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The objective of this paper is to measure the degree of Home Bias within holdings portfolio and to identify their determining factors. By following literature and an international CAPM, we have chosen quite a number of susceptible factors that impact Home Bias. This model is, hence, estimated for 20 countries, with cross-section econometrics, between 2008 and 2013. Our results show that all countries have recorded a high level of Home bias in their holdings portfolio. After that, we test if the Home Bias of the emerging markets and that of the developed markets react differently to the determining factors. The volatility of the exchange rate is statistically significant with emerging markets, while it is hardly remarkable for the developed countries. Co-variance, size, distance, language, legal framework and foreign organization stocks prevents American investors to invest abroad. Keywords: International portfolio, Home Bias, exchange rate, emerging market, CAPM JEL Classifications: F31, G11

The objective of this paper is to measure the degree of Home Bias within holdings portfolio and to identify their determining factors. By following literature and an international CAPM, we have chosen quite a number of susceptible factors that impact Home Bias. This model is, hence, estimated for 20 countries, with cross-section econometrics, between 2008 and 2013. Our results show that all countries have recorded a high level of Home bias in their holdings portfolio. After that, we test if the Home Bias of the emerging markets and that of the developed markets react differently to the determining factors. The volatility of the exchange rate is statistically significant with emerging markets, while it is hardly remarkable for the developed countries. Co-variance, size, distance, language, legal framework and foreign organization stocks prevents American investors to invest abroad. Keywords: International portfolio, Home Bias, exchange rate, emerging market, CAPM JEL Classifications: F31, G11

The objective of this paper is to measure the degree of Home Bias within holdings portfolio and to identify their determining factors. By following literature and an international CAPM, we have chosen quite a number of susceptible factors that impact Home Bias. This model is, hence, estimated for 20 countries, with cross-section econometrics, between 2008 and 2013. Our results show that all countries have recorded a high level of Home bias in their holdings portfolio. After that, we test if the Home Bias of the emerging markets and that of the developed markets react differently to the determining factors. The volatility of the exchange rate is statistically significant with emerging markets, while it is hardly remarkable for the developed countries. Co-variance, size, distance, language, legal framework and foreign organization stocks prevents American investors to invest abroad. Keywords: International portfolio, Home Bias, exchange rate, emerging market, CAPM JEL Classifications: F31, G11

For many decades, asset-pricing theory was constructed on absence of frictions hypothesis. However, since pioneers’ works of Chen et al. (1975) and Amihud and Mendelson (1986) in microstructure area, systematic violations of this assumption were observed and the standard CAPM generates biased estimates of returns. The main obstacle that we face when we use CAPM with frictions is the unavailability of the observable variables that directly measure illiquidity costs, transaction costs and information costs. Microstructure literature provides many models to estimate them. We use Amihud (2002) model to estimate illiquidity costs and Lin et al. (1995) model to estimate transaction and information costs. Before a study of a sample of 40 quoted securities in Tunisian financial market, on the period of 07/02/2011 to 31/01/2013, results appear conclusive. First, we show the existence of asset pricing bias compared to the standard CAPM. Furthermore, we find a strong relation between transaction costs, information costs and illiquidity estimators and returns; thus the use of the CAPM with frictions. This model appears very strong and the results prove the necessity to account for frictions in asset pricing.

The analysis of innovative behavior is suited to several ways of comments. The economic literature emphasizes, in many cases, different effects of innovation in products and processes on international trade, growth, employment and the firms performance. However, little knowledge about the impacts of competence and inter-firms co-operation on the innovative behavior (products or/and processes). According to a more empirical approach, incorporating both the “cooperation’s effect” and “competence’s effect”, we have tried to explain such innovative behavior. The results which led this article can qualify some gains with regard to incentives for innovation on the one hand, and put into perspective a new approach to innovative behavior (cooperation / competence, which by joint analysis of co-operation agreements and skills can explain the development of these innovative behaviours, on the other. Based on our results and on limits and extensions associated with them, it appears that the innovative behavior of the firm (products, processes, or products & processes) is not only a reflection of motivation strategic businesses, but also their types of skills underlying any engagement in a co-operation agreement. Thus, innovation policy unveils partly the interest shown by business groups (government, university) with respect to the co-operation agreements in R & D.

