IDEAS home Printed from https://ideas.repec.org/a/cai/accafc/cca_284_0101.html
   My bibliography  Save this article

Valorisation et taux d’actualisation en IFRS : une prime de taille existe-t-elle sur le marché français ?

Author

Listed:
  • Arnaud Thauvron
  • Pierre Astolfi
  • Marc Desban

Abstract

The size effect refers to the difference that can be observed between the returns of small-cap stocks, adjusted for risk, and those of large-cap stocks. First identified in 1981, this phenomenon has since been the subject of numerous studies with contrasting results. If it is proven to exist, it should be taken into account in actuarial valuation models, particularly with respect to IFRS. The results of our study, which looks at 1,221 companies listed on the French market and covers 29 years (from January 1990 to December 2018), do not directly highlight the existence of the size effect on the French market as described in other publications. However, it appears when it is cross-analyzed with company quality. Like the quality effect, it constitutes a non-diversifiable risk that is not captured by the beta used in the capital asset pricing model (CAPM). The size effect and the quality effect thus constitute risk premiums that financial statement preparers must consider when estimating fair value through actuarial calculations (based on our study, the cumulative effect of these two parameters is between 0.48% and 2.97%).

Suggested Citation

  • Arnaud Thauvron & Pierre Astolfi & Marc Desban, 2022. "Valorisation et taux d’actualisation en IFRS : une prime de taille existe-t-elle sur le marché français ?," ACCRA, Association francophone de comptabilité, vol. 28(4), pages 101-141.
    • Handle: RePEc:cai:accafc:cca_284_0101
    as

    Download full text from publisher

    File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=CCA_284_0101
    Download Restriction: restricted
    File URL: http://www.cairn.info/revue-comptabilite-controle-audit-2022-4-page-101.htm
    Download Restriction: restricted
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    IFRS; rate; premium; size;
    All these keywords.

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cai:accafc:cca_284_0101. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jean-Baptiste de Vathaire (email available below). General contact details of provider: https://www.cairn.info/revue-accra.htm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.