Finance Group

@article{grasselli_2053,

title = {A fully quantization-based scheme for FBSDEs},

author = {Martino Grasselli and Gorgia Callegaro and Alexandro Gnoatto},

url = {https://www.sciencedirect.com/science/article/abs/pii/S0096300322007251},

year  = {2023},

date = {2023-03-01},

journal = {Applied Mathematics And Computation},

volume = {441},

pages = {127666},

abstract = {We propose a quantization-based numerical scheme for a family of decoupled forward-backward stochastic differential equations. We simplify the scheme for the control in Pages and Sagna(2018) so that our approach is fully based on recursive marginal quantization and does not involveany Monte Carlo simulation for the computation of conditional expectations. We analyse in detail thenumerical error of our scheme and provide some examples of application to financial mathematics.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{el_ouadghiri_1799,

title = {Do political and social factors affect carbon emissions? Evidence from international data},

author = {Imane El Ouadghiri and Mohammed Benlemlih and Cynthia Assaf},

url = {https://www.tandfonline.com/doi/full/10.1080/00036846.2022.2056128},

year  = {2022},

date = {2022-12-01},

journal = {Applied Economics},

volume = {54},

number = {52},

pages = {6022 - 6035},

abstract = {This study extends the literature on the determinants of carbon emissions by exploring the effects of political and social factors on pollutant emissions. We claim that political stability, corruption, and women in politics significantly influence CO2 emissions. Using the autoregressive distributed lag approach and an extensive dataset that represents more than 145 countries worldwide, we provide strong and robust evidence that low corruption practices and women's representation in politics statistically and economically reduce carbon emissions. We also show that high political stability significantly reduces CO2 emissions in the short run, but not in the long run. Our findings highlight the importance of these factors in reducing pollution worldwide and provide incentives for international regulators and policymakers toward stronger and mandatory decisions that positively evolve less politically stable and corrupt countries.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{shuwaikh_1888,

title = {Carbon performance and firm value of the World's most sustainable companies},

author = {Fatima Shuwaikh and Faten Lakhal and Ramzi Benkraiem and Assil Guizani},

url = {https://reader.elsevier.com/reader/sd/pii/S0264999322002437?token=A68CB4EE75D52A54B70B3EB499DCC726A843A247291D4416B579BEC1540A8C377AD0798070068B6B1437DEBD91C175EE&originRegion=eu-west-1&originCreation=20220901102123},

year  = {2022},

date = {2022-11-01},

journal = {Economic Modelling},

volume = {116},

number = {1},

pages = {1-12},

abstract = {This study examines how carbon performance affects a firm's market value. It also studies how this effect is driven by leadership, gender diversity and innovation capacity. This study used a panel of the world's most sustainable companies ranked according to Corporate Knights between 2013 and 2019. The results revealed that carbon performance positively influenced firm market value, thereby indicating that investors rewarded firms with low levels of carbon emissions. This positive effect was more prevalent in firms with a high level of gender diversity and innovation capacity. The findings also demonstrate that rank-up and high-polluting firms continually increased their efforts to be sustainable, which increased the positive effect of carbon performance on firm value. Our results are robust to alternative measures and concerns about endogeneity.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{brahem_1823,

title = {Corporate social responsibility and earnings quality in family firms},

author = {Emna Brahem and Florence Depoers and Faten Lakhal},

url = {https://doi.org/10.1108/JAAR-05-2021-0139},

year  = {2022},

date = {2022-10-01},

journal = {Journal of Applied Accounting Research},

volume = {23},

number = {5},

pages = {1114-1134},

abstract = {The purpose of this paper is to investigate the relationship between corporate social responsibility and earnings quality, specifically in family firms.

Design/methodology/approach



Based on a sample of French-listed firms from the period 2005 to 2016, the authors use the instrumental variable approach based on a two-stage least-squares (2SLS) estimator.

Findings



The results show that Corporate Social Responsibility (CSR) performance is positively associated with the relevance and faithful representation of earnings. This means that companies that commit to CSR activities are more likely to provide high earnings quality. The results also show that the positive association between CSR performance and earnings quality is more prevalent in family firms suggesting that socially responsible family firms are willing to preserve their socio-emotional wealth by disclosing high quality earnings.

Research limitations/implications



The results suggest that French firms commit to CSR to satisfy the interests of their stakeholders by disclosing high-quality information supporting the conflict resolution view of CSR. The findings also support the socio-emotional wealth perspective and suggest that family firms that engage in CSR activities provide a rich informational environment through high earnings quality.

Practical implications



This study's findings can be thus useful to investors for their portfolio management decisions by enabling them to identify the profile of companies with high earnings quality. These results may also help standard-setters and capital-market regulators improve market transparency by introducing new requirements to encourage investing in CSR.

Originality/value



This study extends the research on the relationship between CSR and earnings quality by focusing on two fundamental characteristics including relevance and faithful representation. This paper focuses on the effect of CSR on earnings quality in the specific context of family firms. This study offers then a better understanding of whether socially responsible family firms communicate stronger or weaker earnings quality than non-family firms based on the agency and socio-emotional wealth perspectives.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{lakhal_1859,

title = {How does family control affect stock price synchronicity?},

author = {Faten Lakhal and Ramzi Benkraiem},

url = {https://doi.org/10.1016/j.frl.2022.103092},

year  = {2022},

date = {2022-10-01},

journal = {Finance Research Letters},

volume = {49},

pages = {103092},

abstract = {This paper examines the effect of family control on the degree of stock price synchronicity. The

results reveal that family control has a negative effect on stock price synchronicity, supporting the

socioemotional wealth perspective. The results also show that this negative effect of family

