bankers, markets investors

n° 121
November-December 2012
ISSN 2101-9304
150 euros
revue-banque.fr
BANKERS,
MARKETS
INVESTORS
an academic and professional review
ARTI C L ES
4 The Performance of Islamic Investment:
Evidence from the Dow Jones Islamic Indexes
Kaouther JOUABER-SNOUSSI, DRM-Finance, Université Paris-Dauphine
Meriem BEN SALAH, Université de Caen
Marie-Josèphe RIGOBERT, EDC Business School, Paris
17 Volatility Strategies for Global and Country Specific
European Investors
Marie BRIÈRE, Amundi, Paris, Université Paris-Dauphine, Université Libre de Bruxelles, SBSEM, CEB
Jean-David FERMANIAN, Université Paris-Dauphine, CEREMADE, CREST
Hassan MALONGO, Amundi, Université Paris-Dauphine, CEREMADE
Ombretta SIGNORI, AXA Investment Managers, France
31 Problem Loans in the MENA Countries: Bank Specific Determinants
and the Role of the Business and the Institutional Environment
Abdelkader BOUDRIGA, LEO, Université d’Orléans, DEFI, Université de Tunis
Neila BOULILA TAKTAK and Sana JELLOULI, ESSEC, Université de Tunis, DEFI Unit
47 Short Term Wealth Creation Sustainability of French Acquirers
of Unlisted versus Listed Firms
Houssam BOUZGARROU, ISCAE, Université de Manouba
Patrick NAVATTE, IGR/IAE de Rennes, CREM, Université Rennes 1
F OC U S ON . . .
60 Financial Flexibility
Franck BANCEL, ESCP Europe
In partnership with
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■■Strategic Committee
Francis CANDYLAFTIS/Eurizon Capital, Bernard DUMAS/Université de Lausanne, Thierry FOUCAULT/HEC, René KARSENTI/ICMA, Denis KESSLER/Scor,
André LÉVY-LANG, Bertrand de MAZIÈRES/BEI, Théo NIJMAN/Université de Tilburg, Tom STEENKAMP/ABP Investments, Mike WRIGHT/Université de Nottingham.
■■Editorial Committee
EDITOR : Marie BRIÈRE/Amundi, Université Paris-Dauphine, Université Libre de Bruxelles, SBS-EM, CEB.
Sanvi AVOUYI-DOVI/Banque de France, Bruno BIAIS/Université Toulouse 1, Alain CHEVALIER/ESCP Europe, Philippe DESBRIÈRES/IAE Dijon,
Nicole EL KAROUI/École polytechnique, Antoine FRACHOT/Groupe des écoles nationales d’économie et statistique (GENES), Edith GINGLINGER/Université Paris-Dauphine,
Ulrich HEGE/HEC, Monique JEANBLANC/Université d’Evry, Lionel MARTELLINI/Edhec, Patrice PONCET/ Essec, Prof. Flavio PRESSACCO/Facolta di Economia
di Udine, Nizar TOUZI/École polytechnique.
■■Reading Committee
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bankers, markets & investors n° 121 november-december 2012
© Bankers, Markets & Investors
Hervé ALEXANDRE/Université Paris-Dauphine, Franck BANCEL/ESCP Europe, Lorenzo BERGOMI/SG CIB, Bruno-Rolland BERNARD/LVMH, Éric de BODT/Faculté de Finance,
Banque, Comptabilité de Lille 2, Hubert de la BRUSLERIE/Université Paris I, Gérard CHARREAUX/IAE Dijon, Stéphane CRÉPEY/Université d’Évry, Michel DIETSCH/IEP Strasbourg,
Patrice FONTAINE/Eurofidai, Jacques HAMON/CEREG-Université Paris-Dauphine, Hélène HARASTY/Lombard Odier Darier Hentsch & Cie, Maria-Laura HARTPENCE/HSBC AM,
Hervé LE BIHAN/Banque de France, Frédéric LOBEZ/Faculté de Finance, Banque, Comptabilité de Lille 2, Christophe MOUSSU/ESCP Europe, Fabrice PANSARD/CNAM,
François QUITTARD-PINON/ISFA – Université Lyon 1, Catherine REFAIT-ALEXANDRE/CRESE-Université Franche-Comté, Patrick ROGER/Université Louis-Pasteur Strasbourg,
Patrick ROUSSEAU/IAE Aix-en-Provence, Alain SCHATT/Université de Neuchâtel, Éric SEVERIN/OSTL Lille 1, Jacques SIKORAV/BNP Paribas, Grégory TAILLARD/HSBC AM.
Abstracts
■■The Performance of Islamic Investment:
Evidence from the Dow Jones
Islamic Indexes
4
Kaouther JOUABER-SNOUSSI, DRM-Finance, Paris-Dauphine University,
Meriem BEN SALAH, Caen University, Marie-Josèphe RIGOBERT, EDC Business
School Paris
We use several measures to compare the performance of a large set of Dow Jones
Islamic indexes to selected benchmarks We test the performance over the whole
period and then focus on extreme events. We identify extreme events as the 100
lowest and the 100 highest conventional World Indexes daily returns. We find that
Islamic indexes exhibit different features from their conventional benchmarks and
that the Islamic screening leads to significant differences in risk and excess return.
