Size and book to market effects: further evidence from the French case.

The objective of this paper is to study the market, SMB, HML and The leverage factors inexplaining cross-sectional returns.We provide the first empirical analysis of Ferguson and Shockley (2003) theoretical frame work on the French stock market. Book to market and size, variables which a recorrelated with leverage, will appear to explain returns.Our main result is that the leverage factor doesn’t subsume the SMB and HML factors. Incross-sectional regressions, only the size premium is statistically significant and help explaining returns.In time- series regressions, the three factors (SMB, HML andleverage),with the market portfolio,do a good job. This result suggests that the leverage portfolio has an additional improvement of the model.Risk factors and The Fama and French Model; Anomalies; Asset Pricing;

Les modèles d'évaluation des actifs financiers et les co-moments d'ordre trois et quatre.

L'étude du modèle à trois facteurs en présence des comoments d'ordres trois et quatre dans le cadre du marché français fait l'objet de cet article. Le pouvoir explicatif des portefeuilles de marché, HML et SMB est testé en présence des portefeuilles de co-skewness et de co-kurtosis. À l'exception de quelques coefficients des portefeuilles de co-kurtosis et de coskewness significativement différents de zéro, aucun pouvoir explicatif supplémentaire n'est enregistré. Par ailleurs, le co-moment d'ordre trois (quatre) peut être associé à la classe des grandes (petites) capitalisations. Les investisseurs orientés vers les titres des grandes (petites) entreprises sont plus sensibles à l'asymétrie (l'aplatissement) de la distribution des rentabilités.In this study, we test the size and the book to market effects in explaining stock returns with co-skewness and co-kurtosis on the French Stock Market over July 1976 to June 2001 period. Results of time series regressions of monthly portfolio returns are consistent with the Fama and French (1993) conclusions and inconsistent with the Harvey and Siddique (1999) proposition. Moreover, we obtain an interesting result about the relation between the size classification and the two co-moments of skewness and kurtosis. Co-skewness seems to be more significant in explaining stock returns of big capitalizations and cokurtosis is more related to small capitalizations in the French case. However, co-skewness and co-kurtosis don't subsume the SMB and HML factors.Gestion de portefeuille; Rentabilité; Marchés financiers; Capitalisation;

Utilisation du modèle KINEROS pour la simulation des hydrogrammes et des turbidigrammes en zone semi-aride tunisienne

