Siwar Ellouz - Academia.edu (original) (raw)

Papers by Siwar Ellouz

Research paper thumbnail of Working capital management, which impact on capital structure and corporate performance. Empirical evidence from Spain

International journal of governance and financial intermediation, Dec 31, 2022

Research paper thumbnail of Determinants of Financial Structure and Dividend Distribution Policy: Study of Tunisian No Financial Listed Companies

Social Science Research Network, Aug 26, 2019

On the basis of a sample of Tunisian non-financial listed companies between 2001-2014, following ... more On the basis of a sample of Tunisian non-financial listed companies between 2001-2014, following the multiple regression technique, our results allow us to show that the determinants of the financial structure can have a negative relationship proxies (the level of debt) or positive proxies (the profitability of the firm) with the dividend distribution policy. Admittedly, our results are not in line with our research assumptions and do not highlight the negative effect of the growth opportunity and the size of the company on the level of dividend distribution.

Research paper thumbnail of Survey of the Phenomenon of Overreaction and Underreaction on French Stock Market

Social Science Research Network, Mar 29, 2012

The hypothesis of financial market efficiency predicts that the stock prices show instantaneously... more The hypothesis of financial market efficiency predicts that the stock prices show instantaneously all the applicable information available on the market (Fama, 1970). If the market is efficient, and if the investors are neutral to the risk, then the stock prices are unpredictable. This paper studies the predictability of stock returns listed on the French stock market. The objective of this paper is to examine the nature of the phenomenon characterizing the behavior of the prices. It is about examining the phenomena of underreaction and overreaction on the French stock market during the period 1974-2004. If these two phenomena do not exist, then the stock prices follow a random walk. We adopt the methodology of De Bondt and Thaler (1985) for the construction of winning and losing portfolio and performed different econometric tests to study the phenomena of underreaction and overreaction. We find that the hypotheses of overreaction and underreaction are rarely significant. Therefore, we can say that the variation of stock returns is often unforeseeable which is based on the sets of ex post returns.

Research paper thumbnail of The Impact of Overconfidence Bias and Disposition Effect on the Volume of Transaction and the Volatility of the French Stock Market

RePEc: Research Papers in Economics, 2011

The volume of transaction varies according to several factors. Of a point of view of the behaviou... more The volume of transaction varies according to several factors. Of a point of view of the behavioural finance, a high level of this last can be assigned to a phenomenon of overconfidence or a disposition effect. This paper studies these two phenomena as well as the one of the asymmetry of the volatility on the French stock market. The objective of this paper is to introduce explanations of the behavioural finance in the sources of variation of the transaction volumes. The adopted methodology is based on VAR analyses, T-GARCH regressions and time series regressions.Trading volume, return, overconfidence, disposition effect, volatility, French stock market

Research paper thumbnail of Momentum Effect of Stocks with High and Low Performance on the French Market

Social Science Research Network, Aug 23, 2012

Researches on the momentum effect are generally effectuated on aggregated portfolios consisting o... more Researches on the momentum effect are generally effectuated on aggregated portfolios consisting of both high and low performance stocks. This paper looks for the differences in the momentum effect at the firm level, through stocks with high and low performance, using the FMOLS method. This method allows the returns of high and low performance stocks to respond differently to the momentum effect through the different quintiles of the stock returns. Using data of the stocks in the French market for the period April 1994-March 2004, it is found that the momentum effect of the stocks with high (low) performance is positive (negative). The results explain that the mixed results found in the literature are presumably due to aggregation of stocks with high and low performance.

Research paper thumbnail of Do Hofstede’s cultural dimensions moderate the CSR-firm performance relationship before and during the COVID-19 crisis?

Global knowledge, memory and communication, Apr 29, 2024

Research paper thumbnail of Asset pricing and predictability of stock returns in the french market

RePEc: Research Papers in Economics, Sep 24, 2007

This paper studies the predictability of returns in the French stock market. It provides an analy... more This paper studies the predictability of returns in the French stock market. It provides an analysis of predictable components of monthly common stock returns. We study a single-beta conditional model and we show that stock market risk premium is variable over the time and is important for capturing predictable variations of stock returns. We find also that the expected excess returns on small and medium capitalization stocks are more sensitive to changes in the predetermined variables such as dividend yields, default spread and term spread, than expected excess returns on large capitalization stocks.

