1 n May, July 2015 ISSN euros revue-banque.fr an academic and professional review Double Issue 2013 Paris Financial Management Conference Guest editor : Sabri BOUBAKER, Groupe ESC Troyes (Champagne School of Management) Troyes, France, and IRG, Paris Est, Créteil, France 5 Does Corporate Social Responsibility Have an Impact on Financing Decisions? Guillaume PIJOURLET, Université Clermont Auvergne, Université d Auvergne, EA3849, CRCGM 20 New Insights on Corporate Social Responsibility and Country-level Institutions in Western Europe Karim BEN KHEDIRI, CEROS, Université Paris Ouest Nanterre La Défense, France College of Administrative Sciences, Najran University, KSA and FSEG Nabeul, University of Carthage, Tunisia Souad LAJILI JARJIR, Université Paris-Est, IRG (EA 2354), UPEC, F-94010, Créteil, France 42 Consequences of Voluntary Stock Exchange Section Switching on Stocks Price, Liquidity and Volatility Abdoul K. CISSÉ, ISG International Business School (GrIIsG) and CNRS (EUROFIDAI) Patrice FONTAINE, CNRS (EUROFIDAI) and Léonard de Vinci Pôle Universitaire, Finance Lab, Paris La Défense, France 64 International CAPM and Oil Price: Evidence from Selected OPEC Countries Anna CRETI, LeDa, Université Paris Dauphine, France & École Polytechnique Khaled GUESMI, IPAG Business School, IPAG Lab 80 On the Dynamic Dependence between US and other Developed Stock markets: An Extreme-value Time-varying Copula Approach Heni BOUBAKER and Nadia SGHAIER, IPAG Business School In partnership with Association française de finance
2 Instructions to Authors Editorial line Bankers, Markets and Investors aims at publishing short and innovative research articles in the areas of banking, financial markets and investment with relevant practical application for investors. The purpose of the journal is to create a bridge between academics and professionals, by publishing articles that have direct relevance to those working in the investment field. We seek short articles, forward looking and rigorous, written in a style accessible to professional readership. The themes of the journal include the following: portfolio choice, investment management, institutional investors (pension funds, sovereign wealth funds, insurance, mutual funds ), individual investors and household finance, behavioral finance, alternative investments (hedge funds, private equity ), derivatives and structured finance, liquidity and transaction costs, socially responsible investment, funds and corporate governance, regulation and financial risk management. Strategic Committee Francis Candylaftis, BNPP Investment Partners Bernard Dumas, INSEAD Thierry Foucault, HEC René Karsenti, ICMA Denis Kessler, Scor André Levy-Lang, Paris Dauphine University Bertrand de Mazières, EIB Theo Nijman, Tilburg University Tom Steenkamp, Robeco Mike Wright, Imperial College Business School Submission information Any manuscript submitted for review must be original and not currently submitted for publication in another journal. Articles should be less than 20 pages double spaced (ideally 15 pages including graphs and notes). Shorter articles are also welcomed. Authors should provide an abstract of no more than 150 words. Research published should be of interest to a sophisticated readership of investment practitioners and academics interested in practice-oriented type of research. Articles should be written in a style accessible to professional readership. Theoretical developments should as much as possible be relatively limited in the text (only the main results should be presented, details of the demonstrations should be left in the appendix). An empirical application of the results is encouraged. Two versions of the manuscript (blind and with author s names) should be sent to revue-banque.fr Editorial board Managing Editor: Marie Brière, Amundi, Paris Dauphine University, Université Libre de Bruxelles Founding editor: Jean-François Boulier, Aviva Sanvi Avouyi-Dovi, Banque de France Philippe Bertrand, IAE Aix and Kedge Business School Bruno Biais, TSE Zvi Bodie, Boston University Alain Chevalier, ESCP Europe Philippe Desbrières, IAE Dijon Nicole El Karoui, École Polytechnique Antoine Frachot, GENES, ENSAE Edith Ginglinger, Paris Dauphine University Christian Gourieroux, CREST, Toronto University Ulrich Hege, HEC Monique Jeanblanc, Evry University Lionel Martellini, Edhec Kim Oosterlinck, ULB Patrice Poncet, Essec Sébastien Pouget, TSE Flavio Pressacco, Udine University François Quittard-Pinon, EM Lyon Michael Rockinger, HEC Lausanne Luc Renneboog, Tilburg University Ronnie Sadka, Boston College Stephen Schaefer, LBS Ariane Szafarz, ULB Nizar Touzi, École Polytechnique Bas Werker, Tilburg University Bankers, Markets & Investors 18 rue La Fayette Paris revue-banque.fr/bankers-markets-investors Managing Director: Valérie Ohannessian General Secretary: Pierre Coustols Subediting: Alain de Seze (54 17) ; Christine Hauvette (54 10); Emmanuel Gonzalez (54 12) ; Alexandra Démétriadis (54 18) and DESK Subscription: REVUE BANQUE 18, rue La Fayette Paris Gladys Hypolite Tel. : Fax : CPPAP n 0618 T Printer: BIALEC (Nancy, France) Copyright Bankers, Markets & Investors 2015 According to French Law (loi du 11 mars 1957 sur la propriété artistique et littéraire) no part of Bankers, Markets & Investors articles may be reproduced in any form or by any means without prior written permission of Revue Banque SARL.