L'article qui est proposé s'inscrit dans le cadre de la recherche de systèmes de gestion de l'eau qui soient en mesure de satisfaire une demande alimentaire croissante dans un contexte de rareté de l'eau, tout en respectant les exigences de l'environnement. Il développe la phase 1 d'une démarche méthodologique visant l'élaboration d'un plan de gestion des eaux d'un lac collinaire en zone semi-aride tunisienne pour un développement agricole durable. Cette phase correspond à l'utilisation d'un modèle de prévision du ruissellement et des sédiments par averse. Le modèle mathématique à paramètres physiques distribués KINEROS est utilisé et appliqué sur un petit bassin versant de 135,35 ha pour 9 averses enregistrées durant les deux années 1997 et 1998 en affectant aux différents paramètres du modèle des valeurs réalistes basées sur les résultats expérimentaux collectés dans la littérature.L'application de ce type de modèle nécessite la connaissance de l'occupation du sol à un instant donné. Pour ce faire, une carte d'aménagement agricole pour l'ensemble du bassin versant a été établie correspondant à la résultante de deux cartes élaborées ; la carte culturale et la carte d'aménagement antiérosif.L'analyse des résultats obtenus a montré que le modèle KINEROS peut être utilisé comme outil d'aide à la gestion des terres et des sols en zone semi-aride tunisienne à relief accidenté.The process of erosion-sedimentation is initiated by rainfall and runoff from hill slopes and channels. Runoff is considered as a transport vector, which is related to agricultural management systems and land use. To simulate and predict the behaviour of ungauged watersheds, distributed parameter models are of great interest. Among the different developed models, conceptual and physically-based models are interesting to investigate, specifically under semi-arid conditions. As reported by many authors, these models allow reliable evaluation of the hydrologic responses to land use changes and thus can be used for elaboration of water and soil conservation plans. The accuracy of erosion and sedimentation results is related to the quality of the hydrologic component. An appropriate way of studying soil erosion is through the formulation of the fundamental transport equations of water and sediment using the kinematic wave simplification. In this context, the KINEROS model is used. This paper deals with water management systems, which are able to satisfy an increasing food supply requirement within a context of water scarcity while respecting environmental requirements. It develops the first phase of a methodological approach for the establishment of a management plan for water stored in a small dam for a sustainable agricultural management.This phase was elaborated and applied to the M'Richet El Anze watershed in a Tunisian semi-arid area using the following approach. A study of the hydrological and sedimentological performances of the KINEROS model using a set of hydrological and sedimentological data measured at a hydrologic station for a sub-catchment of 40 ha of the M'Richet El Anze watershed during the period September 1994 - March 1996. Flow has been measured since 1994 at a hydrometric station with a rectangular channel (9.3 m T 1.2 m T 1.5 m in height, with an average slope of 2.5%). A limnigraph (OTT X) and a triangular flume, situated at the end of the channel, were used to measure the flow rate with a time step of 10 min. Sediment load was measured by taking manual samples with 1 L bottles during flow events at non-regular times. Sediment deposited in the artificial channel was weighed after the runoff event. Rainfall was measured with a time step of 5 min using two gauges situated within the watershed. Input data files were elaborated using : (1) a topographic map for watershed discretisation, slope and size planes; (2) soil sampling for soil characteristics and parameters; and (3) land surface and vegetation status maps of the watershed and photos on parcels corresponding to different periods of each year for land use and surface information parameters. The KINEROS model was used to predict runoff and sediment loads for a small dam in the M'Richet El Anze watershed using an elaborate agricultural management map, which is the product of a crop map and a water and soil conservation map. Elaboration of the crop map was based on three criteria : soil texture, depth and rock cover, whereas the water and soil conservation management map was based on two criteria: land slope and soil rock cover. The rainfall data used for the runoff and sediment simulation were measured for the period 1997-1998 and only rainfall-generated runoff at the hydrologic station was considered. Characterization of rainfall erosivity was applied for different rainstorms, using the empirical erosivity index EI. The maximum erosivity was obtained for the 1998-09-25 rainstorm (39.4 K.J.mm/m2.h). Results showed that autumnal rainfalls were the most aggressive events affecting soil erosion in the Tunisian semi-arid region, especially those in September and October. We also noted an important rainfall erosivity index for June with an orographic rainstorm (30.1K.J.mm/m2.h). Related to these results, runoff seems to be related to rainstorm erosivity and soil moisture. Erosivity can affect soil structure while soil moisture involves an infiltration component, and both affect soil hydraulic conductivity. In this context, analyzing runoff-rainstorm events within a watershed and relating them to the rainfall erosivity index allowed runoff modeling, which can be done with more results. As developed by the author in 1988 for a small watershed in a Tunisian semi-arid region, a boundary intensity (IL) can be identified that is related to an antecedent soil moisture index (IPA). Related to the same work, runoff generation is defined when a pounded rainfall (PI) is anticipated. The difference between total and pounded rainfall correspond to excess rainfall. The PI is related to antecedent soil moisture index (IPA) and the boundary intensity (IL). These results showed the importance of the hydrologic component of the model and especially infiltration modeling.Thus, accuracy of erosion data is related to the precision of the hydrological results. The following can be concluded from the application of the KINEROS model:1. The KINEROS model can be used for predicting runoff from ungauged watersheds and for evaluating future land use master-plans for Tunisian semi-arid high lands ; 2. Best runoff simulations were obtained for rainstorms that lasted less than one hour, with high intensity and a total rain of more than 20 mm ;3. The accuracy of erosion results was related to the hydrological component and precision of parameters assessment ;4. For runoff forecasts in the small dam of M'Richet El Anze, the small amount and the irregularity of runoff prompt the use of collected water for extra irrigation of crops and vegetation tolerant to water stress ;5. Development of annual crops would increase the efficiency of autumnal runoff ;6. Irrigation duty duration from the small dam was related to the extent of water erosion and sediment deposition, which were related to runoff and topography ;7. The developed methodology used for the application of the KINEROS model to predict the impact of water and soil conservation management on a Tunisian semi-arid watershed without calibration is interesting, especially because it allows the elaboration of distributed soil parameters and crop maps, which can be used as a decision support system for erosion control on hill slopes, keeping dams located downstream in good working order

Les modèles d'évaluation des actifs financiers et les co-moments d'ordre trois et quatre.

