Department of Accounting and Finance: Recent submissions

  • Nercessian, Jennifer (2022)
    Purpose: The purpose of this thesis is to find the best restructuring scenario for Lebanon through simulating what if analysis for local and external debts by taking an assumption of haircut percentages. These scenarios are taken at different estimates of the exchange rates. Additionally, this thesis will put in place reforms and recommendations aiming at promoting the neutralized sectors hoping to resolve the falling economy. Design/methodology/approach: To reach our purpose, we designed a unique regression model for USD/LBP exchange rate estimates since the official, pegged rate of 1,507.5 ...
  • Karam, Iline (Notre Dame University-Louaize, 2016)
    Purpose - This paper aims at investigating the impact of bank liquidity on the risk-taking behavior of the Lebanese commercial banks. Methodology - To achieve this objective, this study considers the impact of seven variables, namely, liquidity, size, capital, profitability, loan ratio, efficiency and revenue diversification by using a panel data of audited financial statement of Lebanese commercial banks for the period from 2008 to 2015. Three models were tested depending on the definition of risk and eight hypotheses were investigated using the fixed effect model. Findings - Empirical ...
  • Abi Farraj, Nermeen (Notre Dame University-Louaize, 2021)
    Purpose – The purpose of this thesis is to assess if natural disasters impact the volatility of 19 property-liability insurers in the United States of America (USA) and 3 stock indices over a 10-year period using GARCH (1,1), IGARCH (1,1), EGARCH (1,1) and GJR-GARCH (1,1). Additionally, we implement the Value at Risk (VaR) and Extreme Value Theory (EVT) method to generate the worst loss over a target horizon that will not be exceeded with a given level of confidence. In this regard, this thesis will be a pioneer in examining the performance of capital markets in a context of unusually high ...
  • Mehanna, Charbel (Notre Dame University-Louaize, 2010)
    Nowadays, the whole world is facing a global climate change due to GHG emissions. Transportation is the second source of air pollution in the world. This thesis is treating the green consumerism within the automotive industry. Specifically, it assesses the factors that influence the willingness of consumers in Lebanon to buy a "green" car in an attempt to reduce air pollution and therefore climate change. This study is an environmental economic study in that it uses a Contingent Valuation Method (CVM) and assesses Willingness to Pay (WTP) of consumers for environmental protection. In addition, ...
  • Baz, Roland (Notre Dame University-Louaize, 2020-12)
    Purpose: This paper investigates the interconnectedness of the five largest cryptocurrencies in terms of market capitalization namely, Bitcoin, Ethereum, Ripple, Bitcoin Cash and Litecoin through a volatility spillover inspection. It also studies the hedging and/or safe haven capabilities of Ethereum, the second largest cryptocurrency in terms of market capitalization, against the main conventional currencies and the traditional assets in the United States and the European markets. Design/methodology/approach: In the first part of the research, univariate general autoregressive conditional ...
  • Hamade, Hazar (Notre Dame University-Louaize, 2021-04)
    Purpose - The banking sector in many MENA countries has recognized noticeable bank consolidation, which has dropped the number of banks and raised market concentration. This might raise questions about the impact of such increase in concentration on the soundness of the banking sector and consequently on the financial stability. Therefore, this study examines the impact of concentration on the financial stability of MENA banking sectors. Design/Methodology/Approach – the study adopts the FM-OLS panel method on 15 MENA banking sectors covering the period 1996-2016. Findings – ...
  • Abi Abboud, Joanna Michel (Notre Dame University-Louaize, 2018)
    Purpose - The purpose of this study is to capture the relationship between credit risk of European commercial banks and their profitability, taking into consideration regulatory requirements under several stressed scenarios. Design/Methodology/Approach - The sample of this study consists of 12 out of 15 largest commercial banks in Europe as measured by their total assets in 2017. This study uses hypothesis testing and stress testing approaches to capture the relationship between credit risk of banks and their profitability and to determine the sufficiency of bank capital adequacy. Findings ...