The analysis of innovative behavior is suited to several ways of comments. The economic literature emphasizes, in many cases, different effects of innovation in products and processes on international trade, growth, employment and the firms performance. However, little knowledge about the impacts of competence and inter-firms co-operation on the innovative behavior (products or/and processes). According to a more empirical approach, incorporating both the “cooperation’s effect” and “competence’s effect”, we have tried to explain such innovative behavior. The results which led this article can qualify some gains with regard to incentives for innovation on the one hand, and put into perspective a new approach to innovative behavior (cooperation / competence, which by joint analysis of co-operation agreements and skills can explain the development of these innovative behaviours, on the other. Based on our results and on limits and extensions associated with them, it appears that the innovative behavior of the firm (products, processes, or products & processes) is not only a reflection of motivation strategic businesses, but also their types of skills underlying any engagement in a co-operation agreement. Thus, innovation policy unveils partly the interest shown by business groups (government, university) with respect to the co-operation agreements in R & D.

For many decades, asset-pricing theory was constructed on absence of frictions hypothesis. However, since pioneers’ works of Chen et al. (1975) and Amihud and Mendelson (1986) in microstructure area, systematic violations of this assumption were observed and the standard CAPM generates biased estimates of returns. The main obstacle that we face when we use CAPM with frictions is the unavailability of the observable variables that directly measure illiquidity costs, transaction costs and information costs. Microstructure literature provides many models to estimate them. We use Amihud (2002) model to estimate illiquidity costs and Lin et al. (1995) model to estimate transaction and information costs. Before a study of a sample of 40 quoted securities in Tunisian financial market, on the period of 07/02/2011 to 31/01/2013, results appear conclusive. First, we show the existence of asset pricing bias compared to the standard CAPM. Furthermore, we find a strong relation between transaction costs, information costs and illiquidity estimators and returns; thus the use of the CAPM with frictions. This model appears very strong and the results prove the necessity to account for frictions in asset pricing. Keywords: CAPM; market microstructure; frictions; bid-ask spread components. JEL Classifications: G20; G21; G01; G31; G32

For many decades, asset-pricing theory was constructed on absence of frictions hypothesis. However, since pioneers’ works of Chen et al. (1975) and Amihud and Mendelson (1986) in microstructure area, systematic violations of this assumption were observed and the standard CAPM generates biased estimates of returns. The main obstacle that we face when we use CAPM with frictions is the unavailability of the observable variables that directly measure illiquidity costs, transaction costs and information costs. Microstructure literature provides many models to estimate them. We use Amihud (2002) model to estimate illiquidity costs and Lin et al. (1995) model to estimate transaction and information costs. Before a study of a sample of 40 quoted securities in Tunisian financial market, on the period of 07/02/2011 to 31/01/2013, results appear conclusive. First, we show the existence of asset pricing bias compared to the standard CAPM. Furthermore, we find a strong relation between transaction costs, information costs and illiquidity estimators and returns; thus the use of the CAPM with frictions. This model appears very strong and the results prove the necessity to account for frictions in asset pricing. Keywords: CAPM; market microstructure; frictions; bid-ask spread components. JEL Classifications: G20; G21; G01; G31; G32

