Khelifa Mazouz

• Cardiff University

This paper demonstrates that green-labeling forms an integral part of financial investment vehicles. We use data from the EU green bond market to show that green labels reduce the required yields on bonds (the “greenium”) in the long run, with the effect being more pronounced when labels are externally certified. We also find that green bonds can i...

This study uses a panel data approach to estimate the cost function of production and distribution of drinking water in a set of Algerian municipalities. Our objective is to evaluate the economic performance of Algerian drinking water services after accounting for the characteristics of the network of drinking water distribution, particularly the f...

This article investigates the impact of exchange-traded fund (ETF) ownership on seasoned equity offerings (SEOs). We find that increases to firms’ ETF ownership is positively related to their propensity to conduct an SEO. ETF ownership is also associated with less negative SEO announcement returns, smaller discounts, and better long-run stock retur...

This paper examines a new channel through which dividend policy can affect firm value. We find that firms that pay dividends exhibit lower systematic liquidity risk than those that do not. We also report a significant negative relationship between dividend payment and systematic liquidity risk. The liquidity improvement associated with dividend pay...

This study uses short selling activity to test whether the relation between fundamentals and future returns is due to rational pricing or mispricing. We find that short sellers target firms with fundamental performance below market expectations. We also show that short selling activity reduces the return predictability of fundamentals by speeding u...

This paper explores the profitability of simple short-term cross-sectional trading strategies based on the implied volatility index (VIX), often referred to as an “investor fear gauge” in the stock market. These strategies involve holding sentiment-prone stocks when VIX is low and sentiment-immune stocks when VIX is high and generate significantly...

This study examines the determinants of outward foreign direct investment (FDI) from Latin American countries and compares it with their OECD counterparts. Our analysis is based on a sample of 45 countries, 13 from Latin America and 32 from the OECD, over the period 2001–2012. We find that the outward FDI from Latin America is more likely to be loc...

This study explores the effect of directors' political contributions on IPOs' valuation and firm survival. We find that individual contributions by directors bring significant benefits to the IPO firms. Specifically, we show that political contributions of board members, particularly those of CEOs and founders, increase the IPO premium and the surv...

We offer new evidence on the risk versus mispricing explanations for the R&D anomaly. Return covariance with a characteristic-based factor captures the cross-sectional return variation on R&D portfolios not explained by asset pricing models. This is consistent with both covariance risk and mispricing. Under the framework of the ICAPM, we find littl...

We extend the noise trader risk model of Delong et al. (J Polit Econ 98:703–738, 1990) to a model with multiple risky assets to demonstrate the effect of investor sentiment on the cross-section of stock returns. Our model formally demonstrates that market-wide sentiment leads to relatively higher contemporaneous returns and lower subsequent returns...

This paper examines the performance of the investment decisions of block owners. The block ownership data is obtained from Dlugosz, Fahlenbrach, Gompers, and Metrick (2006). We find that firm valuation (measured by Tobin's Q), operating performance (measured by changes in return on assets) and stock performance (measured by excess buy and hold retu...

This paper investigates the short-term effects on the price of the ethically screened stocks of the Dow Jones Islamic Market World Index (DJIMWI) quarterly revisions. Using a sample of 8250 stocks from May 1999 through June 2012, we find a significant price reaction of the ethically screened stocks following additions and deletions. The results sho...

This study examines the effects of CEO equity‐based compensation and anti‐takeover provisions on corporate innovation. Using a large sample of US firms over the period 1996–2014, we find that long‐term incentives have a stronger influence on innovation when combined with takeover threats. We also show that equity‐based compensation is more likely t...

Using data from 20 OECD countries, we find that firms with greater organization capital have significantly higher stock returns and that this represents an international phenomenon. We also find new evidence that the positive association between organization capital and stock returns increases with labor market flexibility. This finding is consiste...

