Boutheina Regaieg - Academia.edu (original) (raw)

Papers by Boutheina Regaieg

International Journal of Accounting and Financial Reporting, 2020

The aim of this paper is to study the stability of Islamic banks vs. conventional banks. Unlike p... more The aim of this paper is to study the stability of Islamic banks vs. conventional banks. Unlike previous works on this topic, we used profitability, solvency, productivity, investment and risk indicators, as well as macroeconomic indicators. Likewise, we used effectiveness and efficiency indicators, determined via the SFA and DEA method respectively.The banks in our sample were selected based on their contribution to the total assets of both types of finance. This selection method allowed us to have a global idea on the effectiveness, efficiency, risk and stability of the two banking sectors.This empirical investigation revealed that Sharia-compatible banks are more efficient than conventional banks. In contrast, Islamic banks are less efficient and riskier than conventional banks. They lose on average 5.795% and 3.9413% of their assets, respectively, as credit risk and operational risk. In terms of market risk, Islamic banks are less risky than conventional banks. They lost 3,214% ...

This paper examines the relationship between managers' entrenchment, governance and financial... more This paper examines the relationship between managers' entrenchment, governance and financial and stock market performance of Tunisian banking institutions listed on the Tunis Stock Exchange. We first propose to model the level of managers' theoretical entrenchment. Second, we examine a panel data to determine the relationship between the different internal banking governance mechanisms, including managers' entrenchment, on banking performance. To this end, our study examines a sample of 11 Tunisian banks over a period stretching from the first half of 2006 to the second half of 2013.The results indicate that "good" governance practice codes of banking institutions often represent poor performance. On the other hand, managers' theoretical entrenchment contributes to improving the financial performance of Tunisian banking institutions.

This paper empirically examines the interdependence between the foreign exchange forward premiums... more This paper empirically examines the interdependence between the foreign exchange forward premiums and the spot exchange return through a multivariate generalized autoregressive conditional heteroskedasticity type framework. The purpose of this study is to test the correlation sensitivity to shocks and the to capture the dynamic links between the EUR/USD 1, 3, 6, 9 and 12 months forward premiums and the spot exchange return. Our empirical analysis is based on daily data from. Our daily analysis reveals the presence of high correlations between the unconditional EUR/USD forward exchange premiums at different horizons and the possible effect of asymmetric shocks on the conditional variance. The estimation results show that the dynamic conditional correlations have a relatively small and insignificant autoregressive effect, in addition to the existence of significant correlation sensitivity to shocks.

This paper aims to investigate the effect of financial analysts' recommendations on the overc... more This paper aims to investigate the effect of financial analysts' recommendations on the overconfidence and over or under-reaction to previous years' earnings, as well as their impact on investment decisions in the Tunisian stock market. Literature mostly turned out that a positive bias in analysts' forecasts overreacted to prior earnings changes. Our study is based on the assumption that overconfidence among analysts can be understood through the accuracy of their forecasts, but also it is detected by the way that analyst provides a clear recommendation or not. The analysis employs a panel regression models using annual and biannual data over the period 2010-2015. Empirical results show that analysts on the Tunisian stock market are too confident in their forecasts on average, and there is clearly an overall over-reaction to past earnings changes. However, self-confidence is greater for those forecasts that are equipped with a recommendation, when the over-reaction is gr...

International Journal of Economics and Financial Issues, 2016

This paper empirically examines the interdependence between the foreign exchange forward premiums... more This paper empirically examines the interdependence between the foreign exchange forward premiums and the spot exchange return through a multivariate generalized autoregressive conditional heteroskedasticity type framework. The purpose of this study is to test the correlation sensitivity to shocks and the to capture the dynamic links between the EUR/USD 1, 3, 6, 9 and 12 months forward premiums and the spot exchange return. Our empirical analysis is based on daily data from January 8, 1999 to January 8, 2016. Our daily analysis reveals the presence of high correlations between the unconditional EUR/USD forward exchange premiums at different horizons and the possible effect of asymmetric shocks on the conditional variance. The estimation results show that the dynamic conditional correlations have a relatively small and insignificant autoregressive effect, in addition to the existence of significant correlation sensitivity to shocks

International Journal of Economics and Financial Issues, 2021

The fragility of the European banking system in recent years has motivated us to research on the ... more The fragility of the European banking system in recent years has motivated us to research on the main indicators that weigh on the soundness of its banking institutions and therefore deserves special attention from supervisors. Our study is based on 40 consolidated banking groups from 10 countries in Europe. We used binary logistic regression as an econometric model. We introduced accounting, macroeconomic, regulatory, legal and institutional variables. The results of our study confirm that doubtful credit is the main variable contributing to the birth of the European banking crisis.