control on stock price synchronicity is prevalent only for family firms with high analyst coverage

and a large institutional investor stake. These results suggest that families disclose more specific

information to enhance their reputation and alleviate minority investors' fears of being expropriated

when the firm has less information asymmetry and is well monitored.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{bitar_2010,

title = {A cross-institutional exploratory investigation of COVID-19 spread: formal vs. informal institutions},

author = {Mohammad Bitar and Imane El Ouadghiri and Jonathan Peillex},

url = {https://www.tandfonline.com/doi/full/10.1080/00036846.2022.2125495},

year  = {2022},

date = {2022-10-01},

journal = {Applied Economics},

abstract = {We investigate the effect of culture on COVID-19 spread using a sample of 67 countries over the first 10?months of the pandemic. We find that individualistic countries have higher number of COVID-19 cases, an effect that is independent from formal institutions. A two-ways interaction effects, however, between formal institutions and individualism, shows that effective political institutions, sound governance, and better economic conditions reduce the effect on individualism on COVID-19 spread. Our findings provide evidence that are useful not only for explaining differences in COVID-19 spread between countries but can also enable policymakers and organizations to understand what generally determines individuals' compliance with formal rules and regulations.},

keywords = {},

pubstate = {online},

tppubtype = {article}

}

@article{depoers_2036,

title = {Stock Price Crash Risk, Managerial Ownership, and Cost of Debt},

author = {Florence Depoers and Assil Guizani and Faten Lakhal},

url = {https://www.cairn.info/revue-finance-2022-0.htm#},

year  = {2022},

date = {2022-10-01},

journal = {Finance},

abstract = {The purpose of this paper is to investigate the effect of stock price crash riskon the cost of debt for French listed companies. We use a sample of 221companies from 2008 to 2017 and find that stock price crashes increasethe cost of debt, suggesting that creditors consider a firm-level stock pricecrash to be an important risk factor when issuing loans. This positive effectis more pronounced in firms with high systematic risk and informationasymmetry issues. We also show that the positive effect of stock price crashrisk on the cost of debt is less prevalent when the manager or the foundingfamily is the first large shareholder of the company. These findings supportthe hypothesis of alignment of interests between managers and creditorsand are in line with the perspective of the social networks, owner-managersand families have with their banks},

keywords = {},

pubstate = {accepted},

tppubtype = {article}

}

@article{belot_1884,

title = {Mandatory employee board representation: Good news for family firms?},

author = {François Belot and Timothée Waxin},

url = {https://www.sciencedirect.com/science/article/pii/S0144818822000400},

year  = {2022},

date = {2022-09-01},

journal = {International Review Of Law And Economics},

volume = {71},

pages = {106084},

abstract = {We assess the corporate performance and corporate governance consequences of mandatory employee board representation through a natural experiment: the passage of the 2015 Rebsamen law in France, which requires 1 or 2 board seats to be allocated to employee representatives. We hypothesize that such formal institutional arrangements to give workers a voice in corporate governance are irrelevant for family firms, which have been shown to commit to implicit contracts with their employees. We find evidence that affected family firms' share prices reacted negatively to the passage of the law. Moreover, standard OLS regressions of operating performance suggest that family control neutralizes the positive effect associated with employee directors. A more sophisticated difference-in-differences approach shows that affected family firms experienced a significant subsequent decrease in their return on assets. Our investigations of board composition also suggest that family firms rely on avoidance strategies to offset the influence of employee representatives. Overall, this paper casts doubt on the efficiency of minority worker representation in the boardrooms of family-owned companies and thus cautions against a ?one-size-fits-all? approach to corporate governance practices.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{shrestha_1846,

title = {Unpacking the black box of ICO white papers: A topic modeling approach},

author = {Prabal Shrestha and Wouter Torsin and Anna Pastwa},

url = {https://doi.org/10.1016/j.jcorpfin.2022.102225},

year  = {2022},

date = {2022-08-01},

journal = {Journal Of Corporate Finance},

volume = {75},

pages = {102225},

abstract = {We apply a novel topic modeling method to map Initial Coin Offerings' (ICOs') white paper thematic content to analyze its information value to investors. Using a sentence-based topic modeling algorithm, we determine and empirically quantify 30 topics in an extensive collection of 5,210 ICO white papers between 2015 and 2021. We find that the algorithm produces a semantically meaningful set of topics, which significantly improves the model performance in identifying successful projects. The most value-relevant topics concern the technical features of the ICO. However, we find that white paper's informativeness substantially diminishes after the token is listed. Moreover, we show that credibility-enhancing mechanisms (i.e., regulations and ICO analysts) reinforce the information value of ICO white papers. Overall, our results suggest that the topics discussed in white papers and the attention devoted to each topic are useful ICO performance indicators.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{shuwaikh_1865,

title = {The impact of dynamic ambidexterity on the performance of organizations: Evidence from corporate venture capital investing in North America Author links open overlay panel},

author = {Fatima Shuwaikh and Souad Brinette and Sabrina Khemiri},

url = {https://doi.org/10.1016/j.jebo.2022.07.012},

year  = {2022},

date = {2022-08-01},

journal = {Journal Of Economic Behavior & Organization},

volume = {200},

pages = {991-1009},

abstract = {The purpose of this paper is to study the evolution of corporate investors' exploitation-exploration allocations and their long-term performance outcomes. The sample consists of 243 North American firms pursuing corporate venture capital (CVC) investments from 1993 to 2017. The results show that dynamic sequential ambidexterity promotes higher firm performance than balanced or simultaneous forms of ambidexterity. Alternating pursuit of exploitation and exploration characterized by a regular frequency of change over time enhances corporate investors' financial performance. The results suggest that CVC firms develop additional expertise in pursuing both exploitation and exploration activities over time which helps to enhance their performance. The findings also show that in times of crisis, the combined use of both exploration and exploitation in CVC investments enables firms to enhance their financial performance. The results are robust to alternative measures of financial performance and to endogeneity concerns. This paper provides insights to policymakers and managers of firms that are investing in CVC activities.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{shuwaikh_1897,

