OVERCONFIDENCE BIAS: EXPLANATION OF MARKET ANOMALIES FRENCH MARKET CASE

In this study, we test whether the overconfidence bias explains several stylized market anomalous, including a short-term continuation (momentum), a long-term reversal in stock returns, high levels of trading volume and excessive volatility. Using data of French stocks market, we find empirical evidence in support of overconfidence hypothesis. First, based on a restricted VAR framework, we show that overconfident investors overreact to private information and underreact to public information. Second, by performing Granger-causality tests of stock returns and trading volume, we find that overconfident investors trade more aggressively in periods subsequent to market gains. Third, based on a two GARCH specifications, we show that self attribution bias, conditioned by right forecasts, increases investors overconfidence and trading volume. Fourth, the analysis of the relation between return volatility and trading volume shows that the excessive trading of overconfident investors makes a contribution to the observed excessive volatility.Overconfidence, Behavioural finance, Over (under) reaction, Trading volume, Volatility

sl(2)-Trivial Deformations of Vect_{Pol}(R)-Modules of Symbols

We consider the action of Vect_{Pol}(R) by Lie derivative on the spaces of symbols of differential operators. We study the deformations of this action that become trivial once restricted to sl(2). Necessary and sufficient conditions for integrability of infinitesimal deformations are given.Comment: This is a contribution to the Special Issue on Deformation Quantization, published in SIGMA (Symmetry, Integrability and Geometry: Methods and Applications) at http://www.emis.de/journals/SIGMA

Agricultural and non-agricultural outputs and energy consumption in Tunisia: empirical evidences from cointegration and causality

This short paper investigates the cointegration and causality link between energy consumption and agricultural, non-agricultural outputs (manufacturing sector and services sector) and overall gross domestic product in Tunisia for 1971-2003 period. Empirical results suggest that there is only unidirectional causality running from agricultural and non-agricultural sectors to energy consumption as well as from overall GDP growth to energy consumption. This unidirectional causality signifies a less energy dependent economy and suggests that it is sectoral growth that drives the energy consumption in Tunisia and not vice versa. Empirical results suggest also that Tunisian agricultural sector growth does not depend on energy, and high consumption of energy do not implies more productivity in the short run for this sector.energy consumption, output growth, causality, cointegration, Tunisia, Resource /Energy Economics and Policy,

CO2 emissions, energy consumption and economic growth in Tunisia

The aim of this country specific study is to understand long and short-run linkages between economic growth, energy consumption and CO2 emission using Tunisian data over the period 1971-2004. Statistical findings indicate that economic growth, energy consumption and CO2 emission are related in the long-run and provide some evidence of inefficient use of energy in Tunisia, since environmental pressure tends to rise faster than economic growth. In the short run, results support the argument that economic growth exerts a positive “causal” influence on energy consumption growth. In addition, results from impulse response do not confirm the hypothesis that an increase in pollution level induces economic expansion. Although Tunisia has no commitment to reduce Greenhouse Gas emissions, energy efficiency investments and emission reduction policies will not hurt economic activities and can be a feasible policy tool for Tunisia.CO2 emissions, Energy Consumption, Economic Growth, Tunisia, Resource /Energy Economics and Policy,

The long run Phillips curve and the role of downward nominal wage rigidity in Tunisia

The long run Phillips curve has been a controversial topic for many economists such as Friedman (1968) and Lucas (1972) among others since the 70's. Many new studies concerning the impact of downward nominal wage resistance hypothesis on the long run Phillips curve have enriched the empirical literature. However, the essential idea of this study is to examine the evidence of this hypothesis and its impact on the long run Phillips curve in Tunisia. Relying on annual data covering the period 1962-2004, we estimate two models of the Phillips curve: one is standard and the other with downward nominal wage rigidity in which we are inspired by the works of Akerlof, Dickens and Perry (1996). We adopt two estimation methods: the Ordinary Least Square and the Non Linear Least Square. Our results suggest a possibility of a long run unemployment inflation trade off incorporating the downward nominal wage rigidity hypothesis.

