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L'impact du changement des limites de rating internes sur la performance du fonds ECOFI Convertibles Euro

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Author Info

  • Tarek Chebbi

    ()
    (IAE Grenoble - Institut d'Administration des Entreprises - Grenoble - Université Pierre-Mendès-France - Grenoble II)

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    Abstract

    L'objectif de ce travail est de réaliser une étude d'événements sur un fonds commun de placement afin de mesurer l'impact d'un changement de limites de rating internes sur la performance du fonds en question. Les données utilisées sont quotidiennes et portent à la fois sur le fonds ECOFI Convertibles Euro de la société de gestion : ECOFI Investissements et sur son benchmark Exane Convertibles Index Euro sur la période allant de juillet 2010 à novembre 2011. Un test non paramétrique, le t-test est appliqué afin de s'assurer de la significativité des résultats, c'est-à-dire, le changement des limites de rating internes a-t-il un effet sur la performance du fonds. Les résultats que nous obtenons montrent que le changement des limites de rating internes a eu un impact sur la performance, l'actif net et la volatilité du fonds. Ces conclusions mettent en évidence l'impact de ce changement qui est intervenu durant la vie de ce fonds. Par ailleurs, nous avons traité une question théorique qui porte sur l'intérêt des obligations convertibles comme moyen de financement des entreprises non cotées.

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    Bibliographic Info

    Paper provided by HAL in its series Post-Print with number dumas-00933657.

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    Date of creation: 2013
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    Handle: RePEc:hal:journl:dumas-00933657

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    Keywords: Étude d'événements ; ECOFI Investissements ; ECOFI Convertibles Euro ; Exane Convertibles Index Euro ECI ; limites de rating internes ; impact sur la performance ; intérêt des obligations convertibles ; financement des entreprises non cotées;

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