5 Editorial Double Issue 2013 Paris Financial Management Conference (PFMC) T he Paris Financial Management Conference (PFMC) is a two-day conference that aims to bring together academics, practitioners and policymakers sharing interests in financial management and financial markets. It also provides a forum for presenting new research results as well as discussing current major finance issues that the world economies face. The first edition of this yearly event took place on the 16 th and the 17 th of December The 2013 PFMC Conference, hosted by the IPAG Business School (Paris Campus), attracted 312 submissions and only 120 papers were accepted for presentation in over 30 parallel sessions, based on a rigorous selection process by the conference co-chairs in collaboration with the members of the Scientific Committee. Among the papers presented, 21 papers were submitted to the special issue of Bankers, Markets and Investors (BMI). After an editorial screening-review, 10 papers were sent out for peer-review and underwent the normal journal reviewing process, and 5 out of them have been accepted for publication. The five papers in this double issue, each making distinctive contribution to the literature, coarsely cover three important research areas, namely corporate social responsibility (CSR), market microstructure, and stock market integration. The paper by Guillaume Pijourlet (p. 5 to 19) uses a large cross-country dataset to examine the effect of CSR on capital structure and the size of equity issuances. Karim Ben Khediri and Souad Lajili Jarjir (p. 20 to 40) investigate in their paper the effect of country-level institutional factors on corporate social performance in Western European economies. Abdoul. K. Cissé and Patrice Fontaine (p. 42 to 62) study the market reactions in terms of price, liquidity and volatility around a voluntary market section switching from a non (or less) regulated compartment to a more regulated one of the French stock market. The paper by Anna Creti and Khaled Guesmi (p. 64 to 78) looks at the dynamics of the global integration process of the largest OPEC oil-exporting countries into the world market. Finally, Heni Boubaker and Nadia Sghaier (p. 80 to 93) examine in their study the dynamic dependence structure between the US and four developed stock markets (France, Germany, Japan, and the United Kingdom). Guest editor SABRI BOUBAKER Associate Professor Groupe ESC Troyes (Champagne School of Management), Troyes, France Research fellow IRG, Paris Est, Créteil, France In closing, I would like to express my gratitude to the Editor-in-Chief, Marie Brière, not only for providing me the opportunity to assemble this collection of high-quality papers in a special issue of BMI but also for advising and helping me during the editorial process. I am also thankful to the anonymous reviewers for their time and efforts in providing insightful comments and suggestions that were particularly valuable in improving the quality of the manuscripts. My thanks also go to Christine Hauvette for her helpful assistance during the entire editorial process. Last but not least, special thanks should go to all authors for submitting their articles for publication. I hope that readers will find these articles interesting and enjoy reading them as much as I enjoyed editing them. bankers, markets & investors n may, july
6 Abstracts Does Corporate Social Responsibility Have an Impact on Financing Decisions? 5 Guillaume PIJOURLET, Université Clermont Auvergne, Université d Auvergne, EA3849, CRCGM This paper examines whether corporate social responsibility (CSR) performance affects (i) capital structure and (ii) the size of equity issuances. Using a worldwide dataset of 6,589 firm-year observations, we find that (i) CSR performance negatively affects firms leverage. We also show that (ii) high CSR firms issue a larger volume of equity and that such firms are less dependent on market conditions for their equity issuances. Overall, our results reveal that firms take into account the financial consequences of implementing CSR policies in their financing decisions. JEL Codes: G32; M14. Keywords: Corporate Social Responsibility; Capital Structure; Market Timing Theory; Information Asymmetry. New Insights on Corporate Social Responsibility and Country-level Institutions in Western Europe 20 Karim BEN KHEDIRI, CEROS, Université Paris Ouest Nanterre La Défense, France College of Administrative Sciences, Najran University, KSA and FSEG Nabeul, University of Carthage, Tunisia Souad LAJILI JARJIR, Université Paris-Est, IRG (EA 2354), UPEC, F-94010, Créteil, France We investigate the relationship between Corporate Social Performance (CSP) and countrylevel institutions for a sample of Western