Prof. Tarek Eldomiaty | The American University In Cairo (original) (raw)

Papers by Prof. Tarek Eldomiaty

Modern Finance, Jun 21, 2024

This paper examines the effect of the riskiness of the top four cryptocurrencies on the riskiness... more This paper examines the effect of the riskiness of the top four cryptocurrencies on the riskiness of stock market indexes in Egypt, being recognized as a developing country. The analysis uses daily data on cryptocurrencies and the three stock market indexes covering January 2020 to January 2023. The risk is measured using the holding period Value at Risk (VaR). The GMM results show that (a) cryptocurrency volatility is negatively associated with the volatility of stock market indexes. That is, the higher the investors' interest in trading cryptocurrencies, the lower the volatility of stock market indexes as investors trade stocks less frequently, (b) cryptocurrencies can provide hedge and diversification benefits, and (c) the relationship between volatilities of cryptocurrencies and stock market indexes varies across indexes, therefore, contingent.

Journal of risk and financial management, Apr 16, 2024

This article is an open access article distributed under the terms and conditions of the Creative... more This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY

Investment management & financial innovations, Mar 26, 2017

This paper examines the relationships between changes in firm's debt and its effects on firm's ma... more This paper examines the relationships between changes in firm's debt and its effects on firm's market value in a transitional market. The market value is considered as a measure of the investment worthiness. The signaling effect refers to the effects of debt on firm's market value. The paper examines the signaling effects of the determinants of capital structure that are relevant to a transitional market. These determinants cover the basics of tradeoff model, pecking order hypothesis and free cash flow hypothesis. The methodology begins with the determination of the relevant determinants of debt in a transitional economy. Next, the potential signaling effects of the relevant determinants of debt are examined. The robustness of the signaling effect is examined using the 'Extreme Bound Analysis.' The overall results indicate that the worthiness of the investment (market value) is determined by interest rates (macro factor) and financial flexibility (firm-specific factor). These two factors have robust and significant signaling effects.

WORLD SCIENTIFIC eBooks, Dec 1, 2006

Chapter 8 A Bayesian Approach for Testing the Debt Signaling Hypothesis in a Transitional Market:... more Chapter 8 A Bayesian Approach for Testing the Debt Signaling Hypothesis in a Transitional Market: Perspectives from Egypt. Tarek I. Eldomiaty and Mohamed A. Ismail United Arab Emirates University, UAE This paper examines the effects of determinants of capital structure on ...

Social Science Research Network, 2007

... Antoniou, A., Guney, Y., Paudyal, K. (2002), &amp;quot;Determinants of corporate capi... more ... Antoniou, A., Guney, Y., Paudyal, K. (2002), &amp;quot;Determinants of corporate capital structure: evidence from European countries&amp;quot;, University of Durham, Durham, Working paper, . ...

Social Science Research Network, 2003

Abstract: The role of stakeholder frameworks in the success of business and society has recently ... more Abstract: The role of stakeholder frameworks in the success of business and society has recently become a crucial area of academic research. The purpose of this paper is to show the close compatibility between relatively strong banking industries and the values of stakeholder ...

This paper examines the signaling role of corporate capital structure by examining their effects ... more This paper examines the signaling role of corporate capital structure by examining their effects on corporate market value. The signaling hypothesis implies a relationship (either negative or positive) between changes in capital structure and market values. This paper examines a comprehensive number of determinants of capital structure that have been examined in the literature. The paper suggests the use of ”subset selection” based on 10 different statistical criteria as a new methodology for analyzing the potential signaling of corporate financing decisions. The final results show that (a) capital structure decisions do not have signaling effect; (b) the basic determinants of capital structure signaling in Egypt are industry type and interest rate. The contributions of this paper are: (a) it is the first attempt to employ subset selection criteria for modeling capital structure in Egypt, (b) we employ 10 subset selection criteria rather than only two that are included in most statistical analysis packages, and (c) the paper presents significant evidence that the subset model selection approach reduces the dimensionality of the model under consideration preserving almost the same explanatory power.

