In this article, we analyse three cognitive biases which are overconfidence, illusion of control and herding. We investigate whether theses cognitive biases have an impact on managerial risk-taking. Using a sample of 46 Tunisian firms during the period 1997-2006, we put on evidence that a positive association exists between overconfidence, herding and managerial risk-taking. Nevertheless, the illusion of control bias has a negative impact on the proportion of Tunisian managers to take risks.