Jean-Laurent Viviani

• University of Rennes

This paper examines foreign exchange risk hedging determinants for a sample of 82 French non-financial firms. Starting from the observation that firms, often, use both currency derivatives and foreign debt, we find evidence that foreign debt can be considered as hedging tool in addition to currency derivatives. Our results show that currency deriva...

Based on firm-level data from 39 countries, over a nine-year period, this study analyzes whether financial reporting quality and CSR disclosure are related to each other in improving the quality of corporate information. The findings show that firms disclosing a greater amount of CSR information have a lower degree of information asymmetry (bid-ask...

In this study, we attempt to revisit how dependent the US stock market returns are on climate change related risks (CCRR). In this regard, we use a spillover and connectedness network analysis to assess the strength of the causal effect and transmission pathway of CCRR proxies (green index, carbon price, general and climate uncertainty) on US Small...

In time of financial crisis, bank loans are often extremely difficult to obtain for many companies. However, companies always need free cash flow to efficiently react against to any uncertainty. This work demonstrates the impact of financial consequences on operational decisions in the single-product, single-level, infinite capacity EOQ model. We p...

This paper studies a newsvendor problem in which the retailer can mix two contracts, a wholesale price and a put option contract. We consider that the newsvendor is financially constrained and may need to contract a loan to cover her ordering costs, with a probability that she becomes bankrupted. We show that when a put option contract is available...

Financial institutions, investors, mining companies and related firms need an effective accurate forecasting model to examine gold price fluctuations in order to make correct decisions. This paper proposes an innovative approach to accurately forecast gold price movements and to interpret predictions. First, it compares six machine learning models....

This study seeks to combine financial portfolio theory and dynamic customer segmentation in a coherent framework to propose possible optimal segmentations in terms of risk and profitability and define the steps towards better customer segmentation and company performance. The relevance of this approach is demonstrated using the case of a Japanese h...

The purpose of this article is to examine the impact of the working capital in the borrowing decision of a retailer. The proposed analysis is based on a model with a retailer, a supplier and a bank in a non-cooperative game with price-sensitive demand. The retailer, the supplier and the bank (if concerned) determine, respectively, the ordering quan...

This paper studies a newsvendor problem in which the retailer can set both the selling price and the quantity ordered. The demand is stochastic and price-dependent and the retailer has the possibility to sell his unsold units at the end of the sales season. We present an analytical model of the retailer optimization process and show the conditions...

This paper analyzes the determinants of the convertible bonds call delay of the Western European firms. This delay is analyzed comparatively to the optimal call policy suggested by Ingersoll (1977a) who argues that in a perfect market, managers should call the convertible bonds immediately when the conversion value reaches the call price. Like the...

This paper studies a newsvendor problem in which the retailer can set both the selling price and the quantity ordered. The demand is stochastic and price-dependent and the retailer has the possibility to sell his unsold units at the end of the sales season. We present an analytical model of the retailer optimization process and show the conditions...

Using a Value-at-Risk (VaR) approach and a sample of 2082 stocks on the 2004-2015 period, we measure the impact of SR dimensions (measured by Vigeo ratings) on the risk level and the risk dynamic of stock returns and on their risk predictability. We conclude that good overall socially responsible (SR) ratings reduce the downside risk level of stock...

Purpose Why do some retail networks operate shop-in-shops along with stand-alone units while others do not? Drawing on a resource-based and intellectual capital (IC) perspective as a broad theoretical lens, the purpose of this paper is to focus on retailer-run shop-in-shops and examine the determinants of their adoption. Design/methodology/approac...

The aim of this paper is to test empirically the conditional liquidity-adjusted capital asset pricing model (L-CAPM) developed by Acharya and Pedersen (2005). Accordingly, we propose to estimate the L-CAPM using unobserved components methodology, which allows us to take into account the main stylized facts characterizing liquidity. Based on a sampl...

The objective of the paper is to test empirically the Mayers (1998) sequential financing hypothesis stating that companies issue callable convertible debt to overcome the problem of overinvestment (Jensen, 1986) that could arise in a sequential investment setting. As a result of this theory we should observe higher investment and financing activiti...

The objective of the research is to quantify the displaced commercial risk (DCR) based on quantitative finance techniques. We develop an internal model based on the Value-at-risk (VaR) measure of risk to assess the DCR-VaR and the alpha coefficient αCAR in the capital adequacy ratio of Islamic banks. We identify first the scenarios of exposure of I...

The purpose of this article is to present an overview about the origins of value creation in impact investing and propose a measure of value creation. According to this point of view, impact investing, i.e. investing in enterprises with a both social and financial objective can be justified only if those enterprises can provide for a higher perform...