This study revisits the link between CEO Entrenchment and performance from a sample of 1.040 annu... more This study revisits the link between CEO Entrenchment and performance from a sample of 1.040 annual observations concerning 138 CEOs of French-listed firms for the 2000-2013 period. The effect of entrenchment, which seems to represent an illustration of the effectiveness of control mechanisms that CEOs are supposed to undergo within firms, reveals ambiguous findings. The financial woes, suffered by some firms such as France Telecom, Vivendi Universal and Eurotunnel testify to the magnitude of this inefficiency and usefulness to discuss corporate governance principles. The VIENOT reports 1 and 2 and the Bouton report have come forward presenting recommendations aimed at implement a system of corporate governance where moral ethics of different actors, confidence, transparency and respect for the interests of stakeholders are consistent. The purpose of this paper is thus to understand the impact of entrenchment on French firm performance. A key aspect of our study is the use of Nonlin...

International Journal of Accounting and Financial Reporting, 2020

The aim of this paper is to study the stability of the Islamic financial system. To do this, we a... more The aim of this paper is to study the stability of the Islamic financial system. To do this, we are interested in the scoring method and the volatility of stock market indices. The first empirical study includes all the components of the financial system, in particular, banks, insurance companies, leasing, factoring and investments companies. The results of this study suggest that, Islamic finance saw a loss of 0.014% of its stability score, in 2007, against 0.43% and 1.675% for conventional finance, respectively in 2007 and 2008. In contrast, during the period of the Arab revolutions only Islamic finance depreciated. In order to refine our research, we used the autoregressive conditional heteroscedasticit models to study the volatility of the DJ index and the DJIM index. The empirical results reveal that, the DJIM index is less volatile than the DJ index of emerging countries, Europe, Asia and the United States. However, the DJ Global Index is less volatile than the DJIM index, whi...

International Journal of Economics and Financial Issues, 2016

This paper empirically investigates the volatility dynamics of the EUR/USD forward premium via ge... more This paper empirically investigates the volatility dynamics of the EUR/USD forward premium via generalized autoregressive conditional heteroscedastic (GARCH-M) (1,1) and Glosten-Jagannathan-Runkle (GJR)-GARCH (1,1) and GJR-GARCH (1,1)-M models. Our empirical analysis is based on daily data related to the EUR/USD forward premiums. Our daily analysis reveals several results. Firstly, we confirm that the 9 month and 1 year forward premiums are explained in large part by their conditional variances. Secondly, according to the theoretical predictions of the asymmetric framework, we show that the conditional variances equations exhibit an asymmetry in the dynamics of the conditional variance only for the 9 months and 12 months horizons. Thirdly, for the 6 month, 9 month and 12 month forward premiums; the GJR-GARCH in mean effect is totally absent

International Journal of Economics and Financial Issues, 2017

This paper aims to investigate the effect of financial analysts’ recommendations on the overconfi... more This paper aims to investigate the effect of financial analysts’ recommendations on the overconfidence and over or under-reaction to previous years’ earnings, as well as their impact on investment decisions in the Tunisian stock market. Literature mostly turned out that a positive bias in analysts’ forecasts overreacted to prior earnings changes. Our study is based on the assumption that overconfidence among analysts can be understood through the accuracy of their forecasts, but also it is detected by the way that analyst provides a clear recommendation or not. The analysis employs a panel regression models using annual and bi-annual data over the period 2010-2015. Empirical results show that analysts on the Tunisian stock market are too confident in their forecasts on average, and there is clearly an overall over-reaction to past earnings changes. However, self-confidence is greater for those forecasts that are equipped with a recommendation, when the over-reaction is greater for t...