  • Nehme, Romeo G. (Notre Dame University-Louaize, 2017)
    Purpose - the thesis will be studying and analyzing the financial and stock market in the presence of Islamic finance in Asia as a first step and in the Saudi Arabian market as a second step, before overlooking the status of the Lebanese Islamic banks. Design/methodology/approach: after defining Islamic finance and explaining its laws and regulations and the instruments used, Islamic finance will be compared to conventional finance. The results will be based on data collected from both: - Islamic and non-Islamic financial markets (Asian countries) during, before and after the financial ...
  • Souk, Jana Toufic (Notre Dame University-Louaize, 2021)
    Purpose – The term Brexit, the United Kingdom’s withdrawal from the European Union, is linked with the uncertainty raised due to the ambiguity of the economic relationship to be adopted between the U.K and the EU. This uncertainty is translated directly into a significant fluctuation of the British pound. Therefore, this research highlights the impact of the Brexit referendum on the British pound against the Euro, test the relationship between exchange rate volatility and U.K’s exports to Eurozone countries (Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, ...
  • Abou Dargham, Hanadi (Notre Dame University-Louaize, 2018)
    Purpose: This study investigates the prevalence of accrual-based and real-based earnings management activities prior seasoned equity offerings (SEOs) for a sample of Canadian public firms between 1993 and 2008. This study also examines earnings management trends around reforms in the Canadian corporate governance regime brought by Canadian SOX (CSOX) Act. Design/methodology/approach: Both parametric (t-test) and non-parametric (Wilcoxon test) tests are used to examine the statistical significance of mean and median accrual and real-based manipulation in the year preceding the announcement of a ...
  • Zweiny, Abir Maadad (Notre Dame University-Louaize, 2018)
    Purpose: This study investigates the occurrence of pre-acquisition accrual-based earnings management for a sample of stock- and cash- financed Canadian acquirers between 2005 and 2015 before and after transitioning IFRS in 2010. Design/methodology/approach: Both parametric (t-test) and non-parametric (Wilcoxon test) tests are used to examine the occurrence of accrual-based earnings management in the year preceding the announcement of acquisition. These are compared across stock and cash acquirers as well as before and after the implementation of the IFRS. Findings: Unlike cash acquirers, ...
  • Choucair, Stephanie Antoine (Notre Dame University-Louaize, 2018)
    Purpose: The purpose of this thesis is to shed more light on the impact of corporate governance mechanisms on the Initial Public Offering (IPO) performance of U.S. Equity Real Estate Investment Trusts (REIT) in the short and long run. Design/methodology/approach: I conduct multi-linear regressions on a sample of 89 US REIT IPO for the years 2003 to 2016. I compute the market adjusted excess returns for each of the first 5 days following the IPO to measure short-run IPO performance and the semi-annual cumulative abnormal returns for each of the three years following the IPO to measure ...
  • Bsoussi, Jimmy (Notre Dame University-Louaize, 2018)
    Purpose - The purpose of this study was to investigate empirically whether financial development including Islamic loans leads to economic growth Design/methodology/approach - This study covered 13 countries form the MENA region during the period of 2001-2015. Multiple Fixed effect models were used on a balanced panel to check the impact of financial development variables on the GDP per capita. Findings - Conventional loans and Islamic loans have significant positive relationship with economic growth. While bank asset concentration, stock market total traded value, stock market capitalization ...
  • Daou, Rima (Notre Dame University-Louaize, 2020)
    Purpose – This paper investigates the impact of liquidity risk management and credit risk management on the accounting and market performances of banks operating in the MENA region. It also studies the effect of the interaction between both types of risk management, mentioned above, on the accounting and market performances of the same sample of commercial banks. Design/methodology/approach – Panel Data regression analysis is performed on a sample of 51 commercial banks in the countries of MENA region during the period 2010-2018. Data is retrieved from Thomson Reuters Eikon data stream and ...