The goal of this article is to discuss the rationale for the existence of social impact investing based on a broader vision of creating value. According to this point of view, the social impact investment summary investment in companies with a dual purpose, both social and finance, is only justified if these companies are able to do better than a s...

This paper investigates how changes in the macro-financial environment impact the way in which capital market prices react to dividend announcements. Using a sample of 841 dividend announcements by French companies belonging to the SBF 120 index, we examined the role of changes in the ambiguity level (Knightian uncertainty) around the announcement...

In times of crisis, companies need free cash flow to efficiently react against all uncertainty to ensure solvency. However, classical dynamic lot-sizing models only consider the physical flow of goods. In this paper, we introduce a first link between dynamic lot-sizing and the financial aspects of working capital requirements (WCR). We propose a ne...

The goal of this paper is to investigate the impact of asymmetric ambiguity on corporate investment and financing strategies. Asymmetric information comes from the fact that insiders know the probability of the growth prospects of the firm while outsiders do not. Also, we assume that there are two types of firms (good and bad types) that differ in...

Purpose The purpose of this paper is to investigate whether CEO compensation scheme may induce some agency conflicts in the foreign exchange risk hedging policy. Design/methodology/approach Residual exposure is a post-hedging variable computed as the ratio of unrealized foreign exchange risk gains/losses to international sales. We follow the opt...

This research compares the accuracy of two approaches: traditional statistical techniques and machine learning techniques, which attempt to predict the failure of banks. A sample of 3000 US banks (1438 failures and 1562 active banks) is investigated by two traditional statistical approaches (Discriminant analysis and Logistic regression) and three...

The objective of the paper is to provide a measurement of the displaced commercial risk (DCR) that results from the management of the profit distribution on the unrestricted profit sharing investment accounts PSIAU in Islamic Banks. Our first original theoretical contribution is the identification of the scenarii of losses related to the DCR that d...

This article explores the retailer borrowing decisions, who can borrow from the supplier or the bank. The goal of this paper is to examine the role of the working capital of the retailer in supply chain for better understanding of the different choices of borrowing decisions. In order to achieve this, we assume that the three main players, i.e., th...

In times of crisis, company always need free cash flow to efficiently react against all uncertainty to ensure the solvency. However, classical dynamic lot-sizing models only consider the physical flow. In this paper, we introduce a first link between dynamic lot-sizing problem and the financial aspects of working capital requirement (WCR). We propo...

Ce papier s’intéresse à l’impact des modes d’exportation sur la performance et plus précisément au rôle modérateur de la stratégie export sur cette relation. Ces impacts ont été examinés via une enquête quantitative de 120 entreprises vitivinicoles françaises complétée par une enquête qualitative avec 50 face à face. Les résultats montrent qu’il n’...

Selon Fombrun (1982), tout est réseau. Les réseaux sont multiformes : réseaux informatiques, réseaux humains, réseau internet, réseaux d’entreprises, réseaux sociaux, réseaux de personnes et le concept même de réseau a explosé aux cours des dernières années (Blum et Ebrahimi, 2014), le nombre d’occurrence au mot « réseau » ayant été multiplié par v...

L ES liens entre les concepts de « collaborations » et de « réseaux » sont étroits. Car si la collaboration peut avoir lieu hors d’un réseau, elle noussemble aussi (et surtout) être une dimension constitutive du réseau. Par exemple, les clients et les fournisseurs sont en relations, mais ils ne vontconstituer un réseau que lorsqu’ils vont mettre en...

This paper examines the effects of bank loan constraints on the use of trade credit by Vietnamese firms across size with a comparison between large firms and small and medium-sized enterprises (SMEs). We distinguish three types of bank-constrained firms, i.e. credit denied firms, discouraged firms and those with pending applications; and four types...

This paper examines the factors that determine the selection of the export mode used by French wine businesses and their degree of control. A national survey of 120 French wine businesses highlights the positive impact of size and the negative impact of international experience, as well as differences according to export markets and wine regions. A...

This paper examines the factors that determine the selection of the export mode used by French wine businesses and their degree of control. A national survey of 120 French wine businesses highlights the positive impact of size and the negative impact of international experience, as well as differences according to export markets and wine regions. A...

Tactical planning consists of developing production plans to fulfill client demands with a minimal logistic cost. However, plans generated by classical models for tactical planning do not consider a minimum financial need in terms of Working Capital Requirements (WCR) to maintain the activities related to the operating cycle. In this paper, we intr...

With a meta-analysis of 85 studies and 190 experiments, the authors test the relationship between socially responsible investing (SRI) and financial performance to determine whether including corporate social responsibility and ethical concerns in portfolio management is more profitable than conventional investment policies. The study also analyses...

