There is an article on wikiHow to guide people on how to have a sense of humour. Can sense of humour be taught? It may be the same question as a leader is naturally born or trained.
Claudia M. Haase of Northwestern University and Ursula Beermann of the University of Geneva published in the American Psychological Association journal Emotion showed that sense of humour is associated to the gene 5-HTTLPR. The gene is known for regulating serotonin, which is a neurotransmitter implicated in depression and anxiety. The study showed that a person with longer allele of the gene will be more positive.
If you see an unfriendly colleague who never smile at you, always remember that the person is genetically lack of sense of humour.