  • Haddad, Omar (Notre Dame University-Louaize, 2020-05)
    Purpose: The purpose of this thesis is to investigate and assess the predictive ability of the GARCH (1,1), IGARCH (1,1), EGARCH (1,1), GJR-GARCH (1,1), APARCH (1,1), TGARCH (1,1) and CGARCH (1,1) models in forecasting the volatilities of six major cryptocurrencies: Bitcoin, Ripple, Litecoin, Monero, Dash, Dogecoin and six world currencies: Euro, British Pound, Canadian Dollar, Australian Dollar, Swiss Franc and the Japanese Yen. The optimal volatility model selected for each virtual and hard currency is then integrated into the Volatility Update Historical Simulation approach to evaluate the ...
  • Saliba, Karim Khalil (Notre Dame University-Louaize, 2020-02)
    Purpose – This thesis has two objectives. The first one is to test empirically the level of interdependence across major stock markets returns, namely, US, EU, and Asia in terms of return and volatility spillover. The second one is to evaluate the impact of news announcements on their stock market volatility. Design/methodology/approach – To model the volatility of the three above mentioned stock markets we apply a battery of univariate time series models from the GARCH family. Dickey Fuller unit root test is used in order to ensure that the three return series are stationary. The mean equation ...
  • El Chidiac, Johnny (Notre Dame University-Louaize, 2019)
    Purpose: The purpose of this thesis is to investigate the ability of EWMA, GARCH (1, 1), GARCH (p, q) and EGARCH (1, 1) to forecast volatilities of Bitcoin, Ripple, EURUSD, GBPUSD and CNYUSD. The optimal volatility model for each fiat and virtual currency is used to measure the accuracy of VaR by incorporating the volatility update into the Historical Simulation approach. Design/Methodology/Approach: In-sample returns are calculated from daily closing prices and are used in estimating the parameters of the selected models. The calculated in-sample parameters are applied to estimate and forecast ...
  • Mghames, Hanady S. (Notre Dame University-Louaize, 2019)
    Purpose–The purpose of this thesis is to develop a conceptual model that connects factors affecting students’ enrollment in Higher Education Institutions and evaluates the extent to which these factors are influencing institutions’ Value at Risk (VaR). Design/methodology/approach–Structural PCA modeling was employed in this study to examine the association of institutions’ admissions and different influence parameters, and to derive corresponding VaR as a measure of financial risks. Questionnaires were also completed by Grade Ten students of eight different high schools, prior and post orientation ...
  • Bou Abdo, Celine (Notre Dame University-Louaize, 2017)
    Purpose: The objective of this thesis is to estimate and compare the capital requirements of an SME portfolio belonging to a Lebanese Commercial Bank under different regulatory frameworks, Basel I, Basel II and Basel III, in addition to illustrating the calculation of the capital adequacy ratio to comply with the requirements of BDL and BCCL. Design/methodology/approach: The sample used consists of a portfolio of loans granted by a Lebanese commercial bank to 1,099 different clients as of June 30, 2017. The study aims first at demonstrating the several approaches (Standardized Approach, IRB ...
  • Azar, Milad Fouad (Notre Dame University-Louaize, 2018-04)
    Purpose: This study has two main purposes. First, Assess and compare the predictive ability of the Exponentially Weighted Moving Average EWMA, the Generalized Autoregressive Conditional Heteroscedasticity EGARCH (1, 1), the Exponential Generalized Autoregressive Conditional Heteroscedasticity EGARCH (1, 1), and the Glosten, Jagannathan, and Runkle Generalized Autoregressive Conditional heteroscedasticity GJR-GARCH. Second, Value at Risk is calculated using the Historical Simulation approach and the Extreme Value Theory. Methodology, Design and Approach: The models’ parameters are estimated from ...

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