there is a growing body of research that has studied the leadership styles and leadership "potential" of men and women, typically men and women managers (but also women in non-managerial positions). For example, using the theory of transformational leadership as an indicator of successful leadership (transformational leaders are inspirational, positive role models, concerned about followers, empowering, and push followers to be creative and take chances), research shows that women, as a group, have more transformational qualities than men. In other