Research paper thumbnail of The Impact of Overconfidence Bias and Disposition Effect on the Volume of Transaction and the Volatility of the French Stock MARKET1

Journal of Applied Economic Sciences, 2011

The volume of transaction varies according to several factors. Of a point of view of the behaviou... more The volume of transaction varies according to several factors. Of a point of view of the behavioural finance, a high level of this last can be assigned to a phenomenon of overconfidence or a disposition effect. This paper studies these two phenomena as well as the one of the asymmetry of the volatility on the French stock market. The objective of this paper is to introduce explanations of the behavioural finance in the sources of variation of the transaction volumes. The adopted methodology is based on VAR analyses, T-GARCH regressions and time series regressions

Research paper thumbnail of Asset Pricing and Contingent States

Social Science Research Network, May 25, 2011

With the objective of understanding the human behavior to better value the financial assets, we t... more With the objective of understanding the human behavior to better value the financial assets, we try in this paper to introduce a conditional asset pricing model in the states of nature present in the market. This constitutes an application of prospect theory that tests the main hypotheses. Our survey includes two important subjects. The first focuses on studying human behavior through the prospect theory; and the second consists in developing a Capital Asset Pricing Model (CAPM) in four states of nature. This model permits a better explanation of stock returns on the French market and represents a way to test some hypotheses of prospect theory.

Research paper thumbnail of Modeling the Subscription Ratio and IPO Returns Non-Linear Relationship: Evidence from the Tunisian Stock Market

International Journal of Economics and Financial Issues

To capture the herd behavior of IPO investors, the relationship binding IPO underpricing and the ... more To capture the herd behavior of IPO investors, the relationship binding IPO underpricing and the subscription ratio is often assumed to represent a straight line in the relevant literature, due mainly to recurrent general linear modeling in the data analysis process. In Tunisia, however, and following the subscription result declaration, all IPOs are usually met with noticeable success owing to over subscription issues, resulting in persistent herd behavior. In this context, the present paper is deigned to highlight how Tunisian investors tend to mimic each other on setting out to make trading decisions. More particularly, we attempt to specify the non-linear relationship binding the subscription ratio and IPO returns within a quantile regression, highlighting the investors’ noticeable sensitivity to high subscription, thereby, easily inducing the spread of herd behavior and increasing IPO returns.

Research paper thumbnail of Characteristics of the Board of Directors and the Policy of Dividend Distribution: Study of Tunisian Non-Financial Listed Companies

SSRN Electronic Journal, 2019

In a context of the Tunisian non-financial listed companies between 2001-2014. Our results show a... more In a context of the Tunisian non-financial listed companies between 2001-2014. Our results show a positive effect between the characteristics of the board of directors proxies (the size of the board of directors, the remuneration of the leader and the duration of the meetings of the board of directors) and the policy of dividend distribution in a context of Tunisian non-financial listed companies. In the same way, our empirical work do not make it possible to highlight a positive effect between the independence of members of the board of directors and the level of dividend distribution. On the other hand, our results of the estimate do not enable us to highlight the existence of a negative effect between the number of board meetings and the share of capital held by the leader and the policy of dividends distribution in the same context of Tunisian.

Research paper thumbnail of Leader’s Social Relationship and the Policy of Dividend Distribution: Study of Tunisian Non-Financial Listed Companies

SSRN Electronic Journal, 2019

In an attempt to examine the influence of the leader's social relation on dividend distributi... more In an attempt to examine the influence of the leader's social relation on dividend distribution policy in a context of listed non-financial Tunisian firms, a multiple linear model is constructed in a period stretching between 2001-2014.Thus, our empirical study is based on the estimation of a single model by following the multiple linear regression technique (Panel).<br><br>Our results of the estimate of our model show a positive effect between the Leader's social relationship and the policy of dividend distribution in a context of the Tunisian non-financial listed companies.<br>

Research paper thumbnail of Incidence of Characteristics of the Board of Directors on the Policy of Dividend Distribution: Study of Tunisian Non-Financial Listed Companies

SSRN Electronic Journal, 2019

The objective of this paper is to study the effect of the characteristics of the board of directo... more The objective of this paper is to study the effect of the characteristics of the board of directors on the policy of dividend distribution in a context of the Tunisian non-financial listed companies between 2001- 2014. Thus, our empirical study is based on the estimation of a single model by following the technique of multiple linear regression (Panel).<br><br>Our results show a positive effect between the characteristics of the board of directors proxies {the size of the board of directors, the remuneration of the leader and the duration of the meetings of the board of directors} and the policy of dividend distribution in a context of Tunisian non-financial listed companies. In the same way, our empirical work do not make it possible to highlight a positive effect between the independence of members of the board of directors and the level of dividend distribution. On the other hand, our results of the estimate do not enable us to highlight the existence of a negative effect between the number of board meetings and the share of capital held by the leader and the policy of dividends distribution in the same context of Tunisian.<br>

