All Outputs (17)

A conditional higher-moment CAPM (2023)
Journal Article
Vendrame, V., Guermat, C., & Tucker, J. (2023). A conditional higher-moment CAPM. International Review of Financial Analysis, 86, 102524. https://doi.org/10.1016/j.irfa.2023.102524

This paper investigates whether dynamic and moment extensions to the traditional CAPM can improve its empirical performance and offer some alternative explanation to the cross-section of average returns on portfolios of stocks double sorted on book-t... Read More about A conditional higher-moment CAPM.

Managerial optimism and investment decision in the UK (2021)
Journal Article
El-Gebeily, E., Guermat, C., & Vendrame, V. (2021). Managerial optimism and investment decision in the UK. Journal of Behavioral and Experimental Finance, 31, Article 100519. https://doi.org/10.1016/j.jbef.2021.100519

We investigate the impact of managerial optimism on investment decision sensitivity to cash flow. Optimists tend to overestimate returns and make overly optimistic cash flow forecasts, which leads to increased investment levels, as well as increased... Read More about Managerial optimism and investment decision in the UK.

The effect of downsizing on innovation outputs: The role of resource slack and constraints (2020)
Journal Article
Ramdani, B., Guermat, C., & Mellahi, K. (2021). The effect of downsizing on innovation outputs: The role of resource slack and constraints. Australian Journal of Management, 46(2), 346-365. https://doi.org/10.1177/0312896220970609

Although the practice of downsizing is prevalent, its effects on organisational outcomes remain poorly understood. This article examines how and when downsizing affects organisational innovation. Using a unique data set of UK firms over a period of 2... Read More about The effect of downsizing on innovation outputs: The role of resource slack and constraints.

The impact of economic value added (EVA) adoption on stock performance (2020)
Journal Article
Shishany, A. A., Al-Omush, A., & Guermat, C. (2020). The impact of economic value added (EVA) adoption on stock performance. Accounting, 6(5), 687-704. https://doi.org/10.5267/j.ac.2020.6.015

© 2020 by the authors; licensee Growing Science, Canada. The adoption of EVA as a compensation and management plan, generally, impacts positively the performance of companies adopting this method. However, this paper examines whether the adoption of... Read More about The impact of economic value added (EVA) adoption on stock performance.

Business models innovation in investment banks: A resilience perspective (2020)
Journal Article
Ramdani, B., Binsaif, A., Boukrami, E., & Guermat, C. (2022). Business models innovation in investment banks: A resilience perspective. Asia Pacific Journal of Management, 39, 51–78. https://doi.org/10.1007/s10490-020-09723-z

© 2020, The Author(s). Firms frequently change their business models in order to respond to internal and external challenges. This study aims to explore how investments banks adjust their business models in response to internal and external challenge... Read More about Business models innovation in investment banks: A resilience perspective.

The interaction between academia and industry and its impact on national innovation capacity: The case of Algeria (2020)
Journal Article
Saad, M., Guermat, C., & Bourifout, Z. (2021). The interaction between academia and industry and its impact on national innovation capacity: The case of Algeria. Industry and Higher Education, 35(5), 570-580. https://doi.org/10.1177/0950422220931418

The role of higher education institutions (HEIs) in developing the innovative capacity of societies is well recognised. That role is accomplished through the creation and dissemination of knowledge, the success of which is dependent on the types and... Read More about The interaction between academia and industry and its impact on national innovation capacity: The case of Algeria.

Higher education teaching and training system and economic performance: An empirical investigation (2019)
Journal Article
Bouchakour, R., Saad, M., & Guermat, C. (2019). Higher education teaching and training system and economic performance: An empirical investigation. Journal of Education and Work, 32(5), 500-517. https://doi.org/10.1080/13639080.2019.1673885

© 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group. This paper investigates the impact of higher education characteristics on economic performance. Despite a relatively plethoric literature, there is still a clear lack of understa... Read More about Higher education teaching and training system and economic performance: An empirical investigation.

The long-term effect of economic value added adoption on the firm’s business decision (2019)
Journal Article
Guermat, C., Misirlioglu, I. U., & Al-Omush, A. (2019). The long-term effect of economic value added adoption on the firm’s business decision. Accounting Research Journal, 32(3), 496-513. https://doi.org/10.1108/ARJ-01-2018-0018

© 2019, Emerald Publishing Limited. Purpose: This study aims to examine the long-term effects of adopting economic value added (EVA) as a compensation tool on managers’ behaviour. Design/methodology/approach: The authors extend the sample used in pri... Read More about The long-term effect of economic value added adoption on the firm’s business decision.

