Advanced Search
MyIDEAS: Login

Les déterminants du coût du capital des petites capitalisations : application aux segments B et C de la Bourse de Paris

Contents:

Author Info

  • Marrot, Olivier
Registered author(s):

    Abstract

    La spécificité des petites capitalisations (l’effet taille), est au centre des recherches en finance depuis de nombreuses années. Peu de travaux se sont cependant concentrés sur ce compartiment. Notre recherche porte sur les sociétés des listes B et C d’Euronext Paris sur la période 1994-2004. Le modèle APT avec utilisation d’attributs spécifiques comme sensibilité aux risques affectant la rentabilité des titres, palie la faible significativité des bêtas. Conformément à la littérature sur les anomalies, le price-to-book, le levier financier, la rentabilité passée, le rendement, les situations de détresse ainsi que la taille influent sur la rentabilité des petites capitalisations. Le suivi des titres par les analystes « sell-side » améliore sensiblement la qualité du modèle en conférant un pouvoir explicatif significatif à des variables fondamentales. La réalisation de rentabilités anormales avec ces informations publiques rejette l’hypothèse d’efficience informationnelle sur ce segment.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://basepub.dauphine.fr/xmlui/bitstream/123456789/121/1/theseolivierMarrot.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Université Paris-Dauphine in its series Open Access publications from Université Paris-Dauphine with number urn:hdl:123456789/121.

    as in new window
    Length: 294
    Date of creation: 2008
    Date of revision:
    Publication status: Published
    Handle: RePEc:ner:dauphi:urn:hdl:123456789/121

    Note: Dissertation
    Contact details of provider:
    Web page: http://www.dauphine.fr/en/welcome.html

    Related research

    Keywords: Euronext Paris; Rentabilité; Valeurs mobilières; Coût du capital;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ner:dauphi:urn:hdl:123456789/121

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendin-Malegdé Patrick Kaboré).

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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