Research paper thumbnail of Nonlinear causality between CSR and firm performance using NARX model: evidence from France

Journal of sustainable finance & investment, Aug 22, 2022

Research paper thumbnail of Determinants of IPO stock market liquidity in a small emerging economy

SN Business & Economics

Research paper thumbnail of Variation de risque mondial, local et de change sur les marches boursiers

Journal of Academic Finance

Objectif : étudier l’importance des risques mondiaux, locaux et de change Méthode : MEDAFI et D... more Objectif : étudier l’importance des risques mondiaux, locaux et de change Méthode : MEDAFI et DCC-GARCH Résultats : le risque mondial, local et de change sont évalués et varient dans le temps. Le prix du risque local sur le marché boursier émergent ne varie pas dans le temps par rapport au marché mondial, mais varie dans le temps par rapport au marché émergent. Originalité / pertinence : Etudier l'évolution de risque global, local et de change sur une longue période et mettre en œuvre plusieurs processus pour estimer le CAPM, comme un modèle multivarié GARCH-DCC. Mots-clés : risque de change, risque global, risque local et DCC-GARCH.

Research paper thumbnail of Time-varying global, local and currency risk in emerging stock markets

Zenodo (CERN European Organization for Nuclear Research), Dec 31, 2022

Research paper thumbnail of Special Underwriter-Reputation Measuring Method From a Small Emerging Economy

International Journal of Financial Research

Owing to the lack of an underwriter-reputation ranking system fit for the Tunisian context, we un... more Owing to the lack of an underwriter-reputation ranking system fit for the Tunisian context, we undertake to set up an alternative underwriter-reputation special proxy, based on the length of the period ranging from the issue closing date to the beginning of the exchange-trading listing date.

Research paper thumbnail of Integration and Informational Efficiency for Local and Regional Equity Markets During the Subprime Crisis

Research paper thumbnail of Nonlinear causality between CSR and firm performance using NARX model: evidence from France

Journal of Sustainable Finance & Investment

Research paper thumbnail of Working capital management, which impact on capital structure and corporate performance. Empirical evidence from Spain

International journal of governance and financial intermediation, Dec 31, 2022

Research paper thumbnail of Determinants of Financial Structure and Dividend Distribution Policy: Study of Tunisian No Financial Listed Companies

Social Science Research Network, Aug 26, 2019

On the basis of a sample of Tunisian non-financial listed companies between 2001-2014, following ... more On the basis of a sample of Tunisian non-financial listed companies between 2001-2014, following the multiple regression technique, our results allow us to show that the determinants of the financial structure can have a negative relationship proxies (the level of debt) or positive proxies (the profitability of the firm) with the dividend distribution policy. Admittedly, our results are not in line with our research assumptions and do not highlight the negative effect of the growth opportunity and the size of the company on the level of dividend distribution.

Research paper thumbnail of Survey of the Phenomenon of Overreaction and Underreaction on French Stock Market

Social Science Research Network, Mar 29, 2012

The hypothesis of financial market efficiency predicts that the stock prices show instantaneously... more The hypothesis of financial market efficiency predicts that the stock prices show instantaneously all the applicable information available on the market (Fama, 1970). If the market is efficient, and if the investors are neutral to the risk, then the stock prices are unpredictable. This paper studies the predictability of stock returns listed on the French stock market. The objective of this paper is to examine the nature of the phenomenon characterizing the behavior of the prices. It is about examining the phenomena of underreaction and overreaction on the French stock market during the period 1974-2004. If these two phenomena do not exist, then the stock prices follow a random walk. We adopt the methodology of De Bondt and Thaler (1985) for the construction of winning and losing portfolio and performed different econometric tests to study the phenomena of underreaction and overreaction. We find that the hypotheses of overreaction and underreaction are rarely significant. Therefore, we can say that the variation of stock returns is often unforeseeable which is based on the sets of ex post returns.

