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Prof. Cherif Guermat
Department of Accounting, Economics and Finance; the University of the West of England, Bristol, BS16 1QY, United Kingdom

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0 Asset Pricing
0 Credit Management
0 International Business
0 Risk Management
0 Inflation accounting

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Journal article
Published: 05 June 2021 in Journal of Behavioral and Experimental Finance
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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 sensitivity of investment decision to cash flow. We use several measures of optimism and a panel of UK listed firms to confirm two hypotheses, namely that optimism increases the sensitivity of investment to cash flow, and that this sensitivity is only found in cash constrained firms. Our results are generally consistent with previous studies conducted on US firms.

ACS Style

Eman Elgebeily; Cherif Guermat; Vasco Vendrame. Managerial optimism and investment decision in the UK. Journal of Behavioral and Experimental Finance 2021, 31, 100519 .

AMA Style

Eman Elgebeily, Cherif Guermat, Vasco Vendrame. Managerial optimism and investment decision in the UK. Journal of Behavioral and Experimental Finance. 2021; 31 ():100519.

Chicago/Turabian Style

Eman Elgebeily; Cherif Guermat; Vasco Vendrame. 2021. "Managerial optimism and investment decision in the UK." Journal of Behavioral and Experimental Finance 31, no. : 100519.

Article
Published: 17 June 2020 in Asia Pacific Journal of Management
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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 challenges. Based on a qualitative data from ten major investment banks operating in the largest financial market in the Middle East, we show that investment banks can achieve resilience by adjusting their business models through continuous activity changes in response to internal and external challenges. Specifically, investment banks adjust their business models through deploying alternative combinations of activities from a broad repertoire of activities. Within the same bank, divisions that respond to external challenges tend to sustain their performance, whereas resilient divisions that respond to both internal and external challenges tend to bounce back or achieve substantial increase in performance levels. This study contributes to the literature by proposing resilience as an alternative approach to business model innovation and by providing insight into how firms adjust their business models by altering specific activities in response to both internal and external challenges.

ACS Style

Boumediene Ramdani; Ahmed Binsaif; Elias Boukrami; Cherif Guermat. Business models innovation in investment banks: a resilience perspective. Asia Pacific Journal of Management 2020, 1 -28.

AMA Style

Boumediene Ramdani, Ahmed Binsaif, Elias Boukrami, Cherif Guermat. Business models innovation in investment banks: a resilience perspective. Asia Pacific Journal of Management. 2020; ():1-28.

Chicago/Turabian Style

Boumediene Ramdani; Ahmed Binsaif; Elias Boukrami; Cherif Guermat. 2020. "Business models innovation in investment banks: a resilience perspective." Asia Pacific Journal of Management , no. : 1-28.

Articles
Published: 04 July 2019 in Journal of Education and Work
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This paper investigates the impact of higher education characteristics on economic performance. Despite a relatively plethoric literature, there is still a clear lack of understanding of the interaction of teaching and training with knowledge, innovation and economic performance; the heterogeneity across levels of economic development; and the mediating role of innovation and knowledge. The existing literature on higher education policy, economics and innovation helps us identify four key higher education characteristics relating to size, funding, subsidies and mismatching. Cross-country education, patents and publications data are used to estimate the direct and indirect effects of the four higher education characteristics on economic performance. We draw a number of conclusions, including the desirability of subsidies and greater access to higher education, and the non-desirability of the ‘Ivory Tower’ system. We also find a significant difference in the interaction of higher education characteristics with economic performance across levels of economic development.

ACS Style

Radhia Bouchakour; Mohammed Saad; Cherif Guermat. Higher education teaching and training system and economic performance: an empirical investigation. Journal of Education and Work 2019, 32, 500 -517.

AMA Style

Radhia Bouchakour, Mohammed Saad, Cherif Guermat. Higher education teaching and training system and economic performance: an empirical investigation. Journal of Education and Work. 2019; 32 (5):500-517.

Chicago/Turabian Style

Radhia Bouchakour; Mohammed Saad; Cherif Guermat. 2019. "Higher education teaching and training system and economic performance: an empirical investigation." Journal of Education and Work 32, no. 5: 500-517.

Journal article
Published: 01 March 2018 in International Review of Financial Analysis
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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 given for the CAPM's empirical failure is that beta is not the sole measure of systematic risk. In other words, the standard CAPM does not hold. Another important explanation is that the CAPM may hold conditionally rather than unconditionally. The standard CAPM fails to explain the cross-section of returns because it ignores the fact that both the risk and the price of risk are time-varying. The search for conditional models has led researchers to either disregard the theory behind the CAPM or to use statistical procedures that are too complex to be replicated by other researchers and practitioners. In this paper we propose a conditional model that is compatible with the standard CAPM while remaining simple and accessible to both researchers and practitioners. Beta and the risk premium are assumed to be time-varying, with the latter being associated with bull and bear states. We find strong support for the conditional CAPM with beta explaining both bull and bear markets. While the bear market ex-post risk premium is negative, the weighted average risk premium is positive and highly significant.

