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Consequences economiques du transfert de marché de cotation : cas du NYSE-Euronext Paris

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  • A.K Cisse

    (CERAG - Centre d'études et de recherches appliquées à la gestion - CNRS : UMR5820 - Université Pierre Mendès-France - Grenoble II)

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    Abstract

    Cette étude empirique a pour objet d'analyser les effets d'un changement de marché de cotation sur la rentabilité, la liquidité et le risque systématique. Elle porte sur des sociétés qui ont transféré le marché de cotation de leurs titres d'un compartiment non (ou peu) réglementé à un compartiment plus réglementé du marché français (Euronext Paris) entre 1995 et 2007. Globalement, les résultats montrent une réaction positive du marché à l'annonce du transfert et une amélioration du niveau de liquidité. Après l'admission du titre sur le nouveau marché, la réaction faiblit jusqu'à devenir négative quelques jours après (excepté pour les titres relativement liquides avant l'opération). Nos résultats mettent également en évidence l'existence d'un lien entre la réaction du marché et le niveau de liquidité d'avant transfert. En effet, la réaction est d'autant plus forte que les titres de la société migrante étaient moins liquides avant l'annonce du transfert. Enfin, notre étude montre que le transfert réduit la volatilité, mais n'a pas d'effet significatif sur le risque systématique

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    Bibliographic Info

    Paper provided by HAL in its series Post-Print with number halshs-00534749.

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    Date of creation: 2010
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    Handle: RePEc:hal:journl:halshs-00534749

    Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00534749/en/
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    Related research

    Keywords: Effet signal ; Etude d'événement ; Gains de liquidité ; Réaction du marché ; Risque systématique ; Transfert de compartiment de cotation;

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    1. Akhigbe, Aigbe & Martin, Anna D., 2006. "Valuation impact of Sarbanes-Oxley: Evidence from disclosure and governance within the financial services industry," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 989-1006, March.
    2. Baker, H Kent & Edelman, Richard B, 1990. "OTC Market Switching and Stock Returns: Some Empirical Evidence," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 13(4), pages 325-38, Winter.
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