L'étude du modèle à trois facteurs en présence des comoments d'ordres trois et quatre dans le cadre du marché français fait l'objet de cet article. Le pouvoir explicatif des portefeuilles de marché, HML et SMB est testé en présence des portefeuilles de co-skewness et de co-kurtosis. À l'exception de quelques coefficients des portefeuilles de co-kurtosis et de coskewness significativement différents de zéro, aucun pouvoir explicatif supplémentaire n'est enregistré. Par ailleurs, le co-moment d'ordre trois (quatre) peut être associé à la classe des grandes (petites) capitalisations. Les investisseurs orientés vers les titres des grandes (petites) entreprises sont plus sensibles à l'asymétrie (l'aplatissement) de la distribution des rentabilités.In this study, we test the size and the book to market effects in explaining stock returns with co-skewness and co-kurtosis on the French Stock Market over July 1976 to June 2001 period. Results of time series regressions of monthly portfolio returns are consistent with the Fama and French (1993) conclusions and inconsistent with the Harvey and Siddique (1999) proposition. Moreover, we obtain an interesting result about the relation between the size classification and the two co-moments of skewness and kurtosis. Co-skewness seems to be more significant in explaining stock returns of big capitalizations and cokurtosis is more related to small capitalizations in the French case. However, co-skewness and co-kurtosis don't subsume the SMB and HML factors.Capitalisation; Rentabilité; Gestion de portefeuille; Marchés financiers;

Size and book to market effects: further evidence from the French case.

The objective of this paper is to study the market, SMB, HML and The leverage factors inexplaining cross-sectional returns.We provide the first empirical analysis of Ferguson and Shockley (2003) theoretical frame work on the French stock market. Book to market and size, variables which a recorrelated with leverage, will appear to explain returns.Our main result is that the leverage factor doesn’t subsume the SMB and HML factors. Incross-sectional regressions, only the size premium is statistically significant and help explaining returns.In time- series regressions, the three factors (SMB, HML andleverage),with the market portfolio,do a good job. This result suggests that the leverage portfolio has an additional improvement of the model.Asset Pricing; Anomalies; Risk factors and The Fama and French Model;

Investissement, produits financiers et anomalies boursières

Understanding and explaining the risk-return relationship is considered as a main issue in finance. Since the mean-variance model, the investment decision for both investors and firms is based on an optimization of risk and return. Nevertheless, the observation of anomalies in financial markets, the succession of financial crises and the growing interest to the extra-financial rating require broadening the spectrum analysis of this relationship. In our research work, we shed light on the investment decision for three assets (equities, bonds and derivatives). First, we study asset pricing models and especially the three-factor Fama and French (1993) model in explaining value and size premiums on the French stock market. We show that factor models fit better excess return description. Then, we revisit the duration-convexity approximation used in hedging bond positions. We propose an approximation that leads to a perfect fit of the bond change. For derivatives, we identify the determinants of hedging derivatives decision in the case of French companies. Dealing with the portfolio selection and optimization problem in the point of view of individual investors, we give the number of securities providing the maximum return in the presence of transaction costs. Finally, we introduce the regulatory and institutional framework in understanding the risk-return relationship. Three important issues are considered: the responsibility or not of market discipline in the transformation of the relationship risk-return during the financial crisis, the responsibility of Environmental, Social and Governance (ESG) criteria in redefining the investment decision in the French regulatory framework of Grenelle 2 law, and corporate social responsibility measured by the extra-financial rating and its dependence on institutional and legal framework.La relation linéaire entre la rentabilité et le risque qui date des travaux de Markowitz (1952) constitue un axe central de recherche en finance. Depuis sa formalisation dans le cadre du modèle moyenne-variance, la décision d’investissement aussi bien pour l’investisseur que l’entreprise repose sur un raisonnement d’optimisation de la rentabilité et du risque. Néanmoins, l’observation des anomalies sur les marchés financiers, la succession des crises financières et l’intérêt croissant porté à la notation extra-financière des entreprises élargissent le spectre d’analyse de cette relation. Ma réflexion entre dans ce cadre spécifique couvrant ainsi plusieurs champs de la recherche en finance. Le premier axe de réflexion analyse la relation rentabilité-risque dans le cadre du marché français des actions. La problématique générale posée porte sur la légitimité des modèles ad hoc comme celui à trois facteurs de Fama et French (1993) dans l’explication des anomalies. A ce titre quatre essais sur le modèle à trois facteurs sont menés. Les résultats suggèrent la supériorité de ce dernier modèle dans l’explication des rentabilités des titres français. Le deuxième thème de recherche s’intéresse aux obligations. Plus spécifiquement, le couple rentabilité-risque est analysé dans le cas d’une obligation suite à une variation de la structure par termes des taux d’intérêts. Un développement théorique démontre les limites de l’approximation de la variation du prix d’une obligation donnée dans la littérature financière et une solution explicite et précise est présentée. Dans le troisième axe de recherche, le couple rentabilité-risque est considéré dans le cadre des produits dérivés. Plus précisément, les déterminants de la décision de couverture des risques par des produits dérivés dans le cas des entreprises françaises sont identifiés. Le quatrième axe de recherche considère la relation rentabilité-risque dans le cas d’un investisseur individuel en intégrant les coûts de transactions. Ces derniers sont soit ignorés, soit traités d’une manière sommaire éloignée de la pratique par la littérature financière. Une solution analytique au problème d’optimisation de l’investisseur donnant le nombre d’actifs à acheter maximisant son rendement en présence d’une fonction par paliers des couts de transaction est présentée. Ce développement théorique est corroboré par des simulations numériques proches de la pratique. Enfin, le cinquième thème introduit une approche plus globale du couple rentabilité-risque intégrant le cadre règlementaire et institutionnel. Trois réflexions sont exposées : la responsabilité ou non de la discipline de marché dans la transformation de la relation rentabilité-risque au cours des crises financières, la responsabilité des critères Environnementaux, Sociaux et de Gouvernance (ESG) dans la redéfinition de la décision d’investissement avec le cadre règlementaire français de la loi Grenelle 2, et la responsabilité sociétale des entreprises mesurée par la notation extra-financière et sa dépendance au cadre institutionnel et juridique