title = {Industry-relatedness, geographic proximity and strategic decisions of corporate and independent venture capital-backed companies},

author = {Fatima Shuwaikh},

url = {https://www.tandfonline.com/doi/abs/10.1080/00472778.2022.2108432},

year  = {2022},

date = {2022-08-01},

journal = {Journal Of Small Business Management},

volume = {60},

number = {5},

pages = {1-38},

abstract = {In this paper, we use the essential dichotomy between independent venture capital (IVC) and corporate venture capital (CVC) to investigate the investment mechanisms that lead venture-backed companies to take different successful exit routes, that is, an initial public offering (IPO) or an acquisition. Through an analysis of a sample of 4206 US companies, we find that CVC-backed companies have a longer investment duration and a larger investment amount than IVC-backed companies. Our analysis reveals that geographic distance and industry-relatedness are influential for the success of the company. We show that industry-relatedness is more likely to lead to an acquisition exit while geographic proximity rather fosters IPO exits.},

keywords = {},

pubstate = {online},

tppubtype = {article}

}

@article{guizani_1866,

title = {How do overconfident CEOs behave in competitive product markets: Evidence from stock price crash risk},

author = {Assil Guizani and Florence Depoers and Faten Lakhal},

url = {URL: https://journals.openedition.org/fcs/9285},

year  = {2022},

date = {2022-07-01},

journal = {Finance Contrôle Stratégie},

volume = {22},

number = {2},

pages = {2-22},

abstract = {This paper investigates how CEO overconfidence affects the stock price crash risk in a

competitive environment. Using a sample of French companies, we find that overconfident CEOs

positively influence the stock price crash risk. This finding suggests that overconfident CEOs are

more likely to keep money-losing projects and hoard bad news because they overestimate the

long-term value of their projects, leading to stock price crashes. The results also show that the

positive effect of CEO overconfidence on the stock price crash risk is less pronounced in

competitive product markets. This result suggests that product market competition can help

constraining the managerial irrationality effect on stock price crash risk.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{lakhal_1889,

title = {Comment les dirigeant surconfiants se comportentils sur des marchés concurrentiels ? Le cas du risque de chute du cours d'action},

author = {Faten Lakhal and Assil Guizani and Florence Depoers},

url = {https://journals.openedition.org/fcs/9239},

year  = {2022},

date = {2022-07-01},

journal = {Finance Contrôle Stratégie},

volume = {22},

number = {2},

pages = {1-21},

abstract = {Ce papier examine l'effet du comportement sur-confiant du dirigeant sur le risque de chute des

cours boursiers dans un environnement concurrentiel. Sur un échantillon d'entreprises

françaises de 2007 à 2016, les résultats montrent que la sur-confiance des dirigeants augmente le

risque de chute du cours d'action. Ces résultats suggèrent que les dirigeants sur-confiants

dissimulent inconsciemment les mauvaises performances, entrainant une chute du cours

d'action. Nous montrons également qu'en présence d'une concurrence accrue sur le marché de

biens et services, l'effet positif de la sur-confiance sur le risque de chute est moins prononcé. Ce

résultat suggère que la compétition sur les marchés de biens et services peut limiter l'effet de

l'irrationalité des dirigeants sur le risque de chute des cours boursiers.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{grunspan_1423,

title = {On Profitability of Nakamoto double spend},

author = {Cyril Grunspan and Ricardo Pérez-Marco},

url = {https://www.cambridge.org/core/journals/probability-in-the-engineering-and-informational-sciences/article/abs/on-profitability-of-nakamoto-double-spend/4DF05998AA2F76EAB5D3AF2D181AE584},

year  = {2022},

date = {2022-06-01},

journal = {Probability In The Engineering And Informational Sciences},

volume = {36},

number = {3},

pages = {732-746},

abstract = {x},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{carassus_1860,

title = {Erratum:  The Robust Superreplication Problem:  A Dynamic Approach},

author = {Laurence Carassus and Jan Obloj and Johannes Wiesel},

url = {DOI. 10.1137/21M1447040},

year  = {2022},

date = {2022-06-01},

journal = {Siam Journal On Financial Mathematics},

volume = {13},

number = {2},

pages = {653-655},

abstract = {The assertions of Proposition 3.7 in our paper ``The robust superreplication problem: A dynamic approach"" [L. Carassus, J. Obloj, and J. Wiesel, SIAM J. Financial Math., 10 (2019), pp. 907--941] may fail to hold without an additional assumption, which we detail in this erratum.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{lakhal_1822,

title = {Financial contagion intensity during the COVID-19 outbreak: A copula approach},

author = {Faten Lakhal and Ramzi Benkraiem and Imen Zorgati},

url = {https://www.sciencedirect.com/science/article/pii/S105752192200103X},

year  = {2022},

date = {2022-05-01},

journal = {International Review Of Financial Analysis},

volume = {81},

pages = {102136},

abstract = {The sudden and rapid spread of the novel coronavirus (COVID-19) has had a severe impact on financial markets and economic activities all over the world. The purpose of this paper is to investigate the existence and intensity of financial contagion during the COVID-19 outbreak. We use daily series of stock indexes of 10 Asian countries (Taiwan, Hong Kong, Singapore, India, Indonesia, Malaysia, South Korea, Vietnam, Australia and China) and 4 American countries (the United-States, Brazil, Mexico, and Argentina) over the period starting from January 1st, 2014 to June 30th, 2021. Based on a copula approach, the results show that all studied markets are affected by the COVID-19 outbreak and the presence of financial contagion for all American and Asian countries. The results also show that contagion is more intense for American countries than Asian ones. These findings have practical implications, especially for investors, risk managers, and policy makers. The latter should continue to provide liquidity to the international market during this pandemic.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{carassus_1847,

