This article aims to study the relationship between the disclosure of corporate social responsibility (CSR) and the financial performance of Tunisian companies. Two measures are used to determine the CSR disclosure index: The first in terms of quantity is based on an unweighted approach from the Cooke (1991) study and the second in terms of quality is based on a system weighting of the qualitative characteristics of the information, referring to the voluntary declarations, in the annual reports of a sample of listed companies. The empirical results reveal that the amount of CSR disclosure has a positive effect on the financial performance of companies regardless of their size, their risk and debt levels, this allows us to show that the stakeholders generally give their trust to companies that have socially responsible behavior and a regular disclosure system. The results also show that the quality of CSR disclosure has a positive effect on the financial performance of companies as measured by economic, financial or stock market profitability
This paper aims at determining the role of banking governance mechanisms in banking operational efficiency. To this end, we reviewed agency theory literature and its effects on banking efficiency in view of determining conflicts of interests between shareholders and managers. In particular, we aim at determining the role of majority shareholders and that of the Board of Directors. These actors govern under a context of financial liberalization known by increased competition. Accordingly, two main theories are distinguished. While the "Quiet Life" theory stipulates that competition leads to banking efficiency, the "Information-Generation" theory, on the contrary, asserts the opposite trend and argues for an imperfect competition in the market. Our empirical study focused on a sample of 10 Tunisian banks observed during the 1999 to 2016 period. This paper is the first in the Tunisian banking market, which aims to study the particularities of internal and external governance mechanisms of Tunisian banks and more particularly the mechanisms that act on the banking efficiency by introducing the index of IHH and the bank concentration ratio. The results show that Tunisian banks operate under a rather perfect competition reflected in ownership dilution, product homogeneity, capital fluidity and information transparency. This market has reinforced the beneficial role of competition in banking efficiency. As for the role of the internal and external governance mechanisms, all Tunisian banks allocate their resources in the same way, and their capitalization and institutional dimensions support more banking efficiency in terms of their productivity.
Measuring and controlling risk is one of the most attractive issues in finance. With the persistence of uncontrolled and erratic stocks movements, volatility is perceived as a barometer of daily fluctuations. An objective measure of this variable seems then needed to control risks and cover those that are considered the most important. Non-linear autoregressive modeling is our first evaluation approach. In particular, we test the presence of "persistence" of conditional variance and the presence of a degree of a leverage effect. In order to resolve for the problem of "asymmetry" in volatility, the retained specifications point to the importance of stocks reactions in response to news. Effects of shocks on volatility highlight also the need to study the "long term" behavior of conditional variance of stocks returns and articulate the presence of long memory and dependence of time series in the long run. We note that the integrated fractional autoregressive model allows for representing time series that show long-term conditional variance thanks to fractional integration parameters. In order to stop at the dynamics that manage time series, a comparative study of the results of the different models will allow for better understanding volatility structure over the Tunisia stock market, with the aim of accurately predicting fluctuation risks.
Time variations of market volatility considerably affect investments risk evaluation and prediction of future returns. They are presented as a source of systemic risk to which is added a risk related to stocks' sensitivity to volatility shocks. Analysis of the relationship between stocks volatility and market volatility allows for determining whether stocks' sensitivities to volatility shocks may estimate market's future risk price. Volatility shocks are defined in terms of volatility risk hedging factors, when market volatility risk price is high and for stocks that are positively correlated to these hedging factors, the value of returns is expected to be low. Idiosyncratic volatility is on the other hand a variable omitted from volatility total risk. If market volatility risk is a missing component of systematic risk, standard models should mis-price portfolios sorted by idiosyncratic volatility because these models do not include factor loadings measuring exposure to market volatility risk.
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