This study investigates the role of time-varying betas, event-induced variance and conditional heteroskedasticity in the estimation of abnormal returns around important news announcements. Our analysis is based on the stock price reaction to profit warnings issued by a sample of firms listed on the Hong Kong Stock Exchange. The standard event study...

This study investigates the impact of excess cash on the liquidity risk faced by investors and their required liquidity premium. It shows that excess cash improves trading continuity and reduces both liquidity risk and the cost of equity capital. These findings are consistent with the view that firms with excess cash attract more traders even when...

This study uses a unique and extensive data set from the Hong Kong IPO market to examine the theory of adverse selection under two distinct regulatory regimes in relation to underwriters' discretionary power in IPO share allocation. Consistent with Rock's (1986) theory of adverse selection in the IPO market, we show that, prior to the introduction...

This study investigates whether, how and why industry performance can drive long-term return reversals. Using data from the UK, we find that firms in losing industries significantly outperform those in winning industries over the subsequent five years. These industry reversals remain strong and persistent after controlling for stock momentum, indus...

We examine patterns of comovement in stock returns around the Dow Jones Islamic Market World Index (DJIMWI) quarterly revision events. Our analysis is based on a sample of 8,250 companies from eighteen countries during the period May 1999 to June 2012. We find that a stock’s comovement with the DJIMWI increases when it joins and decreases when it l...

This study investigates the trading activity in options and stock markets around informed events with extreme daily stock price movements. We find that informed agents are more likely to trade options prior to negative news and stocks ahead of positive news. We also show that optioned stocks overreact to the arrival of negative news, but react effi...

We examine the numerous patterns of comovement in stock returns and the Ramadan effect around the Dow Jones Islamic Market World Index (DJIMWI) quarterly revision events. Our analysis is based on a sample of 8,250 companies from eighteen countries during the period from May 1999 to June 2012. We find that a stock’s comovement with the DJIMWI increa...

We use two general equilibrium models to explain why changes in the external economic environment result in pro-cyclical aggregate dividend payout behavior. Both models that we consider endogenize low elasticity of investment. The first model incorporates capital adjustment costs, while the second one assumes that risk-averse managers maximize thei...

The dominant neoliberal policy community holds that a reduction in employment rights and social protection is likely to promote economic recovery and growth. It has been suggested that investors are likely to shun countries where such rights are strong; in contrast, radical labour market deregulation is seen as encouraging both local business and m...

This study investigates the impact of FTSE100 index revisions on firms’ systematic liquidity risk and the cost of equity capital. We show that index membership enhances all aspects of liquidity, whereas stocks that leave the index exhibit no significant liquidity change. We also show that the liquidity risk premium and the cost of equity capital de...

This study investigates the trading activity in options and stock markets around informed events with extreme daily stock price movements. We find that informed agents are more likely to trade options prior to negative news and stocks ahead of positive news. We also show that optioned stocks overreact to the arrival of negative news, but react effi...

This study uses data on 27 European stock indices over the period from January 2007 to December 2012 to investigate the relationship between innovations and the market reaction to negative news during the financial crisis. We use the bivariate BEKK-GARCH approach to estimate time-varying betas and abnormal returns. We show that index prices of coun...

This study uses a unique and extensive data set of over 28.2 million investors’ share applications. The paper examines the theory of adverse selection under two distinct regulatory regimes (discretionary against mandatory clawback provision) in relation to underwriters’ IPO share allocation. Consistent with Rock’s (1996) theory of adverse selection...

This study examines individual commodity futures price reactions to large one-day price changes, or ‘shocks’. The mean-adjusted abnormal return model suggests that investors in 6 of the 18 commodity futures examined in this study either underreact or overreact to positive surprises. It also detects underreaction patterns in eight commodity future p...

It is a commonly held view that gold protects investors’ wealth in the event of negative economic conditions. In this study, we test whether other metals offer similar or better investment opportunities in periods of market turmoil. Using a sample of 13 sovereign bonds, we show that other precious metals, palladium in particular, offer investors gr...