title = {Short Communication: Super-Replication Prices with Multiple Priors in Discrete Time},

author = {Laurence Carassus and Romain Blanchard},

url = {https://epubs.siam.org/doi/10.1137/22M1470013},

year  = {2022},

date = {2022-05-01},

journal = {Siam Journal On Financial Mathematics},

volume = {13},

number = {2},

pages = {53-65},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{mhedhbi_1205,

title = {National Cultural Dimensions and Adoption of the International Financial Reporting Standard (IFRS) for Small and Medium-Sized Entities (SMEs)},

author = {Karim Mhedhbi and Moez Essid},

url = {https://www.worldscientific.com/doi/10.1142/S1094406022500044},

year  = {2022},

date = {2022-03-01},

journal = {International Journal of Accounting},

volume = {57},

number = {1},

pages = {2250004},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{benkraiem_1751,

title = {Corporate tax avoidance, economic policy uncertainty, and the value of excess cash: International evidence},

author = {Ramzi Benkraiem and Safa Gaaya and Faten Lakhal},

url = {https://doi.org/10.1016/j.econmod.2021.105738},

year  = {2022},

date = {2022-03-01},

journal = {Economic Modelling},

volume = {108},

pages = {105738},

abstract = {This paper presents new evidence on the links between corporate tax avoidance, economic policy uncertainty, and the value of excess cash. Based on an international sample of 41,535 firm-year observations from 2005 to 2018, the results show that tax avoidance negatively affects the value of excess cash. This negative effect is only prevalent for firms operating in countries with strong investor protection. This study also explores the role of economic policy uncertainty and shows that tax avoidance lowers the discount on the value of excess cash in uncertain times because investors may underestimate any negative reputational and risky practices. These findings have important implications for investors, policymakers and the welfare of the overall economy.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{lakhal_1809,

title = {How do International Financial Reporting Standards affect information asymmetry? The importance of the earnings quality channel},

author = {Faten Lakhal and Ramzi Benkraiem and Itidel Ben Saad},

url = {https://doi.org/10.1016/j.intaccaudtax.2021.100445},

year  = {2022},

date = {2022-03-01},

journal = {Journal of International Accounting, Auditing and Taxation},

volume = {46},

pages = {100445},

abstract = {Previous studies have provided evidence of the effect that accounting regulation through the adoption of International Financial Reporting Standards (IFRS) has on the informational environment. However, none have investigated how this effect is driven. This study examines whether earnings quality is an effective channel through which the IFRS can mitigate the level of information asymmetry. Based on a sample of French listed companies, we find that information asymmetry decreases significantly after the adoption of IFRS. Using a path analysis and maximum likelihood estimations, the results show that the faithful representation component of earnings quality is the only channel through which IFRS decrease the level of information asymmetry. This finding suggests that the faithful representation of earnings increased under IFRS regulation, which, in turn, enhanced the quality of the informational environment. Our findings are robust using several sensitivity analyses.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{shuwaikh_1742,

title = {Access to the Corporate Investors' Complementary Resources: A Leverage for Innovation in Biotech Venture Capital-Backed Companies},

author = {Fatima Shuwaikh and Emmanuelle Dubocage},

url = {https://www.sciencedirect.com/science/article/pii/S0040162521008052},

year  = {2022},

date = {2022-02-01},

journal = {Technological Forecasting And Social Change},

volume = {175},

pages = {121374},

abstract = {Entrepreneurial companies are a vital source of innovation and are financed by investors with different profiles. We examine whether the innovative outputs of entrepreneurial companies are responsive to access to complementary resources from different types of venture capital (VC) funds: ?independent venture capital (IVC) and corporate venture capital (CVC)?. We then delve deeper and examine the mechanisms by which we measure if access to investors' complementary resources has an influence on the innovation performance of the companies they fund. Our sample consists of 1547 U.S. biotechnology companies founded between 1998 and 2013 and financed by IVC or CVC funds. We find that CVC-backed companies display higher rates of innovation output, as measured by their patenting outcomes, than their IVC-backed counterparts. We specify three mechanisms that affect the influence of complementary resources of corporate investors compared to those of IVC: (1) absorptive capacity enhances the ability of the company to grasp and utilize investor knowledge; (2) business similarity helps nurture the technologies of innovative companies, and (3) geographic proximity enables approachability.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{el_ouadghiri_1798,

title = {Institutional investor attention and stock market volatility and liquidity: international evidence},

author = {Imane El Ouadghiri and Elias Erragragui and Jamil Jaballah and Jonathan Peillex},

url = {https://www.tandfonline.com/doi/full/10.1080/00036846.2022.2036689},

year  = {2022},

date = {2022-02-01},

journal = {Applied Economics},

volume = {54},

number = {42},

pages = {4839-4854},

abstract = {In this paper, we examine the influence of the daily institutional investor attention to particular stocks on stock volatility and liquidity. The institutional investor attention is measured from the number of times that users of Bloomberg terminal, who are mostly institutional investors, search for or read articles on a specific stock. Relying on a large international dataset of approximately a million daily observations over the period 2011-2020 from nine countries (Canada, France, Germany, Japan, Russia, South Korea, Switzerland, the UK, and the US), we find that this recent measure of institutional investor attention has a strong positive effect on stock volatility and liquidity. Confirmed by a battery of robustness tests, our findings suggest that this continuous barometer of attention by institutional investors can be used by financial practitioners to predict future stock volatility and liquidity.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{lakhal_2035,