Research paper thumbnail of The Impact of Overconfidence Bias and Disposition Effect on the Volume of Transaction and the Volatility of the French Stock Market

RePEc: Research Papers in Economics, 2011

The volume of transaction varies according to several factors. Of a point of view of the behaviou... more The volume of transaction varies according to several factors. Of a point of view of the behavioural finance, a high level of this last can be assigned to a phenomenon of overconfidence or a disposition effect. This paper studies these two phenomena as well as the one of the asymmetry of the volatility on the French stock market. The objective of this paper is to introduce explanations of the behavioural finance in the sources of variation of the transaction volumes. The adopted methodology is based on VAR analyses, T-GARCH regressions and time series regressions.Trading volume, return, overconfidence, disposition effect, volatility, French stock market

Research paper thumbnail of Momentum Effect of Stocks with High and Low Performance on the French Market

Social Science Research Network, Aug 23, 2012

Researches on the momentum effect are generally effectuated on aggregated portfolios consisting o... more Researches on the momentum effect are generally effectuated on aggregated portfolios consisting of both high and low performance stocks. This paper looks for the differences in the momentum effect at the firm level, through stocks with high and low performance, using the FMOLS method. This method allows the returns of high and low performance stocks to respond differently to the momentum effect through the different quintiles of the stock returns. Using data of the stocks in the French market for the period April 1994-March 2004, it is found that the momentum effect of the stocks with high (low) performance is positive (negative). The results explain that the mixed results found in the literature are presumably due to aggregation of stocks with high and low performance.

Research paper thumbnail of Do Hofstede’s cultural dimensions moderate the CSR-firm performance relationship before and during the COVID-19 crisis?

Global knowledge, memory and communication, Apr 29, 2024

Research paper thumbnail of Asset pricing and predictability of stock returns in the french market

RePEc: Research Papers in Economics, Sep 24, 2007

This paper studies the predictability of returns in the French stock market. It provides an analy... more This paper studies the predictability of returns in the French stock market. It provides an analysis of predictable components of monthly common stock returns. We study a single-beta conditional model and we show that stock market risk premium is variable over the time and is important for capturing predictable variations of stock returns. We find also that the expected excess returns on small and medium capitalization stocks are more sensitive to changes in the predetermined variables such as dividend yields, default spread and term spread, than expected excess returns on large capitalization stocks.

Research paper thumbnail of The Impact of Overconfidence Bias and Disposition Effect on the Volume of Transaction and the Volatility of the French Stock MARKET1

Journal of Applied Economic Sciences, 2011

The volume of transaction varies according to several factors. Of a point of view of the behaviou... more The volume of transaction varies according to several factors. Of a point of view of the behavioural finance, a high level of this last can be assigned to a phenomenon of overconfidence or a disposition effect. This paper studies these two phenomena as well as the one of the asymmetry of the volatility on the French stock market. The objective of this paper is to introduce explanations of the behavioural finance in the sources of variation of the transaction volumes. The adopted methodology is based on VAR analyses, T-GARCH regressions and time series regressions

Research paper thumbnail of Asset Pricing and Contingent States

Social Science Research Network, May 25, 2011

With the objective of understanding the human behavior to better value the financial assets, we t... more With the objective of understanding the human behavior to better value the financial assets, we try in this paper to introduce a conditional asset pricing model in the states of nature present in the market. This constitutes an application of prospect theory that tests the main hypotheses. Our survey includes two important subjects. The first focuses on studying human behavior through the prospect theory; and the second consists in developing a Capital Asset Pricing Model (CAPM) in four states of nature. This model permits a better explanation of stock returns on the French market and represents a way to test some hypotheses of prospect theory.

Research paper thumbnail of Modeling the Subscription Ratio and IPO Returns Non-Linear Relationship: Evidence from the Tunisian Stock Market

International Journal of Economics and Financial Issues

To capture the herd behavior of IPO investors, the relationship binding IPO underpricing and the ... more To capture the herd behavior of IPO investors, the relationship binding IPO underpricing and the subscription ratio is often assumed to represent a straight line in the relevant literature, due mainly to recurrent general linear modeling in the data analysis process. In Tunisia, however, and following the subscription result declaration, all IPOs are usually met with noticeable success owing to over subscription issues, resulting in persistent herd behavior. In this context, the present paper is deigned to highlight how Tunisian investors tend to mimic each other on setting out to make trading decisions. More particularly, we attempt to specify the non-linear relationship binding the subscription ratio and IPO returns within a quantile regression, highlighting the investors’ noticeable sensitivity to high subscription, thereby, easily inducing the spread of herd behavior and increasing IPO returns.

