Lassaâd, Mbarek; Dorra, Mezzez Hmaied - In: Review of Middle East Economics and Finance 8 (2012) 1, pp. 1-26
This paper examines the ability of stock market investors to monitor bank risk for a sample of listed banks in Tunisia and Morocco over the period 2003-2009. We construct numerous market-based risk measures: market beta, idiosyncratic risk component and total volatility of bank stock returns...