The present paper investigates funding liquidity risk of banks. We present a new statistical multi-factor risk model leading to three new funding liquidity risk metrics, thanks to liquidity gap's probability distribution analysis. We test our model on a large sample composed of 593 US banking companies, this allows us to identify some stylized fact...

This paper aims at emphasizing the ability of new frameworks of real option model to highlight key characteristics of industrial Carbon Emissions Reduction Program investment decision. We develop both theoretical arguments and numerical simulations with structural parameters calibrated on real-life data. We find that both radical uncertainty and ri...

http://eiba2014.eiba.org

En l’absence de collaboration financiere entre fournisseurs et clients, le cout du financement global de la chaine est inutilement eleve. Cette revue de litterature montre que le credit commercial est un outil de collaboration et d’optimisation du financement de la chaine et que des formes de financement innovantes permettraient d’aller encore plus...

This study aims to demonstrate a link between socially responsible investment (SRI) and financial or market-based performance. A meta-analysis - the first in the research field - according to the experimental method of Hedges and Olkin (1985) is conducted on an empirical corpus including 61 studies. The results we observed tend to prove that ethics...

This paper examines foreign exchange risk hedging determinants for a sample of 82 French non-financial firms. Starting from the observation that firms, often, use both currency derivatives and foreign debt, we find evidence that foreign debt can be considered as hedging tool in addition to currency derivatives. Our results show that currency deriva...

Intangible assets can play a strategic role in the implementation of differentiated strategies in foreign markets. The literature has addressed the impact of intangible assets on both exports and financial performance and the effects of exports on company financial performance (profit and risk). This article aims to analyze the effect of exports on...

Through direct observations on a sample of Languedoc-Roussillon (France) agribusiness firms, our research contradicts the conventional view of a positive relationship between internal finance and financial constraints as well as the idea that cooperatives are financially constrained. However, our results suggest that cooperatives' subsidiaries face...

This research examines the determinants of the choice of store-within-stores and analyses the impact of this format on the financial performance of a retailer. A sample of 170 French fashion retail companies is studied using two analysis methods of the financial performance. The results show that companies adopting store-within-store strategy have...

The risk associated with Profit Sharing Investment Accounts: a specific risk to Islamic banks The aim of our article is to study the displaced commercial risk, a specific risk to Islamic banks. This risk results from the management of unrestricted profit sharing investment accounts. It results more specifically from the behavior of their owners, wh...

Au cours des vingt dernieres annees, le debat sur la performance financiere de l’investissement socialement responsable (ISR) n’a pas genere de consensus clair, demontrant essentiellement qu’il n’existe pas de difference de performance entre ISR et investissement « conventionnel », bien que l’ISR puisse sous-performer ou surperformer dans certains...

Purpose – The aim of this chapter is to analyse consequences of the consideration of ethical principles in the financial decisions process of banks. More specifically, we study how the consideration of shariah principles could affect the capital structure of Islamic banks (IBs). Design/methodology/approach – First, we apply the classical concepts a...

Environmental crises, financial markets and environmental communication of the firms : proposition of a valuation method of industrial accidents and environmental crisis Many academic works deal with environmental crisis in order to understand their impacts on market value and communication of firms. The literature considers in the same way the ind...

À partir de données d’enquêtes auprès d’entreprises agroalimentaires du Languedoc-Roussillon, notre recherche remet en question la relation supposée entre recours privilégié à l’autofinancement et contraintes financières ainsi que l’idée selon laquelle les coopératives seraient particulièrement contraintes financièrement. Cependant les contraintes...

From the beginning of this century, French wine companies are said to have been in a state of crisis … Over the last 20 years, major studies have been commissioned: Booz-Allen and Hamilton (1993), ONIVINS and Ernst & Young (1999), the Ministry of Agriculture (Berthomeau 2002). As a whole, France lost its world export leadership in 2005 (by 2010 the...

This paper examines the relationship between exchange rate movements and corporate market value for a large sample of French exporting firms. During the study period (1999-2009), only 23% of our sample firms have significant exposure to foreign exchange risk. The Euro adoption has diminished the significance of exposure knowing that previous studie...

The paper assesses the ability of French wineries to prevail over the crisis of French wine in the years 2000. Corporations are distinguished from co-operatives: Over the 2000-2006 period in spite of sales fluctuations, French wineries did not increase their financial debt level substantially. Such result supports the traditional static trade-off t...

The aim of this research is to analyze consequences of the consideration of ethical principles in the financial decisions process of banks. More specifically we study how the consideration of Shariah principles could affect the capital structure of Islamic Banks. We first apply concepts and reasoning of classical theories of capital structure (trad...

The aim of this research is to analyze consequences of the consideration of ethical principles in the financial decisions process of banks. More specifically we study how the consideration of Shariah principles could affect the capital structure of Islamic Banks. We first apply concepts and reasoning of classical theories of capital structure (trad...