We observe differences in relative performance of the Islamic indexes according to
geographical areas and activity sectors. Unlike results of previous studies on performance in bear and bull markets, lowest and highest prices do not intensify the
differences between Islamic and conventional indexes.
.
Keywords: Sharpe ratio, Jensen’s alpha, extreme returns, spanning test
JEL codes: C22, F21, G01, G10, G11, G32, Z12
■■Volatility Strategies for Global and
Country Specific European Investors
Keywords: Banks, problems loans, business environment, institutional quality, MENA
JEL codes: G21, G28
■■Short Term Wealth Creation
Sustainability of French Acquirers of
Unlisted versus Listed Firms
47
Houssam BOUZGARROU, ISCAE, University of Manouba,
and Patrick NAVATTE IGR/IAE of Rennes, CREM, University Rennes 1
17
Marie BRIÈRE, Amundi, Paris Dauphine University, Université Libre de Bruxelles,
SBS-EM, CEB, Jean-David FERMANIAN, Paris Dauphine University, CEREMADE,
CREST, France, Hassan MALONGO, Amundi, Paris Dauphine University, CEREMADE, and Ombretta SIGNORI, AXA Investment Managers, France
Adding volatility exposure to an equity portfolio offers interesting opportunities for
long-term investors. This article discusses the advantages of adding a long volatility strategy for a protection to a global European equity portfolio and to specific
equity portfolios based in “core” or “peripheral” countries within the euro zone. A
European investor today has the choice of investing in US or European equity volatility. We check whether a long volatility strategy based on VSTOXX futures is better
than a strategy based on VIX futures. The benefit of using volatility strategies as a
hedge for equities is shown through a Mean/Modified-CVaR portfolio optimization.
We find that long volatility strategies offer valuable protection to all European equity
investors. A long volatility strategy based on VSTOXX futures offers better protection than a similar one based on VIX futures. It reduces the risk of an equity portfolio
more significantly, while providing more attractive returns. For specific European
investors, and despite major differences in local European equity markets, our long
volatility strategy shows a certain homogeneity and provides efficient protection,
whatever the country.
Keywords : Investment strategy, Portfolio choice, Conditional Value-at-Risk, Implied volatility, Hedging.
JEL codes G11, G15, G17
■■Problem Loans in the Mena Countries:
Bank Specific Determinants and
the Role of the Business and the
Institutional Environment
The paper empirically analyses the determinants of problem loans and the potential
impact of both business and institutional environ¬ment on credit risk exposure of
banks in the MENA region. Looking at a sample of 46 banks in 12 countries over the
period 2002-2006, we find that, among bank specific factors, high credit growth,
loan loss provisions, and foreign participation coming from developed countries
reduce the NPL level. However, highly capitalized banks experience high level of
credit exposure. Credit quality of banks is also positively affected by the relevance
of the information published by public and private bureaus. Finally, our findings
highlight the importance of institutional environ¬ment in enhancing banks credit
quality. Specifically, a more control of corruption, a sound regulatory quality, a better enforcement of rule of law, and a free voice and accountability play an important
role in reducing nonperforming loans in the MENA countries.
31
Abdelkader BOUDRIGA, LEO, Orléans University and Defi, University of Tunis,
Neila BOULILA TAKTAK, ESSEC University of Tunis, DEFI Unit, Sana JELLOULI,
ESSEC University of Tunis, DEFI Unit
We study the listing target status impact on the announcement period of French
acquirers, and we examine the sustainability of short term wealth creation in the
long term. Unlisted-target acquisitions are wealth creating relative to listed-target
acquisitions. Besides, in the long-term, acquirers of unlisted targets outperform
acquirers of listed targets and realize superior abnormal stock returns. Acquirers of
unlisted targets realize superior changes in post-acquisition operating performance,
particularly for a low relative deal size ratio. Announcement period abnormal returns
are positively related to post-acquisition operating performance. Therefore, shortterm gains are sustainable on the long-term and the market can predict change in
operating performance.
Keywords: Acquisitions, listing target status, short-term abnormal returns, long-term stock
returns, post-acquisition operating performance.
JEL codes: G14, G34
■ ■F O C U S O N …
Financial flexibility
60
Franck BANCEL, ESCP Europe
Financial flexibility is a major concept of finance. However, despite its importance
for managers, financial flexibility has received little attention in the academic
literature. This is probably explained by the fact that classical financial theories
consider that financial markets are efficient and can finance firms whatever the
economic conditions are. Further, for agency theory, firms have to be disciplined which means to limit as far as possible financial flexibility. In this article, we
explain why firms need financial flexibility and how they can be financially flexible.
We show that financial flexibility is a complex concept that cannot be easily integrated in a unique theory. Considering its importance, academics will have to
face the challenge to elaborate a theory of financial flexibility.
Keywords: Investment strategy, Portfolio choice, Conditional Value-at-Risk, Implied volatility, Hedging.
JEL codes: G31, G32, G33, G34, G35
bankers, markets & investors n° 121 november-december 2012
3
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the impact of Ownership structure and control
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Alexis GUYOT, Euromed Management
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Samir ABDERRAzEk SRAIRI, king Saud University
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Financial News and Volatility of Underlying
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Anton GRAnIk, Reims Management School
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the evidence On Privatization around the World
Edith GInGLInGER, Université Paris-Dauphine
William MEGGInSOn, University of Oklahoma
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