Rim Zaabar’s research while affiliated with SKEMA Business School and other places

This article investigates the long-term impact of the 11 September 2001 terrorist attacks on the maturity, volume and open interest effects for the S&P 500 index futures contracts. Adopting Chou (2005a, b)’s range-based volatility models, this article provides a number of interesting results. For the maturity effect, we find evidence for a very weak presence in the pre 9/11 period and no presence in the post 9/11 period, indicating that the maturity effect vanishes completely following the event of 9/11. Despite a strong presence of the volume effect in both periods, we detect a relative decrease in the presence during the post 9/11 period. The open interest effect shows a very weak presence during the pre 9/11 period and a strong presence during the post 9/11 period, indicating a stronger open interest effect following the event of 9/11. Furthermore, we show that there is a bi-directional causality relationship between futures volatility and trading volume during the pre 9/11 period, and that the causality relationship between the two variables becomes unidirectional during the post 9/11 period.

Most empirical research of the path-dependent, exotic-option credit risk model focuses on developed markets. Taking Taiwan as an example, this study investigates the bankruptcy prediction performance of the path-dependent, barrier option model in the emerging market. We adopt Duan’s (1994) [11], (2000) [12] transformed-data maximum likelihood estimation (MLE) method to directly estimate the unobserved model parameters, and compare the predictive ability of the barrier option model to the commonly adopted credit risk model, Merton’s model. Our empirical findings show that the barrier option model is more powerful than Merton’s model in predicting bankruptcy in the emerging market. Moreover, we find that the barrier option model predicts bankruptcy much better for highly-leveraged firms. Finally, our findings indicate that the prediction accuracy of the credit risk model can be improved by higher asset liquidity and greater financial transparency.

Most empirical research of the barrier option credit risk model focus on developed markets. Taking Taiwan market as an example, this study investigates the bankruptcy forecasting performance of the barrier option credit risk model in emerging markets. We adopt Duan (1994, 2000) transformed-data maximum likelihood estimation method to directly estimate the unobserved model parameters, and compare the predictive ability of the barrier option model to Merton model. Our findings show that the barrier option credit risk model is still more powerful than Merton model in predicting bankruptcy in emerging market. Moreover, the barrier option model predicts bankruptcy much better for electronics firms and for highly-leveraged firms. Finally, the prediction accuracy of the credit risk models can be improved by liquidity and financial transparency.

We analyse how public announcements of shareholders going beyond or above legal thresholds of ownership affect firm value. We use event study methodology to measure the valuation effect of purchases and sales of shares by large shareholders over the period January 1991 to March 2007 for firms listed on the French market. While announcements of increases in ownership concentration do not trigger a significant market response, we find evidence for a negative impact of decreases in ownership concentration on stock price. Besides, we implement a cross sectional analysis of the relationship between changes in firm value and changes in ownership and find no support for the causality.

We analyse how public announcement of shareholders going beyond or above legal thresholds of ownership affects firm value. We use the event study methodology to measure the valuation effect of purchases and sales of shares by large shareholders over the period 1991 to March 2007 for firms listed in French market. While announcements of increases in ownership concentration do not trigger a significant market response, we find evidence for a negative impact of decreases in ownership concentration on stock price. Besides, we implement a cross sectional analysis of the relationship between changes in firm value and changes in ownership and find no support for the causality.: