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Étude d’événements sur données intraquotidiennes françaises : les réactions des actionnaires aux annonces

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  • Sandrine Lardic
  • Valérie Mignon

Abstract

[fre] Cette étude d’événements sur la Bourse de Paris montre l’impact d’informations publiques sur les cours des entreprises émettrices. Les données utilisées sont intraquotidiennes et portent sur des titres du CAC 40 et du MIDCAC de janvier 1995 à décembre 1999. Deux tests non paramétriques, le test du seuil et celui des runs, sont appliqués pour sélectionner les informations influençant les cours de l’entreprise. Les résultats que nous obtenons montrent que trois types d’informations ont une importance considérable : les annonces de résultats des sociétés, les rumeurs et les informations relatives aux opérations de fusion/acquisition d’entreprises. Ces conclusions montrent le dynamisme de la relation actionnaires/dirigeants et la mauvaise anticipation de certaines informations, ce qui s’accorde difficilement avec l’hypothèse d’efficience du marché boursier français au sens semi-fort. . Classification JEL : G12, G14 [eng] Study of events on French intra daily data : the reaction of shareholders to the announcements . This study of events on the Paris stock market demonstrates the impact of public information on the stock market prices of those companies that issue it. The data used is intra daily and focuses on the CAC 40 and MIDCAC between January 1995 and December 1999. Two non-parametrical tests, the threshold test and runs are applied in order to select that information which influences the company’s share price. The results that we obtain demonstrate that three types of information are of considerable importance : announcements of a company’s profits, rumours and information relating to company mergers and acquisitions. These conclusions demonstrate the dynamism of the relationship between shareholders and managers and the bad anticipation of certain news which is at odds with the theory of the efficiency of the French stock market. . JEL classifications : G12, G14

Suggested Citation

  • Sandrine Lardic & Valérie Mignon, 2002. "Étude d’événements sur données intraquotidiennes françaises : les réactions des actionnaires aux annonces," Revue d'Économie Financière, Programme National Persée, vol. 66(2), pages 335-340.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2002_num_66_2_3761
    DOI: 10.3406/ecofi.2002.3761
    Note: DOI:10.3406/ecofi.2002.3761
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    References listed on IDEAS

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    1. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
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    Cited by:

    1. Capelle-Blancard, Gunther & Couderc, Nicolas, 2008. "What drives the market value of firms in the defense industry," Review of Financial Economics, Elsevier, vol. 17(1), pages 14-32.
    2. Rahma Chekkar, 2005. "Communication Financiere Et Analyse De Discours. Une Reflexion Methodologique Autour Du Cas Saint-Gobain," Post-Print halshs-00581152, HAL.

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    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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