European firms from 13 countries over the period 2003 to We consider five different institutional factors and distinguish two categories of measures: country s quality of legal institutions and laws protecting shareholder rights. Our results show that firms from countries with better institutional environment are more likely to engage in CSR activities, supporting both the prominent role of institutional environment in explaining CSP variation across firms and the CSR-value enhancing view. Moreover, both country s quality of legal institutions and laws protecting shareholders rights explain scores on four domains: Environment, Corporate Governance, Human Resources and Human Rights. However, Business Behavior domain is only related to an indicator measuring laws protecting shareholders rights. Community Involvement is related to the quality of legal institutions in the country. Finally, we show that CSP is negatively affected by leverage and positively affected by firm size. However, CSP is not related to firm profitability. JEL Codes: G11; G12; G32; G34; M14. Keywords: Corporate Social Responsibility (CSR); Environmental; Social And Governance (Esg) Considerations; Firm Value; Stakeholders; Investor Protection; Institutions. Consequences of Voluntary Stock Exchange Section Switching on Stocks Price, Liquidity and Volatility 42 Abdoul K. CISSÉ, ISG International Business School (GrIIsG) and CNRS (EUROFIDAI) Patrice FONTAINE, CNRS (EUROFIDAI) and Léonard de Vinci Pôle Universitaire, Finance Lab, Paris La Défense, France. The decision to switch stock exchange section is an important, but one of the least studied questions in the litterature. especially for voluntary transfer decisions. Managers believe that switching the trading compartment of their common stocks to a more important one creates value for their firms by improving visibility, stocks liquidity and raising capital at lower cost. In this article, we examine market reactions around trading compartment switchings. The results, in general, indicate a positive market reaction around the transfer announcement and an improvement of stock liquidity after that date. However, the market reaction weakens significantly after admission to the new stock exchange section. Our findings also reveal a link between stock price reaction to a compartment transfer and the pre-transfer liquidity level. Finally, we highlight that compartment transfer reduces volatility of switching stocks, owing to the decrease in the firm-specific risk rather than the systematic risk. JEL Codes: G12; G14. Keywords: Market Section Transfer; Price Reaction; Liquidity Effect; Information Asymmetry; Event Study. International CAPM and Oil Price: Evidence from Selected OPEC Countries 64 Anna CRETI, LeDa, Université Paris Dauphine, France & École Polytechnique Khaled GUESMI, IPAG Business School, IPAG Lab This study explores the major driving forces of stock market integration in the four major OPEC oil-exporting countries, namely Venezuela, United Arab Emirates, Saudi Arabia and Kuwait, over the period Au-gust 31, 2000 to June 31, Stock market integration factors are categorized into 3 groups: macroeconomic characteristics, oil price and return on the world market portfolio. We measure market integration based on a conditional version of the International Capital Asset Pricing Model (ICAPM). Our study differs from past ones in that we investigate the integration of stock market into the world market, using oil price as a common source of risk, in addition to world and domestic sources of risk. Our results show that oil-exporting countries seem to be still significantly segmented from the global market. Their integration degree varies widely through time over the period August 2000 to June 2012 and increases during crisis periods, in particular as from the end of Oil risk represents a small part of the global risk in all the countries. Venezuela exhibits some peculiarities: market openness drives integration; moreover, dynamic correlations of the stock market with respect to the world market and oil price are quite weak or not significant, as local risks predominate. JEL Codes: G12; F36; C32. Keywords: OPEC Countries; Time-Varying Integration; ICAPM; Risk Premium; DCC-GJR-GARCH. On the Dynamic Dependence between US and other Developed Stock Markets: An Extreme-value Time-varying Copula Approach 80 Heni BOUBAKER and Nadia SGHAIER, IPAG Business School This paper examines the dynamic dependence structure between US and four developed stock markets, namely, Japan, United Kingdom, Germany and France during a recent period including the global financial crisis The econometric approach is based on the extreme-value time-varying copula functions. Specifically, the marginal distributions are reproduced by an extreme-value based model, while the joint distribution is explored using the time-varying Normal and Symmarized Joe Clayton copulas. The empirical results show that the dynamic dependence between US and Japanese stock markets is symmetric, while that between US and European stock markets is asymmetric. In particular, this dynamic dependence increases during a crisis and seems to be related to the geographic position. JEL Codes: G15; C32; C10. Keywords: Dynamic Dependence; Stock Markets; Extreme Value Theory, Time-varying Copulas. 4 bankers, markets & investors n may, july 2015
