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This paper examines the investment-cash-flow sensitivity in a sample of 150 american firms over the period 1995-2004. Investment-cash-flow sensitivities can be attributed either to overinvestment resulting from the abuse of managerial... more
This paper examines the investment-cash-flow sensitivity in a sample of 150 american firms over the period 1995-2004. Investment-cash-flow sensitivities can be attributed either to overinvestment resulting from the abuse of managerial discretion (Jensen [1986] and Stulz [1990]), or to underinvestment due to information problems (Myers et Majluf [1984]). We use Tobin’s Q to discriminate between firms with these problems, where low Q firms face the managerial discretion problem and high Q firms the asymmetric information problem. Similarly to Degryse et De Jong [2006], we had found evidence which highlights substantially larger investment-cash-flow sensitivity for low Q firms. This finding shows that our empirical test provides support for managerial discretion hypothesis.
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This paper aims at showing that arbitrage, theoretically used as a mechanism of establishing equilibrium in financial markets, is limited in reality. Because of numerous obstacles and risks to arbitrage, assets prices become more and more... more
This paper aims at showing that arbitrage, theoretically used as a mechanism of establishing equilibrium in financial markets, is limited in reality. Because of numerous obstacles and risks to arbitrage, assets prices become more and more biased and exhibit numerous anomalies. Like Lam and Wei (2011), in our study we show that arbitrage is limited. To this end, we use a sample of 20 firms listed on the Tunis Stock Exchange (TSE) over a period stretching from July 2007 to June 2012. The results indicate that arbitrage is limited and does not play a fundamental role in stabilizing prices.
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Purpose The purpose of this paper is to examine empirically the impact of COVID-19 pandemic news in USA and in China on the dynamic conditional correlation between Bitcoin and Gold. Design/methodology/approach This paper offers a crucial... more
Purpose The purpose of this paper is to examine empirically the impact of COVID-19 pandemic news in USA and in China on the dynamic conditional correlation between Bitcoin and Gold. Design/methodology/approach This paper offers a crucial viewpoint to the predictive capacity of COVID-19 surprises and production pronouncements for the dynamic conditional correlation (DCC) among Bitcoin and Gold returns and volatilities using generalized autoregressive conditional heteroskedasticity-DCC-(1,1) through the period of study since July 1, 2019 to June 30, 2020. To assess the unexpected impact of COVID-19, this study pursues the Kuttner’s (2001) methodology. Findings The empirical findings indicate strong important correlation among Bitcoin and Gold if COVID-19 surprises are integrated in variance. This study validates the financialization hypothesis of Bitcoin and Gold. The correlation between Bitcoin and Gold begin to react significantly further in the case of COVID-19 surprises in USA tha...
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The purpose of this paper is to investigate the risk-return tradeoff allowing for the presence of noise traders, i.e., a subset of investors who either base their trading strategies on sentiment or hold unjustified optimistic/pessimistic... more
The purpose of this paper is to investigate the risk-return tradeoff allowing for the presence of noise traders, i.e., a subset of investors who either base their trading strategies on sentiment or hold unjustified optimistic/pessimistic views regarding market prospects. We measure noise traders’ sentiment relying on two sets of indices, namely the Baker and Wurgler sentiment index and the Michigan Consumer Confidence Index, in the US stock market. Under the assumption of the presence of noise traders’ sentiment, the risk-return tradeoff is tested through two sets of models: Merton’s Intertemporal CAPM and the GARCH-in-mean model. First, we find that the relationship between risk and return allowing for the presence of noise trader risk as measured by the Baker and Wurgler sentiment index is positive and statistically significant when tested through Merton’s Intertemporal CAPM. Second, the risk-return tradeoff tested through GARCH-in-mean models augmented by noise traders’ risk as m...
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This paper aims to detect the existence of speculative bubbles in the bitcoin US price by using a year by year ADF test, initiated by Dickey and Fuller (1981), and SADF test, initiated by Phillips ...
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This study presents an important view to the predictive capacity of COVID-19 for the correlation between Chinese stock market and 9 international stock market in Asia, Europe, and North America reg...
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Abstract This article investigates the multivariate dependence between oil prices, equity markets, and exchange rates in certain oil-importing and oil-exporting countries by applying the vine copulas approach which offers a greater... more
Abstract This article investigates the multivariate dependence between oil prices, equity markets, and exchange rates in certain oil-importing and oil-exporting countries by applying the vine copulas approach which offers a greater flexibility and permits the modelling of complex dependency patterns for high-dimensional distributions. Our results show that the dependence between oil and exchange rates is significantly negative during different periods of analysis, except for the British Pound and Japanese Yen exchange rates. This result indicates that oil may serve as a weak hedge against exchanges rates.
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Abstract We examine whether and how terrorist attacks influence the British and the French stock markets through investor sentiment. Using a quantile regression approach, our results indicate that terrorist attacks have adverse effects on... more
Abstract We examine whether and how terrorist attacks influence the British and the French stock markets through investor sentiment. Using a quantile regression approach, our results indicate that terrorist attacks have adverse effects on the British and the French stock market returns under extreme market conditions. In terms of volatility, surprisingly, we find that these exogenous events decrease the volatility of the British (French) stock market under different market conditions (around the median and at the extreme top quantile). We also document a sizeable contribution of investor sentiment in explaining the effects of major terrorist attacks on the two European stock markets.