Explanatory Factors of X-Efficiency In The Tunisian Banks: A Stochastic Frontier Approach

The Tunisian banks currently operate in a very competitive environment. Long-term viability of this sector depends on its degree of efficiency. Therefore a study relating to the determinants of X-Efficiency in Tunisian banks is of major interest. For that purpose, we made recourse to an extension of the stochastic frontier approach called " Improved SFA " which assumes a parameter of truncation specific to each bank. The empirical results reveal differences in efficiency pronounced according to the size and the structure of property of the banks. The average efficiency of the small and average sizes banks is significantly more significant than that of large banks. Moreover, the public banks are relatively more efficient than the private banks. Thereafter, we analyze the internal determinants of the level of the efficiency of the Tunisian banks. Within this framework, three results deserve to be underlined. Firstly, the improvement of the level of the efficiency of the Tunisian banks is related to the managerial capacity rather than with the size of the banks. Moreover, preponderance of the activity of credit, compared to other outputs represents a source of efficiency. Secondly, there is a negative relation between the ratio equity on total asset and the efficiency of banks, which seems to indicate that those are too committed in risk activities. Thirdly, the share of the non performants loans represents a source of inefficiency, insofar as it cost of a bank increases with these types of loans, especially for the banks of large sizes.X-Efficiency, Stochastic Frontier Approach" SFA ", Trade banks, Translog Model, internal determinants

Risk of refunding default in micro-finance institution by Bayesian networks : case of Tunisia

The objective of this paper is twofold: measuring credit of institution microstructure and studying Enda inter-arab Tunisia by bayesian networks. After the data gathering characterizing of the customers requiring of the micro loans, this approach consists initially with the samples collected, then the setting in works about it of various network architectures and combinations of functions of activation and training and comparison between the results got and the results of the current methods used. To address this problem we will try to create a graph that will be used to develop our credit scoring using Bayesian networks as a method. After, we will bring out the variables that affect the credit worthiness of the beneficiaries of microcredit. Therefore this article will be divided so the first part is the theoretical side of the key variables that affect the rate of reimbursement and the second part a description of the variables, the research methodology and the main results.peer-reviewe

Les réseaux de neurones un outil de sélection de variables : Le cas des facteurs de risque de la maladie du cancer du sein

Ce papier utilise les réseaux de neurones avec un algorithme incrémental comme outil de sélection des facteurs de risques les plus pertinents dans la maladie du cancer du sein. Les résultats témoignent de la pertinence de l’approche neuronale avec un algorithme incrémentale dans ce domaine de recherche. A partir d’un échantillon de 248 patientes atteintes par cette maladie, il nous a été possible de déterminer la combinaison optimale des facteurs permettant d’atteindre une bonne performance prédictive du type de tumeur maligne et bénigne

L'IMPACT DE LA PARTICIPATION BUDGETAIRE ET DE L'INCERTITUDE ENVIRONNEMENTALE SUR LA PERFORMANCE ET LA SATISFACTION AU TRAVAIL

En adoptant la théorie de contingence, la présente étude examine l'impact de la participation budgétaire et de l'incertitude environnementale sur la performance et la satisfaction au travail. Cinquante trois managers appartenant à trente entreprises industrielles tunisiennes ont participé à cette étude. La collecte des données a été faite via une enquête par questionnaire. Les résultats mettent en évidence un effet modérateur positif de l'incertitude environnementale sur la relation entre la participation budgétaire et la performance et la satisfaction au travail. Ainsi, nos résultats suggèrent qu'il est nécessaire que les entreprises industrielles encouragent la participation des managers dans le processus budgétaire, surtout dans le contexte actuel de la Tunisie qui se caractérise par un degré important d'incertitude de l'environnement.Participation budgétaire, performance managériale, satisfaction au travail, incertitude environnementale

Bank credit risk : evidence from Tunisia using Bayesian networks

In this article, a problem of measurement of credit risk in bank is studied. The approach suggested to solve it uses a Bayesian networks. After the data-gathering characterizing of the customers requiring of the loans, this approach consists initially with the samples collected, then the setting in works about it of various network architectures and combinations of functions of activation and training and comparison between the results got and the results of the current methods used. To address this problem we will try to create a graph that will be used to develop our credit scoring using Bayesian networks as a method. After, we will bring out the variables that affect the credit worthiness of the beneficiaries of credit. Therefore this article will be divided so the first part is the theoretical side of the key variables that affect the rate of reimbursement and the second part a description of the variables, the research methodology and the main results. The findings of this paper serve to provide an effective decision support system for banks to detect and alleviate the rate of bad borrowers through the use of a Bayesian Network model. This paper contributes to the existing literature on customers’ default payment and risk associated to allocating loans.peer-reviewe