This study investigates the impact of Chinese banks’ derivative activities on their exposure to exchange rate and interest rate changes. The standard Jorion [1990. “The Exchange-Rate Exposure of U.S. Multinationals.” Journal of Business 63 (3): 331–345] model provides weak evidence of Chinese banks’ exposure to these risks. However, the exposure in...

In this article, we explore what determines the decisions of emerging-market multinational corporations (MNCs) to invest in Africa and whether this is any different from their counterparts in mature markets, focusing on the HRM context. More specifically, we explore the effect of potential host-country wages, local capabilities, and the relative ri...

Purpose The aim of this study is to examine the impact of mandatory International Financial Reporting Standards (IFRS) adoption on the informational efficiency, market stability, and price adjustment of underlying stocks in Europe. Design/methodology/approach This study examines 1,187 stocks from 20 European countries to assess the impact of the m...

This study examines the impact of FTSE 100 index revisions on the informational efficiency of the underlying stocks. Our study spans the 1986–2009 period. We estimate the speed of price adjustment and price inefficiency from the partial adjustment with noise model of Amihud and Mendelson (1987). We report a significant improvement (no change) in th...

The paper examines the determinants of stabilization and its impact on the aftermarket prices. We use a unique dataset to relax several assumptions in the stabilization literature. We find that underwriters support IPO prices shortly after listing, particularly in cold markets and when demand is weak. We also show that stabilized IPOs are more comm...

This study examines the relationship between systematic liquidity risk and stock price reaction to large 1‐day price changes (or shocks). We base our analysis on a yearly updated constituents list of the FTSE All share index. Our overall results are consistent with the price continuation hypothesis, which suggests that positive (negative) shocks wi...

We use a sample of 269 UK non-financial firms to study the sensitivity of foreign exchange exposure, and its determinants, to the different estimation methods. The standard Jorion’s model suggests that 14.93% (30.50%) of the firms in our sample are exposed directly or indirectly to the fluctuations in the TWC (the US$, the Euro or the JP¥). However...

In this paper, the authors examine the impacts of large price changes (or shocks) on the abnormal returns (ARs) of a set of 39 national stock indices. Their initial results support returns continuations for both positive and negative shocks in line with prior results. After controlling for market size, their findings provide support for over-reacti...

This study examines the changes in return comovement around the listing and delisting of stock option contracts. We show that newly option listed stocks experience an increase in comovement with a portfolio of option listed stocks and a decrease in comovement with the portfolio of non-optioned stocks. Similarly, stocks that undergo option delisting...

We examine the price, volume and bid–ask spread reactions to lock-in expiries in Hong Kong IPOs. We show that the lock-in expiry causes an increase in both trading volume and bid–ask spread, but no significant change in the share price. We attribute the absence of a price reaction to the fact that most of the Hong Kong IPO firms are controlled by o...

In this paper, the authors examine the impacts of large price changes (or shocks) on the abnormal returns (ARs) of a set of 39 national stock indices. Their initial results support returns continuations for both positive and negative shocks in line with prior results. After controlling for market size, their findings provide support for over-reacti...

We extend Leung and Menyah's (2006) study by relating the estimation of the issuer-oriented underpricing costs to the IPO offering methods. We distinguish between the oversubscription rates of institutional and retail investors in the estimation of the issuer-oriented underpricing costs associated with the pure fixed price, fixed price and bookbuil...

AbstractWe examine the short-term price behavior of ten Asian stock market indexes following large price changes or “shocks”. Under the standard OLS regression, there is stronger support for return continuations particularly following positive and negative price shocks of less than 10% in absolute size. The results under the GJR-GARCH method provid...

We examine the short-term price reaction of 424 UK stocks to large one-day price changes. Using the GJR-GARCH(1,1), we find no statistical difference amongst the cumulative abnormal returns (CARs) of the Single Index, the Fama–French and the Carhart–Fama–French models. Shocks ⩾5% are followed by a significant one-day CAR of 1% for all the models. W...