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This paper investigates the impact of takeovers on the short- and long-run stock market performance of a sample of 87 mergers and acquisitions transactions undertaken between 2008–2012 by French financial and real estate industry. For the... more
This paper investigates the impact of takeovers on the short- and long-run stock market performance of a sample of 87 mergers and acquisitions transactions undertaken between 2008–2012 by French financial and real estate industry. For the short horizon event studies, document short-run non-significant abnormal returns of acquiring companies. Furthermore, we test the financial performance by computing the cumulative abnormal returns (CAR), the buy and hold abnormal returns (BHAR) and the Jensen measure (alpha) to study long horizon of up to 60 months, as part of the calendar analysis, and 36 months in the event approach. The results show negative and significant long-term abnormal returns on acquiring companies either on event time or in calendar analysis for different horizons.
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In this paper, we examine the impact of banking opacity along other bank-specific and macroeconomic factors on credit risk using a regression analysis. We estimate our panel data model using the fixed and random effects method for 72... more
In this paper, we examine the impact of banking opacity along other bank-specific and macroeconomic factors on credit risk using a regression analysis. We estimate our panel data model using the fixed and random effects method for 72 conventional and Islamic listed banks in the MENA region over the 2005-2015 period. We found that banking opacity has a direct positive effect on the credit risk of conventional banks. On the other hand, banking opacity has no significant impact on the credit risk of Islamic banks.
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Abstract The aim of this chapter is to assess the real exchange rate misalignments. A smooth transition autoregressive model (STAR) is used for Tunisian exchange market. This model allows us to see whether these differences are temporary... more
Abstract The aim of this chapter is to assess the real exchange rate misalignments. A smooth transition autoregressive model (STAR) is used for Tunisian exchange market. This model allows us to see whether these differences are temporary or persistent over the period 1975–2012. We start by defining the exchange rate’s fundamental determinants to provide the equilibrium exchange rate value. Then, we study the observed exchange rate adjustment toward its equilibrium level. Vector autoregressive model and vector error correction model are applied to characterize the joint dynamics of variables in the long run. The results indicate a long-run relationship between variables. In order to consider the nonlinearity for better results, we will move to nonlinear smooth transition model. We found there is a high degree of exchange rate misalignment. We recognized that this difference decreases in the long run and disappears at the end.
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The aim of this paper is to detect the presence of a real estate bubble in the US home market. Inability of classic methods such as stationary tests and co-integration methods to determine explosive behaviour in financial markets was our... more
The aim of this paper is to detect the presence of a real estate bubble in the US home market. Inability of classic methods such as stationary tests and co-integration methods to determine explosive behaviour in financial markets was our motivation to use a recent econometric technique developed by Phillips, Shi and Yu. This method is perfectly efficient and is considered as a bubble-detecting algorithm. Our empirical results point to the presence of an explosive behaviour in the data. Therefore, we concluded that the US home market was shaken by several bubbles before the sub-prime crisis.
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This paper examines the relationship between oil prices and the US dollar exchange rate using a copula approach and the DCC-MGARCH model. In order to identify a possible impact and interdependence between oil prices and exchange rates... more
This paper examines the relationship between oil prices and the US dollar exchange rate using a copula approach and the DCC-MGARCH model. In order to identify a possible impact and interdependence between oil prices and exchange rates during the global financial crisis, we divided the study period into sub-periods, pre-crisis, crisis and post-crisis periods. We found that oil prices and exchange rates are independent during the pre-crisis period. However, evidence of this impact and a positive dependence between our variables were reported after the crisis onset. In addition, we found that oil prices influenced exchange rates and vice versa during the crisis period, but not during the pre-crisis period. These results have important implications on risk management and monetary policy to control inflationary pressures from oil prices and fiscal policy in oil-exporting countries.
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Our purpose in this paper is to examine financial contagion using the DCC GARCH (1, 1) technique and a correlation test. Our sample includes stock returns of 10 emerging markets from 1 January 2005 to 01 July 2010. The DCC GARCH (1, 1)... more
Our purpose in this paper is to examine financial contagion using the DCC GARCH (1, 1) technique and a correlation test. Our sample includes stock returns of 10 emerging markets from 1 January 2005 to 01 July 2010. The DCC GARCH (1, 1) results indicate a significant conditional correlation between emerging markets returns (Argentina, Brazil, Korea, HonkKong, Indonesia, Malaysia, Mexico, Shanghai, Singapore and Taiwan) and the American market during the subprime crisis except for the Shanghai market (China). Moreover, defining contagion as a significant increase of relationships across markets and adjusting correlation coefficients to control for heteroscedasticity, we notice a contagion effect from the US towards Argentina, Brazil, Korea, Honk-Kong, Malaysia, Mexico and Singapore.