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Les annonces de notations extrafinancières véhiculent-elles une information au marché?

Author

Listed:
  • Alexis Cellier

    (Université Paris-Est, IRG)

  • Pierre Chollet

    (Université Paris-Est, IRG)

  • Jean-François Gajewski

    (Université de Savoie, IREGE)

Abstract

(VF)Cet article analyse comment les investisseurs réagissent aux annonces de notations sociétales. Grâce à un échantillon d’annonces sur le marché français par Vigeo sur la période 2004-2009, nous mettons en évidence un impact globalement positif sur les rentabilités, qui dépend de la valeur du score et du domaine de notation. Sur les échanges, nous observons deux effets qui se compensent : une baisse des volumes de transaction avant, suivie d'une hausse après l'annonce.(VA)This paper examines how investors react to announcements of corporate social responsibility. From a sample of corporate social rating announcements by Vigeo on the French stock market during the 2004-2009 period, we find a significantly positive effect on stock returns, which depends on the score value and the field of notation. We observe compensating effects on trading volume: a decrease before the announcement followed by an increase afterwards.

Suggested Citation

  • Alexis Cellier & Pierre Chollet & Jean-François Gajewski, 2011. "Les annonces de notations extrafinancières véhiculent-elles une information au marché?," Revue Finance Contrôle Stratégie, revues.org, vol. 14(3), pages 5-38, September.
    • Handle: RePEc:dij:revfcs:v:14:y:2011:i:q3:p:5-38.
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    References listed on IDEAS

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    Cited by:

    1. Rania Beji & Ouidad Yousfi & Nadia Loukil & Abdelwahed Omri, 2021. "Board Diversity and Corporate Social Responsibility: Empirical Evidence from France," Journal of Business Ethics, Springer, vol. 173(1), pages 133-155, September.
    2. Léopold Djoutsa Wamba & Jean‐Michel Sahut & Eric Braune & Frédéric Teulon, 2020. "Does the optimization of a company's environmental performance reduce its systematic risk? New evidence from European listed companies," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 27(4), pages 1677-1694, July.
    3. Béatrice Boyer, 2013. "Faut-Il Mieux Reglementer Le Reporting Extra Financier Pour Ameliorer Sa Prise En Compte Par Les Investisseurs ?," Post-Print hal-00992961, HAL.

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    More about this item

    Keywords

    notation sociétale; performance sociétale et financière; ISR.corporate social responsibility rating; social and financial performance; SRI.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G39 - Financial Economics - - Corporate Finance and Governance - - - Other
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

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