title = {How does Corporate Social Responsibility performance influence the cost of debt? Evidence from France},

author = {Faten Lakhal},

url = {https://eska-publishing.com/fr/2021/1133332-bankers-markets-investors-n-167-decembre-2021-128.html},

year  = {2022},

date = {2022-02-01},

journal = {Bankers, Markets & Investors},

volume = {1},

number = {167},

pages = {20-34},

abstract = {This study explores the indirect relationship between corporate social responsibility (CSR) performance and the cost of debt through information asymmetry and risk profile channels. Based on a sample of French listed companies over the period 2005-2016 and on a path model, the results show that there is a negative effect of CSR performance on the cost of debt via the systematic risk channel supporting the risk management argument. The results also show that high CSR firms experience a significant decrease in cost of debt subsequently to the Grenelle II act on CSR mandatory disclosures. These results suggest that CSR performance provides insurance-like protection and helps banks assessing the firm risk profile and providing a lower cost of debt.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{carassus_1540,

title = {Pricing without no-arbitrage condition in discrete time},

author = {Laurence Carassus and Emmanuel Lépinette},

url = {https://www.sciencedirect.com/science/article/pii/S0022247X21005205},

year  = {2022},

date = {2022-01-01},

journal = {Journal Of Mathematical Analysis And Applications},

volume = {505},

number = {1},

pages = {125441},

abstract = {In a discrete time setting, we study the central problem of giving a fair price to some financial product. This problem has been mostly treated using martingale measures and no-arbitrage conditions. We propose a different approach based on convex duality instead of martingale measures duality: The prices are expressed using Fenchel conjugate and bi-conjugate without using any no-arbitrage condition. The super-hedging problem resolution leads endogenously to a weak no-arbitrage condition called Absence of Instantaneous Profit (AIP) under which prices are finite. We study this condition in detail, propose several characterizations and compare it to the usual no-arbitrage condition NA.},

note = {https://www.sciencedirect.com/science/article/pii/S0022247X21005205},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{el_ouadghiri_1796,

title = {Investor Attention to Fossil Fuel Divestment Movement and Stock Returns},

author = {Imane El Ouadghiri and Mathieu Gomes and Jonathan Peillex and Guillaume Pijourlet},

url = {https://www.iaee.org/energyjournal/article/3910},

year  = {2022},

date = {2022-01-01},

journal = {Energy Journal},

volume = {43},

number = {6},

pages = {-},

abstract = {This study investigates whether the investor attention to the fossil fuel divestment (FFD) movement is related to the stock returns on firms involved in extracting fossil fuels. Three complementary indicators of investor attention to the FFD movement are considered: (1) the U.S. weekly Google Search Volume Index on the topic "fossil fuel divestment," (2) the U.S. weekly media coverage of fossil fuel divestment, and (3) the number of weekly visits to the "fossil fuel divestment" page on Wikipedia. Based on a sample of weekly returns on 1,850 U.S. firms over the period 2012â??2020, our econometric estimations report a positive relationship between investor attention to FFD and excess stock returns for U.S. fossil fuelâ??related firms. Therefore, contrary to what the FFD campaigners might expect, the stigmatization of the fossil fuel industry does not drive down the stock returns on fossil fuelâ??related firms.},

keywords = {},

pubstate = {online},

tppubtype = {article}

}

@article{bazgour_1853,

title = {A defaultable bond model with cyclical fluctuations in the spread process},

author = {Tarik Bazgour and Federico Platania},

url = {https://link.springer.com/article/10.1007/s10479-021-04471-9},

year  = {2022},

date = {2022-01-01},

journal = {Annals Of Operations Research},

volume = {312},

pages = {647-672},

abstract = {This paper proposes a defaultable bonds pricing model extending the traditional spread process definition. The posited model is able to incorporate any potential cyclical, non- linear, or long-term process not fully captured by the stochastic behavior of the spot rate and the instantaneous default rate process. Under this framework, we analyze the empirical ability of our model to capture the spread dynamics of three different Investment-grade US Corporate bonds indexes. Our findings show that when compared to the Benchmark, our model improves the empirical performance reducing the yield spread mispricing by 35%, 37%, and 29% for the High grade, Upper medium grade, and Lower medium grade index, respectively.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{fontaine_1906,

title = {Why do investors buy shares of actively managed equity mutual funds? Considering the Correct Reference Portfolio from an Uninformed Investor's Perspective},

author = {Patrice Fontaine and Radu Burlacu and Sonia Jimenez-Garcès},

url = {https://www.cairn.info/revue-finance-2022-0-page-I16.html},

year  = {2022},

date = {2022-01-01},

journal = {Finance},

keywords = {},

pubstate = {online},

tppubtype = {article}

}

@article{figa-talamanca_1403,

title = {Common dynamic factors for cryptocurrencies and multiple pair trading statistical arbitrages},

author = {Gianna Figà-Talamanca and Sergio Focardi},

url = {https://link.springer.com/article/10.1007/s10203-021-00318-x},

year  = {2021},

date = {2021-12-01},

journal = {Decisions in Economics and Finance},

volume = {44},

pages = {863-882},

abstract = {In this paper, we apply dynamic factor analysis to model the joint behaviour of Bitcoin, Ethereum, Litecoin and Monero, as a representative basket of the cryptocurrencies asset class. The empirical results suggest that the basket price is suitably described by a model with two dynamic factors. More precisely, we detect one integrated and one stationary factor until the end of August 2019 and two integrated factors afterwards. Based on this evidence, we define a multiple long-short trading strategy which proves profitable when the second factor is stationary.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{grunspan_1762,

title = {Blockchain and cryptocurrencies: economic and financial research},

author = {Cyril Grunspan and Alessandra Cretarola and Gianna Figà-Talamanca},

url = {https://doi.org/10.1007/s10203-021-00366-3},

year  = {2021},

date = {2021-12-01},

journal = {Decisions in Economics and Finance},

volume = {44},

pages = {781-78},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{bosi_1593,

title = {Long-run equilibrium in international asssets and goods markets: Why is the law of one price required?},

author = {Stefano Bosi and Patrice Fontaine and Cuong Le Van},

url = {https://doi.org/10.1016/j.jebo.2021.08.023},

year  = {2021},

date = {2021-10-01},

journal = {Journal Of Economic Behavior & Organization},

volume = {190},

number = {september},

pages = {891-904},

abstract = {Globalization is a complex phenomenon, best represented by a general framework in which all financial markets and some goods markets adjust quickly, while for the other goods markets prices vary across countries. We consider a two-period financial model. In the first period, agents consume, buy and sell financial assets to diversify their portfolios. In the second period, they spend their endowments and financial gains to purchase con- sumption goods. We define the concept equilibrium ?, in which the total nominal value of trade is balanced and, for any non-negative individualized system of prices, the total nom- inal value of demand does not exceed the total value of supply. This equilibrium ?coincides with the standard concept of equilibrium when the Law of One Price (LOP) is satisfied for any country. In this model, we introduce imperfect international trade. Assuming that Un- covered Interest (rate) Parity (UIP) holds in all financial markets and the LOP does not hold in some goods markets, we prove that an equilibrium ?does exist; for markets in which the LOP fails, however, the equilibrium becomes autarkic. This result explains why finan- cial markets and some goods markets are globally integrated, while trade fails in other markets. The world economy is fully globalized only if the LOP holds everywhere.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{benkraiem_1674,

title = {How do powerful decision-makers affect firm's stock price crash risk?},

author = {Ramzi Benkraiem and Florence Depoers and Assil Guizani and Faten Lakhal},

url = {http://www.accessecon.com/Pubs/EB/2021/Volume41/EB-21-V41-I3-P159.pdf},

year  = {2021},

date = {2021-10-01},

journal = {Economics Bulletin},

volume = {41},

number = {3},

pages = {1876-1886},

abstract = {This paper investigates the effect of decision-makers' power on the stock price crash risk (SPCR). Using a sample ofFrench listed companies, the results show that SPCR increases with the power of decision-makers in widely held andmore concentrated ownership structures. This result suggests that for expropriation purposes, powerful managers andcontrolling shareholders conceal bad news for extended periods. Up to a threshold, bad news is released to investorsall at once, leading to a drop in the stock prices. We also find that analysts' coverage mitigates the effect of powerfulmanagers on SPCR in widely held firms. However, the relationship between the power of controlling shareholders andSPCR is less prevalent in companies with independent boards. These findings highlight the importance of efficientgovernance devices to curb opportunistic decision-makers and protect the interests of external shareholders. However,the effectiveness of these mechanisms depends on the identity of the decision-maker and the nature of agencyproblems.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{jedda_1242,

title = {Family Control and Investment Efficiency: Does financial analyst coverage matter?},

author = {Nour Jedda and Faten Lakhal and Riadh Ghenima},

url = {https://www.erudit.org/en/journals/mi/1900-v1-n1-mi06183/1079215ar/abstract/},

year  = {2021},

date = {2021-07-01},

journal = {Management International},

volume = {25},

number = {3},

pages = {91-115},

abstract = {The purpose of this paper is to investigate the effect of

family control on investment efficiency and to highlight the

moderating effect of analyst coverage. Based on a sample

of French-listed companies, the results show a negative

effect of family excess control and successive generational

stage on investment efficiency. This negative effect is

mainly driven by the underinvestment problem. These

findings suggest that family firms are associated with

exacerbated information asymmetry issues leading them

to miss investment opportunities. However, analyst

coverage, as an external corporate governance device,

helps mitigating information asymmetry and the problem

of inefficient investments in family firms.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{bazgour_1190,

title = {How do Volatility Regimes Affect the Pricing of Quality and Liquidity in the Stock Market?},

author = {Tarik Bazgour and Cédric Heuchenne and Georges Hübner and Danielle Sougné},

url = {https://www.degruyter.com/document/doi/10.1515/snde-2018-0127/html},

year  = {2021},

date = {2021-06-01},

journal = {Studies In Nonlinear Dynamics And Econometrics},

volume = {25},

number = {1},

pages = {20180127},

abstract = {This paper shows how stock market volatility regimes affect the cross-section of stock returns along quality and liquidity dimensions. We find that, during crisis periods, low quality and low liquidity stocks experience relatively higher losses than predicted in normal times, while high quality and high liquidity stocks experience rather relatively lower losses. These findings lend strong support to the presence of cross-market and within-market flight-to-quality and to-liquidity episodes during crisis periods. During low volatility periods, however, low quality and low liquidity stocks earn relatively larger returns, while high quality and high liquidity stocks yield lower returns; suggesting that low volatility conditions benefit junk and illiquid stocks but not quality and liquid stocks. Finally, our results reveal that liquidity level dominates liquidity beta in explaining stock returns across the different market volatility regimes.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{waxin_1267,

