Abderrazak Dhaoui

What Does Matter in Economy Today: Between Rationality and Animal Spirits

This paper provides the first evidence for empirical test of the effect of rational expectations as well as behavioral biases including among others animal spirits such as defined by Akerlof and Shiller (2009) on the variability of trading. Using a data for five international capital markets in developed countries we find that the hypothesis of rationality losses of significance and cannot explain the evolution of trading. Economy is however driven by behavioral biases including more especially animal spirits.

Investor emotional biases and trading volume’s asymmetric response: A non-linear ARDL approach tested in S&P500 stock market

Abstract This paper investigates the dynamic linkages between trading volume and investors sentiments for the S&P500 stock exchange. Two sentiment indicators are considered, the overconfidence and the net optimism-pessimism indicator. Non-linear dynamic approach, namely the asymmetric autoregressive distributed lag (NARDL) model is used to capture the long-term and short-term non-linear connections between the investor sentiment and the stock market liquidity. Empirical findings suggested an asymmetric long-term market liquidity reaction to investor sentiment. In the short-term, the stock market liquidity react rapidly and asymmetrically to changes in overconfidence sentiment, while the optimism and pessimism sentiment has insignificant short-term impact on trading volume.

The Relationship Profitability-Trade Volume: Dynamism of Overconfidence in the Context of the Tunisian Market (La Relation Rentabilité-Volume des Transactions: Dynamisme de la Sur-Confiance Dans le Contexte du Marché Tunisien) (French)

The present study tests the effect of overconfidence sentiment on the evolution of the trade volume. The results seem to confirm the overconfidence assumption. The historical series of success incite Tunisian investors to act in an aggressive way to increase their trade volume. They over-estimate their private information and underestimate the public one. They constitute, accordingly, unnecessarily risky portfolios because of an unjustified under-diversification strategy. The results show, at the same time, the absence of an effect of positive-feedback on the Tunisian market, which constitutes a strong argument against the assumption of efficiency. La presente etude teste les effets des biais de sur-confiance sur l’evolution des volumes de transaction. Les resultats semblent confirmer l’hypothese de sur-confiance. Les series de succes historiques poussent les investisseurs tunisiens a agir de maniere agressive en augmentant leur volume d’echange. Ils surestiment leur information privee et sous-evaluent les informations publiques. Ils constituent ainsi, des portefeuilles inutilement risques a cause d’une sous-diversification injustifiee. Les resultats montrent, en meme temps, l’absence d’un effet de positif feedback sur le marche tunisien, ce qui constitue un argument fort contre l’hypothese d’efficience.

What Does Matter in R&D Decentralization: Financial Performance Worry or Intensive Earnings Management?

This paper examines whether R&D decentralization influences performance. It examines also the impact of this decentralization on earnings management. To specify what does matter in the decentralization of the R&D we try to examine the relationship between centralization or decentralization of the R&D and the firm’s performance on one hand and the earnings management as measured by discretionary accruals on the other hand. We integrate two internal finance indexes (internal cash flows, internal market capital) and two mechanism of governance (stock-options, institutional investors) to examine the factors which can likely influence the centralization or the decentralization of the R&D. Using a sample of 160 U.S. MNCs over the 2001-2006 period we have shown that MNCs decentralize their R&D for dual goal: to improve profitability and to manage earnings. We have also found that although they have significantly positive effects on performance, institutional shareholders and performance-based compensation encourage managers to decentralize their R&D in order to spur their opportunistic behavior.

Reasons of R&D Decentralization: Between Performance and Earnings Management (Les Raisons De La Décentralisation De La R&D Dans Les Fmn: Entre Le Souci De La Performance Et La Gestion Des Résultats?)

This paper examines whether the decentralization of R&D influences performance as it can, through its effects on technical learning, bankruptcy risk management and adapting product to local demand, improve the production process and the quality of the product and influences positively firm’s incomes and consequently financial performance. It examines also the same effect on earning management as it increases informational asymmetry and spurs opportunistic behavior as measured approximately by discretionary accruals. Using a sample of 160 U.S. FMC over the 2001-2006 period, we have shown that MNC decentralize their R&D for dual goal: to improve profitability and to manage earnings. We have also found that although they have significantly positive effect on performance, institutional shareholders and performance based compensation encourage managers to decentralize their R&D in order to spur their opportunistic behavior.Ce papier examine les effets de la decentralisation de la R&D sur la performance dans la mesure ou elle peut a travers ses effets en matiere d’apprentissage technique, de gestion de risque de faillite et d’adaptation des produits a la demande locale, ameliorer le processus de production et la qualite des produits et influencer positivement les resultats et en consequence la performance financiere, et sur la gestion des resultats dans la mesure ou elle peut aggraver les asymetries informationnelles et preparer un terrain fertiles aux manipulations comptables. A partir d’un echantillon compose de 160 FMN americaines sur la periode 2001-2006, nous avons montre que la decentralisation de la R&D est realisee dans le double objectif d’ameliorer la rentabilite et celui de gerer les resultats. Nous avons montre egalement que malgre qu’ils exercent des effets significativement positifs sur la performance, la participation des investisseurs institutionnels dans le capital et la remuneration par les stock-options incitent les dirigeants a decentraliser leur R&D afin de preparer un terrain fertiles aux manipulations comptables.