This paper investigates the value creation process in the Tunisia stock exchange using a sample including more than 90% of the listed companies. In order to find out the determinants of the value creation of our selected companies, we purpose to use the random probit model estimation procedure with unbalanced panel data. The results indicate that the probability of creating future values is positively and significantly correlated with dividend policy and profitability factor. The results suggest also that the value creation is neither affected by industry patterns, nor by size. Finally, empirical results suggest that non observed heterogeneity between firms, such as quality of management, seems to be significant in the analysis of the value creation of companies in the Tunisia Stock exchange.