ACS Style

Vasco Vendrame; Cherif Guermat; Jon Tucker. A conditional regime switching CAPM. International Review of Financial Analysis 2018, 56, 1 -11.

AMA Style

Vasco Vendrame, Cherif Guermat, Jon Tucker. A conditional regime switching CAPM. International Review of Financial Analysis. 2018; 56 ():1-11.

Chicago/Turabian Style

Vasco Vendrame; Cherif Guermat; Jon Tucker. 2018. "A conditional regime switching CAPM." International Review of Financial Analysis 56, no. : 1-11.

Journal article
Published: 01 December 2016 in Journal of Commodity Markets
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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 transmission from oil to equities but little transmission to agricultural commodities. The total pairwise directional connectedness to equities is around 20.4%, while it is only 1.6%, 1.0% and 2.0% to wheat, corn, and soybeans respectively. The risk spillover from oil to precious metals and Euro/Dollar foreign exchange rates is moderate. For instance, the oil market uncertainty spills 11.0%, 11.1% and 8.9% to gold, silver and Euro/Dollar exchange rate respectively. The volatility crossover from all of these markets to oil is tiny, implying that oil is the main driver of its association with these markets. Finally, we provide evidence that the transmission from oil to other markets has increased since the collapse of oil prices in July 2014.

ACS Style

Basel Awartani; Maghyereh Aktham; Guermat Cherif. The connectedness between crude oil and financial markets: Evidence from implied volatility indices. Journal of Commodity Markets 2016, 4, 56 -69.

AMA Style

Basel Awartani, Maghyereh Aktham, Guermat Cherif. The connectedness between crude oil and financial markets: Evidence from implied volatility indices. Journal of Commodity Markets. 2016; 4 (1):56-69.

Chicago/Turabian Style

Basel Awartani; Maghyereh Aktham; Guermat Cherif. 2016. "The connectedness between crude oil and financial markets: Evidence from implied volatility indices." Journal of Commodity Markets 4, no. 1: 56-69.

Journal article
Published: 01 March 2016 in International Review of Financial Analysis
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Highlights•Extending the standard CAPM to higher moments adds to its power in explaining average stock returns.•Using individual assets increases the spread of systematic risks and allows for better model fit.•Asset pricing tests should use conditional estimates of expected returns and systematic risks.•Covariance and cokurtosis demand a positive premium, while coskewness has a negative premium.•Although the higher moments are significant, they do not explain away the size premium (SMB). AbstractThere 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 levels of prudence. This has motivated the introduction of the four-moment capital asset pricing model (CAPM). This extension, however, has not been able to successfully explain average returns. Our paper argues that a number of pitfalls may have contributed to the weak and conflicting empirical results found in the literature. We investigate whether conditional models, whether models that use individual stocks rather than portfolios and whether models that extend both the moment and factor dimension can improve on more traditional static, portfolio-based, mean–variance models. More importantly, we find that the use of a scaled coskewness measure in cross-section regression is likely to be spurious because of the possibility for the market skewness to be close to zero, at least for some periods. We provide a simple solution to this problem.

ACS Style

Vasco Vendrame; Jon Tucker; Cherif Guermat. Some extensions of the CAPM for individual assets. International Review of Financial Analysis 2016, 44, 78 -85.

AMA Style

Vasco Vendrame, Jon Tucker, Cherif Guermat. Some extensions of the CAPM for individual assets. International Review of Financial Analysis. 2016; 44 ():78-85.

Chicago/Turabian Style

Vasco Vendrame; Jon Tucker; Cherif Guermat. 2016. "Some extensions of the CAPM for individual assets." International Review of Financial Analysis 44, no. : 78-85.

Journal article
Published: 01 May 2015 in Research in International Business and Finance
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ACS Style

Amer Demirovic; Jon Tucker; Cherif Guermat. Accounting data and the credit spread: An empirical investigation. Research in International Business and Finance 2015, 34, 233 -250.

AMA Style

Amer Demirovic, Jon Tucker, Cherif Guermat. Accounting data and the credit spread: An empirical investigation. Research in International Business and Finance. 2015; 34 ():233-250.

Chicago/Turabian Style

Amer Demirovic; Jon Tucker; Cherif Guermat. 2015. "Accounting data and the credit spread: An empirical investigation." Research in International Business and Finance 34, no. : 233-250.