Social Science Research Network, Jun 2, 2015

The objective of this study is to examine the relative importance of bank-specific and macroecono... more The objective of this study is to examine the relative importance of bank-specific and macroeconomic factors to bank profitability in the MENA and EU regions. The panel data cover the years 2006-2012 for 945 commercial banks. The discriminant analysis is used for estimating Z-scores that discriminate between below-median and above-median return on equity for banks operating in the MENA and EU. The results indicate that the effects of some variables are consistent across both regions, namely: the net interest margin and the risk provision ratio. Operating Expenses are positively associated with bank profitability in the MENA region while the financial leverage is negatively associated with bank profitability. In the EU region both Bank Equity and the ratio of liabilities to assets are negatively associated with profitability. In the EU region, GDP growth rate is negatively associated with profitability while the unemployment is positively associated with bank profitability. Nevertheless, in the MENA region, all macroeconomic factors are statistically insignificant. These findings provide insights into a collective road map to improve bank profitability in both regions. This study contributes to the literature in terms of being the first study that investigates the relative contribution of bank-specific and macroeconomic factors on bank profitability. The majority of other related studies in the literature examine the effects of bank-specific, or macroeconomic, or both factors on bank profitability without a focus of the relative contribution of each factor.

Social Science Research Network, Apr 6, 2005

... Tarek Ibrahim Eldomiaty, (Email: T.Eldomiaty@uaeu.ac.ae), UAE University, UAE ... Billings an... more ... Tarek Ibrahim Eldomiaty, (Email: T.Eldomiaty@uaeu.ac.ae), UAE University, UAE ... Billings andMorton (2001) extended the work of Beaver and Ryan (1996, 2000) by decomposing the BM ratio concluding that the BM lag component explains most of the inverse relation between ...

Social Science Research Network, 2004

International Journal of Commerce and Management, Dec 31, 2007

PurposeThis research paper aims at examining the determinants of corporate leverage in Egypt acco... more PurposeThis research paper aims at examining the determinants of corporate leverage in Egypt according to the assumptions of three theories of capital structure: tradeoff, pecking order, and free cash flow.Design/methodology/approachThe methodology utilizes the benefits of the partial adjustment autoregressive model to measure the speed of adjusting long‐term and short‐term debts to a target level.FindingsThe results indicate that companies use both long‐term and short‐term debt to adjust the leverage with a relative dependence on long‐term debt; the tradeoff‐related determinants of capital structure are taxes, debt/equity ratio and bankruptcy risk; the pecking order‐related determinants of capital structure are growth and profitability; borrowing decisions are not affected by the assumptions of free cash flow. Overall, the explanatory powers of the three regression equations are high and significant which indicate that the model construction is quite indicative.Originality/valueThe paper contributes to the literature in that it shows that the determinants of capital structure conform to those reported by other related studies in emerging markets as well as developed markets which supports the general conclusion that the determinants of capital structure in emerging and developed markets are converging.

Social Science Research Network, 2012

This paper offers a new mathematical formulation that addresses the relationship between expected... more This paper offers a new mathematical formulation that addresses the relationship between expected price-to-book ratio, dividend per share, dividend payout ratio, systematic and unsystematic risks. The sample includes the non-financial firms in the DJIA covering the period 1997-2006. The general results show that expected price-to-book ratio is: (1) positively associated with squared current stock price, (2) negatively associated with squared expected book value per share; squared unsystematic risk-adjusted dividend per share; squared systematic and unsystematic dividend payout ratio (e.g., negative signaling). The paper contributes to the current literature in two ways. First, systematic and unsystematic risks are to be considered when deciding on the dividend per share and dividend payout ratio. Second, the relationship between expected price-tobook ratio and the risk-adjusted dividends per share and dividend payout ratio is intrinsically nonlinear, which is not addressed in the relevant literature.

Journal of risk and financial management, Sep 30, 2022

Emerald Publishing Limited eBooks, Oct 24, 2019

Purpose: In reality, financial decisions are made under conditions of asymmetric information that... more Purpose: In reality, financial decisions are made under conditions of asymmetric information that results in either favorable or adverse selection. As far as financial decisions affect growth of the firm, the latter must also be affected by either favorable or adverse selection. Therefore, the core objective of this chapter is to examine the determinants of each financial decision and the effects on growth of the firm under conditions of information asymmetry.