For many decades, asset-pricing theory was constructed on absence of frictions hypothesis. However, since pioneers’ works of Chen et al. (1975) and Amihud and Mendelson (1986) in microstructure area, systematic violations of this assumption were observed and the standard CAPM generates biased estimates of returns. The main obstacle that we face when we use CAPM with frictions is the unavailability of the observable variables that directly measure illiquidity costs, transaction costs and information costs. Microstructure literature provides many models to estimate them. We use Amihud (2002) model to estimate illiquidity costs and Lin et al. (1995) model to estimate transaction and information costs. Before a study of a sample of 40 quoted securities in Tunisian financial market, on the period of 07/02/2011 to 31/01/2013, results appear conclusive. First, we show the existence of asset pricing bias compared to the standard CAPM. Furthermore, we find a strong relation between transaction costs, information costs and illiquidity estimators and returns; thus the use of the CAPM with frictions. This model appears very strong and the results prove the necessity to account for frictions in asset pricing. Keywords: CAPM; market microstructure; frictions; bid-ask spread components. JEL Classifications: G20; G21; G01; G31; G32

The analysis of innovative behavior is suited to several ways of comments. The economic literature emphasizes, in many cases, different effects of innovation in products and processes on international trade, growth, employment and the firms performance. However, little knowledge about the impacts of competence and inter-firms co-operation on the innovative behavior (products or/and processes). According to a more empirical approach, incorporating both the “cooperation’s effect” and “competence’s effect”, we have tried to explain such innovative behavior. The results which led this article can qualify some gains with regard to incentives for innovation on the one hand, and put into perspective a new approach to innovative behavior (cooperation / competence, which by joint analysis of co-operation agreements and skills can explain the development of these innovative behaviours, on the other. Based on our results and on limits and extensions associated with them, it appears that the innovative behavior of the firm (products, processes, or products & processes) is not only a reflection of motivation strategic businesses, but also their types of skills underlying any engagement in a co-operation agreement. Thus, innovation policy unveils partly the interest shown by business groups (government, university) with respect to the co-operation agreements in R & D. Keywords: Innovative behaviour; Innovation; Co-operation; Competence; R & D JEL Classifications: C23; O43; O47

The analysis of innovative behavior is suited to several ways of comments. The economic literature emphasizes, in many cases, different effects of innovation in products and processes on international trade, growth, employment and the firms performance. However, little knowledge about the impacts of competence and inter-firms co-operation on the innovative behavior (products or/and processes). According to a more empirical approach, incorporating both the “cooperation’s effect” and “competence’s effect”, we have tried to explain such innovative behavior. The results which led this article can qualify some gains with regard to incentives for innovation on the one hand, and put into perspective a new approach to innovative behavior (cooperation / competence, which by joint analysis of co-operation agreements and skills can explain the development of these innovative behaviours, on the other. Based on our results and on limits and extensions associated with them, it appears that the innovative behavior of the firm (products, processes, or products & processes) is not only a reflection of motivation strategic businesses, but also their types of skills underlying any engagement in a co-operation agreement. Thus, innovation policy unveils partly the interest shown by business groups (government, university) with respect to the co-operation agreements in R & D. Keywords: Innovative behaviour; Innovation; Co-operation; Competence; R & D JEL Classifications: C23; O43; O47

The analysis of innovative behavior is suited to several ways of comments. The economic literature emphasizes, in many cases, different effects of innovation in products and processes on international trade, growth, employment and the firms performance. However, little knowledge about the impacts of competence and inter-firms co-operation on the innovative behavior (products or/and processes). According to a more empirical approach, incorporating both the “cooperation’s effect” and “competence’s effect”, we have tried to explain such innovative behavior. The results which led this article can qualify some gains with regard to incentives for innovation on the one hand, and put into perspective a new approach to innovative behavior (cooperation / competence, which by joint analysis of co-operation agreements and skills can explain the development of these innovative behaviours, on the other. Based on our results and on limits and extensions associated with them, it appears that the innovative behavior of the firm (products, processes, or products & processes) is not only a reflection of motivation strategic businesses, but also their types of skills underlying any engagement in a co-operation agreement. Thus, innovation policy unveils partly the interest shown by business groups (government, university) with respect to the co-operation agreements in R & D. Keywords: Innovative behaviour; Innovation; Co-operation; Competence; R & D JEL Classifications: C23; O43; O47