FARMERS' PREFERENCES FOR CROP CONTRACTS

An empirical approach combining elements of principal-agent theory and transaction cost economics is used to determine farmers'Â’ preferences for contract terms in crop production. The approach is tested by asking grain farmers to rank contract choices and specify price premiums in simulated case situations. The statistical results indicate that farmers'Â’ preferences for rates of cost sharing, price premiums, and financing arrangements are significantly influenced by asset specialization and uncertainty associated with the case situations, and by selected business and personal characteristics.Farm Management,

Risk Disclosures and Cultural Values: A Research Note

Despite a significant increase in accounting research on risk disclosures that has emerged over the last two decades, there is paucity of cross-country evidence from non-financial sectors. This research note analyzes how country-specific cultural values are linked to the level of risk disclosure. We hypothesize a positive association between the level of risk disclosure and each of Hofstede’s (2001) cultural values: Power distance, uncertainty avoidance, individualism, masculinity, and long-term orientation. For a sample of manufacturing firms from four countries, our results support the hypothesis, except for masculinity, after controlling for a country’s legal system. This pattern holds for several types of risk disclosures. Our findings extend those of Elshandidy, Fraser and Hussainey (2015), contribute to cross-country disclosure research on the role of cultural values, and are relevant to current efforts to harmonize risk disclosures internationally. Keywords: Cross-country research; Cultural values; Risk disclosures

Hydrogen enriched syngas production via gasification of biofuels pellets/powders blended from olive mill solid wastes and pine sawdust under different water steam/nitrogen atmospheres

International audienceIn this paper we focused on the gasification of biomass charcoal using a macro TG under the CO2 gasifier agent mixed with nitrogen at different mass molar fractions; 40%, 70% and 100% respectively. Moreover, the gasification tests were conducted at different isothermal temperatures; 750°C, 800°C, and 900°C respectively. For this purpose, two densified residues were selected; the exhausted olive mill solid wastes (EOMSW) and the pine sawdust (PS). Then, four different samples were prepared from these residues when investigating the impregnated and the non-impregnated samples using the olive mill waste water (OMWW) as by-product for the impregnation process. A comparison between obtained results during this current study and those obtained during our latest study when using steam as gasifier agent was carried out. We observe that the mass loss profiles meet the usual lingo-cellulosic gasification behaviours. Moreover, the increase of the isothermal temperatures or of the CO2 percentage affects positively the conversion, the gasification rate and the char reactivity. It is worth noting that the CO2 agent acts differently by comparison to the steam. Indeed, the gasification process using steam is found to be faster and more reactive