International Journal of Economics and Financial Issues, 2017

This paper examines the relationship between banking governance internal mechanisms and financial... more This paper examines the relationship between banking governance internal mechanisms and financial and stock market performance. To examine this relationship, we studied a sample of 11 Tunisian banks over the 2006-2013 period. Our aim is to identify the key governance variables that contribute to improving financial and market performance of Tunisian banks. The obtained results indicate that “good” governance practice codes contribute to better financial and market performance.

International Journal of Economics and Financial Issues, 2017

This paper empirically investigates the contribution of the term structure of the forward premium... more This paper empirically investigates the contribution of the term structure of the forward premium to explain the long memory behavior that can characterize the forward premium. We apply our empirical study on1-month, 3-month, 6-month, 9-month and 1-year forward premiums of the EUR/USD over 17 years with a daily frequency from 08 January 1999 to 08 January 2016. Therefore, we estimate the ARFIMA model by a semi-parametric method that is Geweke and Porter-Hudak (1983) and a parametric model namely the maximum likelihood method. The estimation results of long memory parameter confirm the persistence and the fractional dynamics of the forward premium. Moreover, both approaches are consistent when it is the case of 6, 9 and 12 months horizons. These findings bring into question the relevance of the term structure of the foreign exchange forward premium in the determination of the long memory attitude.

International Journal of Economics and Financial Issues, 2017

This paper examines the relationship between managers’ entrenchment, governance and financial and... more This paper examines the relationship between managers’ entrenchment, governance and financial and stock market performance of Tunisian banking institutions listed on the Tunis Stock Exchange (TSE). We first propose to model the level of managers’ theoretical entrenchment. Second, we examine a panel data to determine the relationship between the different internal banking governance mechanisms, including managers’ entrenchment, on banking performance. To this end, our study examines a sample of 11 Tunisian banks over a period stretching from the first half of 2006 to the second half of 2013.The results indicate that "good" governance practice codes of banking institutions often represent poor performance. On the other hand, managers’ theoretical entrenchment contributes to improving the financial performance of Tunisian banking institutions.

International Journal of Economics and Financial Issues, 2020

The aim of this paper is to study the stability of insurance companies. The majority of works on ... more The aim of this paper is to study the stability of insurance companies. The majority of works on this topic has focused on the determinants of financial stability. Therefore, they interested in the Z-score, focused on the ROA, as well as the panel method. Unlike previous work, we have formed a score made up of indicators of efficiency, effectiveness, profitability, solvency, productivity, investment and risk, as well as macroeconomic indicators. Our sample consists of 30 insurance companies, 15 of which are shariaa compatible. The choice of these companies is justified by their contribution to the total assets of the both types of finance. This selection method allowed us to have a global idea on the effectiveness, efficiency, risk and stability of the two insurance sectors. The analysis of the stability scores, determined using the scoring and logit transformation method, revealed that Islamic insurance companies are more stable than conventional insurance companies. From a risk perspective, Islamic insurance companies are less risky than conventional insurance companies. They lose, on average, 1.598% of their assets against 3.704% for conventional insurance companies. This observation related to three types of risk, namely; liquidity risk, market risk and credit risk. Furthermore, this empirical investigation revealed that takaful companies are not immune to the toxic funds of the crisis. Likewise, we note that Islamic insurance companies are sensitive to political shocks such as that of the Arab revolutions that took place in 2011.

International Journal of Economics and Finance, 2018

The governance practices and the value of the company have ancient origins but still relevant. Fa... more The governance practices and the value of the company have ancient origins but still relevant. Faced with economic, social and environmental upheavals, the Tunisian company is subject to contradictory injunctions and must redefine its role in society. Today there is a general consensus that governance has a significant impact on the value of the company. The areas on which governance can act to create value are many and varied and there can be no question of looking at them exhaustively. The purpose of this paper is to examine the impact of governance mechanisms on the value creation of Tunisian firms, particularly measured by total factor productivity. Based on a sample of 28 corporations listed on Tunisian stock market during the period 2008-2014, our study employs regression analysis to test the impact of governance mechanisms on firm value as measured by productivity. As predicted by the theory, empirical data show (i) that debts have a negative and significant effect on product...