title = {Family control, stock price levels and stock split activity},

author = {Timothée Waxin and François Belot},

url = {https://www.cairn.info/revue-finance-2021-1-page-155.htm},

year  = {2021},

date = {2021-05-01},

journal = {Finance},

volume = {42},

number = {1},

pages = {155-219},

abstract = {We investigate the impact of family control on both the share price level and the decision to split the firm's stock. Low stock prices are associated with higher volatility and have been shown to attract more speculative trading, which may force managers to excessively focus on short-term earnings. Moreover, a reduction in the stock price level can hurt the firm's reputational capital. We hypothesize that family owners, who are typically long-term investors and are especially concerned about corporate reputation, prefer to set higher stock prices to mitigate short-termism, focus on long-term planning, and reinforce the firm's image. Using a comprehensive sample of firms in the Société des Bourses Françaises (SBF) 120 Index from 1998 to 2016, we find a positive correlation between share prices and family control. Our investigations also indicate that family firms are less likely to conduct price reductions through stock splits. These findings suggest that a high stock price is a distinctive feature of family firms and that family owners have a specific norm in mind with respect to prices.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{lakhal_1344,

title = {Family control and corporate social responsibility: The moderating effect of the board of directors},

author = {Faten Lakhal and Florence Depoers and Emna Brahem},

url = {https://www.erudit.org/en/journals/mi/1900-v1-n1-mi06083/1077793ar/abstract/},

year  = {2021},

date = {2021-05-01},

journal = {Management International},

volume = {25},

number = {2},

pages = {218 - 238},

abstract = {This paper examines the effect of family control on corporate social responsibility (CSR) in French-listed companies. Based on quantile regressions, our results show that family identity and involvement in capital and management positively influence CSR performance, particularly for low-CSR firms. These findings support the socio-emotional perspective of family firms. However, families with excess control engage less in CSR activities for expropriation purposes. Additional analysis shows that board size and gender diversity attenuate the negative effect of excess family control on CSR performance and help then mitigating the expropriation risk by family-controlled firms.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{sapina_1658,

title = {Lempel-Ziv complexity of the pNNx statistics - an application to neonatal stress},

author = {Matej ?apina and Chandan Karmakar and Karolina Kramari? and Marcin Kosmider and Matthieu Garcin and Dario Brdari? and Kre?imir Milas and John Yearwood},

url = {https://www.sciencedirect.com/science/article/abs/pii/S0960077921000564},

year  = {2021},

date = {2021-05-01},

journal = {Chaos Solitons & Fractals},

volume = {146},

number = {1},

pages = {110703},

abstract = {Among the existing measures of heart rate variability (HRV), the pNN50 statistics is one of the most commonly reported. However, it is only a single member of a much larger family of HRV measures - the pNN statistics. In this research pNN was further extended, combining it with the Lempel-Ziv complexity (LZ76) in a controlled neonatal stress framework. Two different types of stress stimuli on forty healthy newborns - a routine heel stick blood sampling, and a dull heel pressure stimulation - were considered by recording time intervals between heartbeats. Instead of relying on a single value, the entire spectrum from pNN1 to pNN100 was calculated, along with LZ76 derived from binarized sequences for each NN. The results of this study show a downward shift of the pNN curves when newborns are stressed, with reduced LZ76 complexity when stressed. When ROC curves were utilized for the pNN statistics and LZ76, however, the highest AUC values were observed when both measures were combined, with the highest AUC values of 0.88 (0.80-0.94) and 0.85 (0.74-0.91) for discriminating resting states from stress phases. Combining the widely used pNN statistics with LZ76 extends the existing HRV toolbox, and shows a promising application in recognizing acute neonatal stress.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{fontaine_1382,

title = {Suppliers as Financial Intermediaries: Trade Credit for Undervalued Firms},

author = {Patrice Fontaine and Sujiao Zhao},

url = {https://www.sciencedirect.com/science/article/abs/pii/S0378426621000017},

year  = {2021},

date = {2021-03-01},

journal = {Journal Of Banking & Finance},

volume = {124},

pages = {106043},

abstract = {We examine the impact of undervaluation on a firm's use of trade credit. To address potential endogeneity bias, we construct our instrumental variable based on mutual fund outflow-driven price pressure, and our undervaluation measure allows us to distinguish misvaluation from fair valuation. We find that a firm's suppliers play an important role in providing temporary bridge financing when the firm is undervalued. The effect varies with the firm's information environment and with its dependence on external finance. In addition, based on a manually matched supplier-customer sample, we show that small customers in long-term relationships with their suppliers are more likely to obtain trade credit when facing stock market undervaluation, while small suppliers with a smaller customer pool extend more trade credit to their undervalued customers.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{callegaro_1138,

title = {Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)},

author = {Gorgia Callegaro and Martino Grasselli and Gilles Pagès},

url = {https://pubsonline.informs.org/doi/10.1287/moor.2020.1054},

year  = {2021},

date = {2021-02-01},

journal = {Mathematics Of Operations Research},

volume = {46},

number = {1},

pages = {221-254},

abstract = {We solve a family of fractional Riccati equations with constant (possibly complex) coefficients. These equations arise, for example, in fractional Heston stochastic volatility models, which have received great attention in the recent financial literature because of their ability to reproduce a rough volatility behavior. We first consider the case of a zero initial value corresponding to the characteristic function of the log-price. Then we investigate the case of a general starting value associated to a transform also involving the volatility process. The solution to the fractional Riccati equation takes the form of power series, whose convergence domain is typically finite. This naturally suggests a hybrid numerical algorithm to explicitly obtain the solution also beyond the convergence domain of the power series. Numerical tests show that the hybrid algorithm is extremely fast and stable. When applied to option pricing, our method largely outperforms the only available alternative, based on the Adams method.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{el_ouadghiri_1343,