This study examines the relationship between systematic liquidity risk and stock price reaction to large one-day price changes (or shocks). We base our analysis on 642 constituents of the FTSEALL share index. Our overall results are consistent with Brown et al.’s (1988) uncertain information hypothesis. However, further analysis suggests that stock...

This study examines whether systematic liquidity risk is priced on the London Stock Exchange (LSE). We use the proportional quoted bid-ask spread, Amihud's (2002) market illiquidity ratio, and turnover rate as liquidity proxies. In contrast to the US studies, we do not find evidence that systematic liquidity risk is priced on the LSE.

This article extends Mayhew and Mihov (200422. Mayhew , S and Mihov , V . 2004. How do exchanges select stocks for option listing?. Journal of Finance, 59: 447–71. View all references) and Mazouz (200423. Mazouz , K . 2004. The effect of CBOE Option listing on the time varying total risk of the underlying stocks. Journal of Empirical Finance, 11...

We examine whether the Hong Kong Stock Exchange listed firms include warrants in their initial public offerings (IPOs) to signal their quality. We show that IPOs with warrants have higher profitability and better asset utilization rates compared to IPOs without warrants. We also report evidence that after controlling for the level of retained owner...

This study examines the long-term price performance of share-only versus unit IPOs issued on the Hong Kong Stock Exchange during 1990–2002. Our main objective is to test the extent to which the agency cost and signaling models explain the reasons for unit IPOs issuance using the long-term price performance approach. The agency cost model suggests t...

We study the price and liquidity effects following the FTSE 100 index revisions. We employ the standard GARCH(1,1) model to allow the residual variance of the single index model (SIM) to vary systematically over time and use a Kalman filter approach to model SIM coefficients as a random walk process. We show that the observed price effect depends o...

This article tests the overreaction hypothesis using data from the UK stock market. The study covers a period of 30 years (from 1973 to 2002). The results initially seem to be consistent with the overreaction hypothesis and no obvious seasonal pattern can be identified. Our results do not depend on whether buy-and-hold returns (BHR) or cumulative a...

We examine short- and the long-term price effect associated with the FTSE 100 index revisions. We control for both heteroskedastic nature of the residual and the change, between the estimation and the test period, in the beta coefficient of the standard market model. Our findings reveal no relationship between the long-term price reversals and the...

This paper re-examines the evidence on how the listing of options impacts on underlying stock’s volatility by taking into consideration the possible presence of a learning effect, along with the impact of the very endogenous nature of the options listing decision itself. Our analyses are centred on both the portfolio approach as well as the individ...

This study investigates the impact of LIFFE's introduction of individual equity futures contracts on the risk characteristics of the underlying stocks trading on the LSE. We employ the Fama and French three-factor model (TFM) to measure the change in the systematic risk of the underlying stocks which arises subsequent to the introduction of futures...

This paper employs the standard General Auto-regressive Conditional Heteroskedasticity (GARCH(1,1)) process to examine the impact of option listing on volatility the underlying stocks. It takes into consideration the time variation in the individual stock's variance and explicitly tests whether option listing causes any permanent volatility change....

This paper investigates the relationship between options listing and the time varying volatility of the underlying stock returns, simultaneously accounting for several inherent sources of measurement bias which arise in examining the impact of an exchange's option listing decision. To account for the time varying nature of the individual firm's ris...

In this paper, we re-examine the impact of options listing on the volatility of the underlying stocks. We take into consideration the possible presence of dual effect, learning effect, and the endogenous nature of the options listing decision in our sample. We argue the empirical results are likely to depend on the characteristics of the stocks inc...

No This paper employs the standard General Auto-regressive Conditional Heteroskedasticity (GARCH(1,1)) process to examine the impact of option listing on volatility the underlying stocks. It takes into consideration the time variation in the individual stock's variance and explicitly tests whether option listing causes any permanent volatility chan...