Omneya Abdelsalam

We investigate the impact of sustainability performance (Refinitiv Environmental, Social, and Governance [ESG] scores) on corporate risk (CR). We apply stakeholder theory and the resource‐based view to an international sample of 247 tourism firms from 2002 to 2018. We demonstrate a negative association between ESG and CR, which is more pronounced when pension funds act as the controlling shareholders. We reveal that tourism firms with stronger ESG performance have statistically and economically significantly less risk of volatile earnings and a lower probability of failure than their counterparts with poor ESG. Our findings are robust to endogeneity and model misspecification. Overall, we add new evidence suggesting that ESG generates value and concrete positive outcomes for tourism firms, an effect moderated by the identity of controlling shareholders.

This paper investigates the relationship between corporate culture and the comovement of stock returns in US publicly listed firms. To do so, we conduct a textual analysis of firms’ 10-K reports and employ the bag-of-words methodology to capture a firm’s corporate culture based on the Denison Model. We hypothesize and find that cultural traits that are perhaps more visible to external investors, i.e., externally oriented, have a positive and significant impact on the comovement of stock returns. Furthermore, we find that the relationship between culture and comovement declines during periods of crisis (e.g., the Global Financial Crisis). More importantly, our findings have policy implications, since they identify cultural traits as having a significant impact on the comovement of stock returns; hence, we argue that corporate culture should be incorporated in the diversification strategies of investors.

This study examines the nature of interconnectedness between religious, conventional, ethical, and major providers of stock indices. We derive the contemporaneous and temporal interdependencies among these stock index returns before and during the outbreak of the Covid-19 pandemic via a Bayesian graphical vector autoregressive model. In particular, we adopt a model specification strategy that combines vector autoregressive models with network models. Empirically, our paper provides evidence of increased interconnectedness during the Covid-19 period for all considered networks, with the religious and FTSE networks showing more resilience to the crisis brought by the pandemic. This could be attributed to the intense screening process for compliance, hence, the lower leverage of these indexes. In addition, higher tolerance for financial screening and the use of the book value of total assets as a divisor for the computation of the ratios implies that more equities qualify for investment which leads to more diversified and stable portfolios.

We test the impact of religiosity and ownership structure on the risk profile of banks, which issued securitisation. We employ GMM estimation using unique database on asset securitization of 672 commercial banks (4889 year-observations) in 22 countries (from 2003-2012), which have dual banking system. We find that banks with higher securitisation activity have consistently shown a riskier profile by being significantly less adequately capitalised and offering higher ratio of net loans to total assets. Controlling for bank type (Islamic and conventional banks), we find that although Islamic banks, in general, show a conservative approach towards risk by keeping higher reserves and more liquidity, banks involved in new issuance of asset securitization as still exposed to a higher risk profile. Controlling for a country religiosity shows different risk profile of banks in countries with different religiosity thresholds. Controlling for different types of bank ownership highlights an additional exposure to credit risk in addition to capital adequacy and liquidity risks. Our results emphasize the importance of identifying the impact of bank type and the religiosity/culture factors in global banking studies. Our results are of importance to both local and international regulators as well as different stakeholders in banks.

This study is among the first attempts to tests for the relative differences between Islamic and conventional asset securitizations on bases of bank’s capitalization and risk (credit risk and liquidity risk) during two evidential crises, financial crisis (2007-2009) and the political crisis (2011-2012). We employ GMM estimation for uniquely constructed data for global asset securitization of commercial banks in 22 countries in the years 2003 to 2012, data of 672 global banks (4889 year-observations). We find that on average, securitized banks are less capitalized but more liquid than non-securitized banks. Islamic banks (IBs) involved in securitization hold higher quality loan portfolios and are more prudent but less liquid than securitizing conventional banks (CBs). We find no relative differences between the two sectors with respect to capitalization. Results are robust during the financial crisis. Additional tests, distinguishes between retained and non-retained interests for asset securitizations to test whether the level of control of the securitizing assets affect banks’ risk and capital adequacy. We find that non-retain interests by banks over securitization indicate significantly high prudence by banks however; this is associated with lower liquidity Our results are of importance to both local and international regulators as well as different stakeholders in banks. The bank type does not matters but the relative size of retained interests to the total issuance is that matters because it shows that there is impact on credit risk. Constrained model of IBs do not improve their liquidity though but helped with loan portfolio.