EuroMed Journal of Business, 2019

Purpose The purpose of this paper is to detect quantitatively the existence of anchoring bias amo... more Purpose The purpose of this paper is to detect quantitatively the existence of anchoring bias among financial analysts on the Tunisian stock market. Both non-parametric and parametric methods are used. Design/methodology/approach Two studies have been conducted over the period 2010–2014. A first analysis is non-parametric, based on observations of the sign taking by the surprise of result announcement according to the evolution of earning per share (EPS). A second analysis uses simple and multiple linear regression methods to quantify the anchor bias. Findings Non-parametric results show that in the majority of cases, the earning per share variations are followed by unexpected earnings surprises of the same direction, which verify the hypothesis of an anchoring bias of financial analysts to the past benefits. Parametric results confirm these first findings by testing different psychological anchors’ variables. Financial analysts are found to remain anchored to the previous benefits ...

International Journal of Corporate Governance, 2018

This paper studies the relationship between systemic risk measures and internal governance mechan... more This paper studies the relationship between systemic risk measures and internal governance mechanisms of banking institutions and managers' entrenchment level. Our study examines a sample of 11 Tunisian listed banks over the 2006 to 2013 period. The aim is to determine systemic banks, the main governance internal mechanisms and managers' entrenchment level that contributed to attenuating or amplifying individual and overall systemic risk. The empirical results indicate that the internal governance mechanisms of banking institutions are positively associated with the long run marginal expected shortfall (LRMES), and that the presence of a risk management committee has no effect on the level of systemic risk incurred by banks. However, the regression on the LRMES and the firm's percentage of financial sector shortfall reveals that the respect of the norms of governance of the banking institutions leads to the minimisation of the individual contribution of the banks to the overall systemic risk of the Tunisian banking sector.

Journal of Economics, Finance and Administrative Science, 2018

Purpose The current study aims to investigate the impacts of two behavioral biases, namely, loss ... more Purpose The current study aims to investigate the impacts of two behavioral biases, namely, loss aversion and overconfidence on the performance of US companies. First, the impact of loss aversion on the economic performance of companies was assessed. Second, the impact of overconfidence on market performance was discussed. Design/methodology/approach This study used around 6,777 quarterly observations on the population of US-insured industrial and services companies over the 2006-2016 period. Ordinary least squares (OLS) regression in two panel data models were used to test the hypotheses formulated for the study. Findings It was documented that the loss-aversion bias negatively affects the economic performance of companies and this is achieved for both sectors. In contrast, the findings suggest that overconfidence positively affects market performance of industrial firms but negatively affects market performance in service firms. Further robust evidence was found that overconfidenc...

Review of Behavioral Finance, 2019

Purpose The purpose of this paper is to investigate the effect of forecast earnings’ revision on ... more Purpose The purpose of this paper is to investigate the effect of forecast earnings’ revision on the evolution of securities prices in the Tunisian stock market. Design/methodology/approach A portfolio study of investor reaction and stock prices following revisions is first conducted to highlight the existence of abnormal return related to analysts’ earnings revisions. Analysis is then supplemented by a second empirical investigation based on the panel data to quantify the effect of revision on the abnormal profitability of securities. Findings The evidence found in this paper validates the fundamental theoretical hypothesis according to which the psychological bias resulting from the effect of the forecast earnings revision is related to the abnormal profitability of the securities. The authors conclude the importance of the revision impact on investors’ behavior on one hand, and the informational content of the analysts’ forecasts and the biases which they lead on the other hand. ...

Cogent Business & Management, 2017

This paper treats the post-earnings announcement drift. Precisely, it revisits the benefits annou... more This paper treats the post-earnings announcement drift. Precisely, it revisits the benefits announcement effect using various measurements of surprise unexpected earnings. In addition, this work tries to explain the persistence of postearnings announcement drift on the financial markets using adapted methodology. The empirical study on the Tunisian stock market shows the persistence of the post-earnings announcement drift over the year 2013. It indicates that the observed post-earnings announcement drift seems to be due to the behavior of investors under psychological biases. This finding shows that the information provided by the prevision and revision of earnings forecasts is not immediately included in the price, but there is an anchoring bias in relation to the past earnings, as well as on the investor time of response to the new information provided by the market.