title = {Public attention to environmental issues and stock market returns},

author = {Imane El Ouadghiri and Khaled Guesmi and Jonathan Peillex and Andreas Ziegler},

url = {https://www.sciencedirect.com/science/article/abs/pii/S0921800919315617},

year  = {2021},

date = {2021-02-01},

journal = {Ecological Economics},

volume = {180},

pages = {106836},

abstract = {/},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{blanchard_1262,

title = {Convergence of utility indifference prices to the superreplication price in a multiple-priors framework},

author = {Romain Blanchard and Laurence Carassus},

url = {https://onlinelibrary.wiley.com/doi/10.1111/mafi.12288},

year  = {2021},

date = {2021-01-01},

journal = {Mathematical Finance},

volume = {31},

number = {1},

pages = {366-398},

abstract = {This paper formulates a utility indifference pricing model for investors trading in a discrete time financial market under nondominated model uncertainty. Investor preferences are described by possibly random utility functions defined on the positive axis. We prove that when the investors's absolute risk aversion tends to infinity, the multiple?priors utility indifference prices of a contingent claim converge to its multiple?priors superreplication price. We also revisit the notion of certainty equivalent for multiple?priors and establish its relation with risk aversion.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{peillex_1306,

title = {Extreme Heat and Stock Market Activity},

author = {Jonathan Peillex and Imane El Ouadghiri and Mathieu Gomes and Jamil Jaballah},

url = {https://www.sciencedirect.com/science/article/pii/S092180092030015X},

year  = {2021},

date = {2021-01-01},

journal = {Ecological Economics},

volume = {179},

pages = {106810},

abstract = {We aim to advance our understanding of the adverse effects of extreme temperatures by examining the extent to which high temperatures affect stock market activity. We address this question by analyzing the trading volumes on the French stock market on days when the weather in Paris is excessively hot over the period 1995-2019. Our empirical analyses show that, on average, trading volumes fall significantly (between 4% and 10%) when maximum daily temperatures exceed 30 °C (86 °F). The observed negative association is remarkably robust to a battery of alternative analyses such as bin tests, event studies, and time-series regressions controlling for any seasonal effects and financial market conditions. From a theoretical perspective, this study contributes to the literature on behavioral finance by demonstrating the existence of a ?hot weather? effect on financial markets. It also offers important managerial and public policy implications.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{francoeur_1307,

title = {How Do Powerful CEOs Influence Corporate Environmental Performance?},

author = {Claude Francoeur and Faten Lakhal and Safa Gaaya and Itidel Ben Saad},

url = {https://www.sciencedirect.com/science/article/pii/S0264999320312086},

year  = {2021},

date = {2021-01-01},

journal = {Economic Modelling},

volume = {94},

pages = {121-129},

abstract = {This study investigates how powerful chief executive officers (CEOs) affect their firm's environmental performance. Based on a sample of 5222 U.S. firm-year observations, we find that such CEOs positively influence environmental performance and that this effect is more prevalent in profitable firms. This result suggests that powerful CEOs are influential in creating sufficient resources to enhance their firms' environmental performance. They are also typically well established and enjoy the quiet life that predisposes them to prioritize environmental projects. Our results also show that, although firms in polluted industries have lower environmental performance, they are able to mitigate this negative effect when they have powerful CEOs or are more profitable. Our results are robust to a variety of econometric models, alternative measures of environmental performance, and controlling for endogeneity issues},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{benkraiem_1520,

title = {New insights into IFRS and earnings quality: what conclusions to draw from the French experience?},

author = {Ramzi Benkraiem and Faten Lakhal and Itidel Ben Saad},

url = {https://www.emerald.com/insight/content/doi/10.1108/JAAR-05-2020-0094/full/html},

year  = {2021},

date = {2021-01-01},

journal = {Journal of Applied Accounting Research},

volume = {22},

number = {2},

pages = {307-333},

abstract = {Purpose



The purpose of this study is to examine the effect of International Financial Reporting Standards (IFRS) on earnings quality in a continental European context (i.e. France) more than a decade after their mandatory adoption. Furthermore, the authors investigate whether the IFRS effect depends on firm-specific incentives.

Design/methodology/approach



The authors construct an aggregated measure that considers the main qualitative information characteristics: reliability and relevance. They identify accruals quality, earnings smoothing and the degree of conditional conservatism as attributes of reliability and use earnings persistence, predictability, value relevance and timeliness to measure earnings relevance. To test the hypotheses, the authors use a sample of French listed companies. The analyses are based on ordinary least squares (OLS) fixed effects, the Newey-West estimator and the difference-in-difference approach. The authors also use cluster analysis to identify firms with high incentives for earnings quality.

Findings



The results reveal a decrease in earnings quality that persisted for a decade after IFRS adoption. This decrease is mainly due to a decline in earnings relevance, suggesting that the fair value principle worsened earnings volatility. However, the results show that there is an improvement in earnings reliability after IFRS adoption, suggesting that the international standards were able to constrain managerial opportunism. Additionally, the findings reveal that firm-specific incentives can enhance the positive effect of IFRS, but the incentives are not able to substitute for such effect.

Research limitations/implications



The IFRS effect depends on firm-specific incentives.

Practical implications



The authors prove that firm-specific incentives are important to accentuate the positive effect of IFRS on earnings reliability and to mitigate the impact of IFRS on earnings relevance.

Originality/value



This paper makes several contributions to the literature. First, it addresses the relative lack of attention to the main qualitative characteristics in measuring earnings quality, that is, earnings reliability and earning relevance, and uses an aggregate earnings quality measure. Second, this paper uses a cluster analysis to highlight the role of firm-specific incentives in shaping the effect of IFRS on earnings quality.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}