This paper has for aim to revisit or to give some insights to the Morellec and Schürhoff (2011) dynamic real option investment model in a world in which firms are compelled to raise outside funds from uninformed investors to finance a total investment outlay. These authors determined a unique moment for financing and investing at the same time. We...

In the less developed countries the use of market instruments for risk management is still limited. The main purpose of this study is to identify the variables that have an infl uence on the probability of using insurance contracts in the wine industry of Chile. Binomial logit and probit models were applied using a sample of 84 fi rms. Our results...

The income is attributed to PSIAU holders after setting aside the reserves (PER and IRR) and deducting the bank's share of income called mudarib share.

titre>Résumé Cette étude a pour but de présenter une analyse statistique et méthodologique de la littérature empirique cherchant à démontrer une causalité entre l’investissement socialement responsable (ISR) et la performance financière ou boursière. A travers l’examen d’un corpus empirique regroupant 75 études, cette présentation détermine quels t...

Despite the number of studies that have been carried out on the stock markets, quite a rare have in particular analyzed the tendency of herd behavior of countries in the European Union. Therefore, the emphasis is traditionally put on Asian countries and the United States. The detection of the herding phenomena is particularly made with subjective o...

This paper presents an empirical investigation of the link between intangible expenses of French wine companies and their financial performance. A flexible moment-based approach is used to analyse the impact of tangible and intangible expenses on the mean, variance and skewness of profit. Econometric evidence shows that a high level of intangible e...

Socially Responsible Investment (SRI), a new form of investment including respect for ethical values, environmental protection, and improvement of social conditions or ‘good’ governance is attracting more and more interest of institutional and private investors but also from the academic world. Historically, investments called ‘ethical’ are the fir...

The paper has attempted to find out if there are structural differences between conventional and Islamic banks using two predictive models. T-test of equality of means, binary logistic regression and discriminant analysis provide broad evidence on differences in leverage and profitability across Islamic and conventional banks. Globally, Islamic ban...

In Chile there is a wide availability of public instruments to promote productivity in business management, which in practice serve as fi nancial hedge instruments. Based on multivariate analysis the authors estimate the probability of using public instruments in Chilean wine industry comparing logit and probit models. Results indicate that probabi...

No Chile, existe uma ampla disponibilidade de instrumentos públicos para promover a produtividade na gestão dos negócios, que na prática funcionam como instrumentos de hedge financeiros. Com base em análise multivariada, os autores estimam a probabilidade de utilização de instrumentos públicos na indústria vinícola chilena, comparando a avaliação d...

This study investigates to what extent intangible investments have a positive impact on French wine companies' financial performance. French wine companies are small- and medium-sized enterprises (SMEs), so the task is (a) to measure their intangible expenses and capital, and (b) to estimate their impact on companies' performances. The authors then...

The objective of this study is to understand the perception by Chilean wine producers of the main sources of risk they face. We conducted a factor analysis (with Varimax rotation) and a ranking of the importance of sources of risk by wine producers, for different sizes and different forms of involvement in the management of the company (owner / sha...

This study aims at testing whether French wine exporting firms are financially constrained and whether there exists a link between financial constraint and their export performance. These ideas are supported a weakening of their financial health due to the structural crisis affecting the French wine industry, the size of the firm and the nature of...

French companies in the wine industry are facing a decline in demand on their domestic market and an increasing competition on their traditional export markets. A solution for French companies could be to seek new outlets. Eastern and Central European countries, because of their fast economic growth and of the recent evolution of their consumption...

Islamic banks differ significantly in that they typically mobilise funds in the form of Profit Sharing Investments Accounts that are remunerated on the basis of sharing the actual returns on assets financed by the investment funds, with the Investment Account Holders. In theory, the profits are shared in pre-agreed ratio and all losses on assets fi...

The purpose of this special issue is to address the questions of changing economies and how they affect key financial implications for the wine industry. In which way can performances of some (or all) types of firms be affected? Which changes in the major drivers of firms’ performances can we foresee? Will the industry remain attractive for investo...

L'objectif de cet article est d'�tudier l'impact de la non-durabilit� des flux comptables sur la valeur de l'entreprise. L'absence de durabilit� de l'entreprise est donc ici d�finie comme l'incapacit� de son mod�le �conomique actuel � g�n�rer sur une longue p�riode des flux. L'absence de durabilit� se traduit par une chute brutale de la valeur de l...

Nos países menos desenvolvidos o uso de instrumentos de mercado para a gestão de risco é ainda escasso. O objectivo principal desta investigação é identificar as variáveis que influenciam sobre a probabilidade de utilização de contratos de seguros na indústria de vinho chilena. Aplicaram-se modelos logit e probit usando uma amostra de 84 empresas....