Research paper thumbnail of Characteristics of the Board of Directors and the Policy of Dividend Distribution: Study of Tunisian Non-Financial Listed Companies

SSRN Electronic Journal, 2019

In a context of the Tunisian non-financial listed companies between 2001-2014. Our results show a... more In a context of the Tunisian non-financial listed companies between 2001-2014. Our results show a positive effect between the characteristics of the board of directors proxies (the size of the board of directors, the remuneration of the leader and the duration of the meetings of the board of directors) and the policy of dividend distribution in a context of Tunisian non-financial listed companies. In the same way, our empirical work do not make it possible to highlight a positive effect between the independence of members of the board of directors and the level of dividend distribution. On the other hand, our results of the estimate do not enable us to highlight the existence of a negative effect between the number of board meetings and the share of capital held by the leader and the policy of dividends distribution in the same context of Tunisian.

Research paper thumbnail of Leader’s Social Relationship and the Policy of Dividend Distribution: Study of Tunisian Non-Financial Listed Companies

SSRN Electronic Journal, 2019

In an attempt to examine the influence of the leader's social relation on dividend distributi... more In an attempt to examine the influence of the leader's social relation on dividend distribution policy in a context of listed non-financial Tunisian firms, a multiple linear model is constructed in a period stretching between 2001-2014.Thus, our empirical study is based on the estimation of a single model by following the multiple linear regression technique (Panel).<br><br>Our results of the estimate of our model show a positive effect between the Leader's social relationship and the policy of dividend distribution in a context of the Tunisian non-financial listed companies.<br>

Research paper thumbnail of Incidence of Characteristics of the Board of Directors on the Policy of Dividend Distribution: Study of Tunisian Non-Financial Listed Companies

SSRN Electronic Journal, 2019

The objective of this paper is to study the effect of the characteristics of the board of directo... more The objective of this paper is to study the effect of the characteristics of the board of directors on the policy of dividend distribution in a context of the Tunisian non-financial listed companies between 2001- 2014. Thus, our empirical study is based on the estimation of a single model by following the technique of multiple linear regression (Panel).<br><br>Our results show a positive effect between the characteristics of the board of directors proxies {the size of the board of directors, the remuneration of the leader and the duration of the meetings of the board of directors} and the policy of dividend distribution in a context of Tunisian non-financial listed companies. In the same way, our empirical work do not make it possible to highlight a positive effect between the independence of members of the board of directors and the level of dividend distribution. On the other hand, our results of the estimate do not enable us to highlight the existence of a negative effect between the number of board meetings and the share of capital held by the leader and the policy of dividends distribution in the same context of Tunisian.<br>

Research paper thumbnail of Nonlinear causality between CSR and firm performance using NARX model: evidence from France

Journal of sustainable finance & investment, Aug 22, 2022

Research paper thumbnail of Determinants of IPO stock market liquidity in a small emerging economy

SN Business & Economics

Research paper thumbnail of Variation de risque mondial, local et de change sur les marches boursiers

Journal of Academic Finance

Objectif : étudier l’importance des risques mondiaux, locaux et de change Méthode : MEDAFI et D... more Objectif : étudier l’importance des risques mondiaux, locaux et de change Méthode : MEDAFI et DCC-GARCH Résultats : le risque mondial, local et de change sont évalués et varient dans le temps. Le prix du risque local sur le marché boursier émergent ne varie pas dans le temps par rapport au marché mondial, mais varie dans le temps par rapport au marché émergent. Originalité / pertinence : Etudier l'évolution de risque global, local et de change sur une longue période et mettre en œuvre plusieurs processus pour estimer le CAPM, comme un modèle multivarié GARCH-DCC. Mots-clés : risque de change, risque global, risque local et DCC-GARCH.

Research paper thumbnail of Time-varying global, local and currency risk in emerging stock markets

Zenodo (CERN European Organization for Nuclear Research), Dec 31, 2022

Research paper thumbnail of Special Underwriter-Reputation Measuring Method From a Small Emerging Economy

International Journal of Financial Research

Owing to the lack of an underwriter-reputation ranking system fit for the Tunisian context, we un... more Owing to the lack of an underwriter-reputation ranking system fit for the Tunisian context, we undertake to set up an alternative underwriter-reputation special proxy, based on the length of the period ranging from the issue closing date to the beginning of the exchange-trading listing date.

Research paper thumbnail of Integration and Informational Efficiency for Local and Regional Equity Markets During the Subprime Crisis

Research paper thumbnail of Nonlinear causality between CSR and firm performance using NARX model: evidence from France

Journal of Sustainable Finance & Investment