Why do firms invest in accounts receivable? An empirical investigation of the Malaysian manufacturing sector (2018)
Journal Article
Devi, S., Paul, S. Y., Paul, S., Guermat, C., & Devi, S. (2018). Why do firms invest in accounts receivable? An empirical investigation of the Malaysian manufacturing sector. Journal of Accounting in Emerging Economies, 8(2), 166-184. https://doi.org/10.1108/JAEE-01-2017-0005

© 2018, Emerald Publishing Limited. Purpose: The purpose of this paper is to investigate the factors that influence Malaysian manufacturing sector investment in accounts receivable (AR), an asset seen by many as one of the riskiest in any company’s b... Read More about Why do firms invest in accounts receivable? An empirical investigation of the Malaysian manufacturing sector.

A conditional regime switching CAPM (2017)
Journal Article
Vendrame, V., Guermat, C., & Tucker, J. (2018). A conditional regime switching CAPM. International Review of Financial Analysis, 56, 1-11. https://doi.org/10.1016/j.irfa.2017.12.001

© 2017 Elsevier Inc. The standard Capital Asset Pricing Model (CAPM) is simple, intuitive, and grounded in sound economic theory. Yet, almost half a century's worth of empirical testing has so far failed to demonstrate its relevance. One major reason... Read More about A conditional regime switching CAPM.

The relationship between equity and bond returns: An empirical investigation (2017)
Journal Article
Tucker, J., Guermat, C., & Demirovic, A. (2017). The relationship between equity and bond returns: An empirical investigation. Journal of Financial Markets, 35, 47-64. https://doi.org/10.1016/j.finmar.2017.08.001

© 2017 Elsevier B.V. The correlation between equity and corporate debt is ambiguous. News affecting the value of a firm's assets induces a positive correlation, whereas an increase in the volatility of a firm's assets induces a negative correlation.... Read More about The relationship between equity and bond returns: An empirical investigation.

The connectedness between crude oil and financial markets: Evidence from implied volatility indices (2016)
Journal Article
Awartani, B., Maghyereh, A., & Guermat, C. (2016). The connectedness between crude oil and financial markets: Evidence from implied volatility indices. Journal of Commodity Markets, 4(1), 56-69

In this paper we exploit newly introduced implied volatility indexes to investigate the directional risk transfer from oil to US equities, Euro/Dollar exchange rates, precious metals and agricultural commodities. We find significant volatility transm... Read More about The connectedness between crude oil and financial markets: Evidence from implied volatility indices.

Some extensions of the CAPM for individual assets (2016)
Journal Article
Vendrame, V., Tucker, J., & Guermat, C. (2016). Some extensions of the CAPM for individual assets. International Review of Financial Analysis, 44, 78-85. https://doi.org/10.1016/j.irfa.2016.01.010

© 2016 Elsevier Inc. There is ample evidence that stock returns exhibit non-normal distributions with high skewness and excess kurtosis. Experimental evidence has shown that investors like positive skewness, dislike extreme losses and show high level... Read More about Some extensions of the CAPM for individual assets.

Accounting data and the credit spread: An empirical investigation (2015)
Journal Article
Demirovic, A., Tucker, J., & Guermat, C. (2015). Accounting data and the credit spread: An empirical investigation. Research in International Business and Finance, 34, 233-250. https://doi.org/10.1016/j.ribaf.2015.02.013

© 2015 Elsevier B.V. Measures of credit risk based on Merton (1974) rely upon information available in the market prices of securities. Under the Efficient Market Hypothesis market prices should reflect all available information and, hence, make redu... Read More about Accounting data and the credit spread: An empirical investigation.

Yes, the CAPM is testable (2014)
Journal Article
Guermat, C. (2014). Yes, the CAPM is testable. Journal of Banking and Finance, 46(1), 31-42. https://doi.org/10.1016/j.jbankfin.2014.05.001

It is well-known that cross-sectional tests of the CAPM are problematic. The market indexes used in empirical tests are likely to be inefficient ex ante, which could lead to spurious results even in the absence of sampling errors. This problem has le... Read More about Yes, the CAPM is testable.

The efficacy of high performance work practices in the Middle East: evidence from Algerian firms (2013)
Journal Article
Ramdani, B., Ramdani, B., Mellahi, K., Guermat, C., & Kechad, R. (2014). The efficacy of high performance work practices in the Middle East: evidence from Algerian firms. International Journal of Human Resource Management, 25(2), 252-275. https://doi.org/10.1080/09585192.2013.826918

Although there is developing evidence on the effectiveness of global HRM best practices in emerging and developing economies, little is known about the efficacy of those practices in the Middle East. This study examines the impact of high performance... Read More about The efficacy of high performance work practices in the Middle East: evidence from Algerian firms.

A net beta test of asset pricing models (2010)
Journal Article
Freeman, M. C., & Guermat, C. (2010). A net beta test of asset pricing models. International Review of Financial Analysis, 19(1), 1-9. https://doi.org/10.1016/j.irfa.2009.09.008

While many recent empirical studies of the CAPM have used conditional beta tests, this technique has recently been shown to have several weaknesses. Here we introduce a new, more robust, net beta test which shares a number of characteristics with con... Read More about A net beta test of asset pricing models.