Cogent Economics & Finance

This paper examines the effects of institutional quality on firm-level financial performance. The... more This paper examines the effects of institutional quality on firm-level financial performance. The data include non-financial firms listed in stock exchanges in G8 and MENA countries. The total number of firms in the G8 and MENA is 347 and 389, respectively, covering the period 2017–2020. The results show that, in the G8 countries, institutional quality is associated significantly and positively with asset efficiency, expense control, debt financing, and liquidity. In the MENA countries, institutional quality is associated significantly and positively with liquidity and profitability, but negatively with asset efficiency, expense control, and debt financing. The results show that the effect of corporate size is asymmetrical. The results also reveal a significant institutional convergence between G8 and MENA countries in terms of voice & accountability, political stability, and government effectiveness. Nevertheless, institutional quality in the G8 is better off that of the MENA countries in terms of Rule of law, Control of Corruption, and Regulatory Quality. The results also show that the duration of improvement in institutional quality takes between 2–4 years to have a significant effect of firms’ financial performance. This paper offers a contribution to corporate managers in terms of offering a guide to design financial strategies that adapts to the quality of institutions in the respective countries. A further contribution is offered to policy makers in terms of offering a road map to improve institutional quality that helps improve the financial performance of the business sector.

International Social Science Journal

This paper examines the effects of COVID‐19 new infections on the financial sovereign risks in th... more This paper examines the effects of COVID‐19 new infections on the financial sovereign risks in the group of ten (G10) countries. The paper utilises panel least squares regression using monthly data over the period February 2020–July 2021. Two sovereign risk measures are examined: the Spread of Government Bond Yields and Sovereign Credit Default Swap spread. The results of the robustness tests show that the spread of the COVID‐19 has affected the sovereign risks significantly and positively. Contagion risks have been extended to exchanges rates and growth rates of international reserves. This paper offers two contributions. First, the results show robust evidence on the impact of COVID‐19 on country's sovereign risks. Second, the severity of COVID‐19 on country's sovereign risks is further. The empirical results carry policy implications that (a) countries must sustain efforts for safeguarding the evolution of COVID‐19 pandemic since it is hindering country's credit worth...

SSRN Electronic Journal, 2016

The objective of this paper is to (a) present an empirical evidence that explains bank internal f... more The objective of this paper is to (a) present an empirical evidence that explains bank internal financial ratios that influence capital adequacy ratio, (b) stress testing the impact of Basel III capital adequacy requirements on Egyptian banks, and (c) offer a road map, through a sensitivity analysis, to bank management regarding the implementation of the stress tests results. Design/method/approach: The data cover the period from 2010 to 2014 on a quarterly basis. The discriminant analysis is used for testing the robustness of the estimation. Stress testing is utilized based on the estimates the variables that meet Basel III new requirements of Capital adequacy ratio Findings: The results show that (a) return on assets, return on equity, and asset-based market share have significant effects on capital adequacy ratio, (b) the ratios of loans/deposits and non-performing loans have positive significant effects on capital adequacy ratio, (c) the liquidity ratio in US $ has trivial effect on capital adequacy ratio, (d) liquidity ratio in Egyptian pound has insignificant effect on capital adequacy ratio, (e) the ratios of loans/deposits, non-performing loans and liquidity in U.S. $ are robust and significance determinants of capital adequacy ratio. In terms of stress testing, the results show that (a) the average optimal value for loans/deposit ratio is

Since the global corporate scandals of Enron, Global Crossing, World Com and many others, corpora... more Since the global corporate scandals of Enron, Global Crossing, World Com and many others, corporate governance and global ethics has become one of the most widely researched topics in research. We believe that corporate governance and ethics in the 21 st requires greater partnerships between corporations and Non-Governmental Organizations (NGOs). We believe that Non-Governmental Organizations (NGOs) have a dual responsibility: to both market forces and to institutional responsibilities. NGOs, and their unique connection to both social and market capital provide them the opportunities and responsibilities of both market and institutional responsibilities as well as their potential impact on global corporate governance and ethics.