7 La bibliothèque numérique de la banque et de la finance L accès illimité aux ouvrages clés de la profession bibliotheque.revue-banque.fr Un accès illimité à tout moment Sur tablette ou PC Un outil de travail personnalisable Un accès illimité aux ouvrages clés de la profession Plus de ouvrages spécialisés. Une sélection REVUE BANQUE en 6 thèmes clés : banques et marchés financiers, assurance, droit, économie, entreprise et patrimoine. Des titres en français et en anglais. Une utilisation simple et directe pour favoriser l accès à des contenus éditoriaux de qualité Une présentation claire des nouveautés. La possibilité de gérer des flux RSS. Mise en place très simple de sa propre sélection pour ensuite archiver, annoter, imprimer ou partager les titres choisis. Elle est conçue pour toutes les familles d utilisateurs : entreprise, société de conseil ou de services, service documentation ou bibliothèque, responsable de formation, professionnel ABONNEZ-VOUS CONTACT : Tél. :
8 November-December 2014 ISSN euros revue-banque.fr Matthieu DUVINAGE, National Bank of Belgium Paolo MAZZA, IESEG School of Management Mikael PETITJEAN, Louvain School of Management & CORE Serge DAROLLES, Université Paris Dauphine Damien EGARIUS and Laurent WEILL, LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg Nadine GALY, University of Toulouse-Toulouse Business School Laurent GERMAIN, University of Toulouse, Toulouse Business School and ISAE Denis HILTON, University of Toulouse II Rainer MATHES, Prime Research, Mainz, Germany In partnership with Association française de finance Bankers, Markets & Investors ABONNEMENTS 2015 Je choisis l abonnement à BANKERS, MARKETS & INVESTORS coché ci-dessous : DÉCOUVERTE 1 MOIS : 1 n o + accès online France (TTC) Étranger Quantité Total Offre réservée non renouvelable 70,00 75, AN : 6 n os + accès online France (TTC) Étranger Quantité Total Institutionnel (adresse professionnelle) 615,00 640, Individuel (adresse privée) 310,00 330, LA BIBLIOTHÈQUE NUMÉRIQUE (1) France (TTC) Quantité Total Abonnement annuel 1 compte 185,00... Abonnement annuel 5 comptes (2) 700, TOTAL (TVA : 2,10 % incluse sur le tarif France) (1) Réservé aux abonnés à une des revues du groupe. (2) Au-delà de 5 comptes, nous consulter Société... Nom... Prénom... BANKERS, MARKETS & INVESTORS Cahier de recherche financière appliquée 150,00 le numéro n 133 ARTICLES an academic and professional review 4 Testing the Profitability of Contrarian Trading Strategies Based on the Overreaction Hypothesis 11 Evaluating UCITS Compliant Hedge Fund Performance 24 Do Cooperative Banks Have Greater Market Power? 34 In which Media are Analysts Recommendations most Followed? Fonction... Service... Adresse... Code postal/ville...pays... Code TVA (pour les pays de la CEE)... Téléphone...Télécopie... (indispensable)... En application de la loi du 6 janvier 1978, les informations ci-dessus sont indispensables au traitement de votre commande et sont communiquées aux destinataires aptes à les traiter. Elles peuvent donner lieu à l exercice du droit d accès et de rectification auprès de Revue Banque. Vous pouvez vous opposer à ce que vos nom et adresse soient cédés ultérieurement en le demandant par écrit au secrétariat général de Revue Banque. à retourner au SERVICE ABONNEMENTS REVUE BANQUE 18 rue La Fayette Paris Tél. : 33(0) Fax : 33(0) Règlement à l ordre de La Revue Banque par chèque par carte bancaire* n Date limite de validité : _ / _ Notez les 3 derniers chiffres du cryptogramme visuel (au verso de votre carte) : _ * Sauf American Express et Diner s Club. Le règlement sur l étranger est à joindre impérativement à la commande et doit être effectué en euros, par chèque payable en France, net de frais. Pour les virements bancaires et CCP, nous consulter. DATE et SIGNATURE BMI15 Vos abonnements se poursuivent on line sur revue-banque.fr Feuilletage, accès illimité aux archives de Bankers, Markets & Investors À SAVOIR > Bénéficiez du CIR (Crédit d Impôt Recherche) pour financer votre abonnement. Nos contenus indispensables à la recherche et au développement ouvrent droit au CIR. + d infos sur revue-banque.fr