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Investir dans des titres de petite capitalisation : le cas de la Bourse de croissance TSX

Listed author(s):
  • Cécile Carpentier
  • Jean-Marc Suret
Registered author(s):

    The Canadian stock market lists many low capitalization securities, i.e. "penny stocks, which are generally acquired and exchanged by individual investors. These securities have not been studied in depth and are thus not very well known. We describe this market and three particular risk forms to which investors are exposed: fraud, return distribution, and total loss. An investor buying such securities randomly or without any particular knowledge, has a5% probability of realizing an annual return of 300% or more and a16% probability of realizing a very good return, between 50% and 300%. In 57% of cases, the risk adjusted return will be negative. Acquisition of very low capitalization is similar to the purchase of lottery tickets. Rare sizeable profits are possible, as are frequent losses. In the long term, investment in low capitalization securities, notably when companies access the TSX Venture Exchange, exposes the investor to the risk of failure of the company. We estimate this failure probability to be more than 50%. Furthermore, the probability that the company will be a success while accessing the TSX is 9%. In the other cases, representing 41% of new listings, the issuer survives without procuring a sufficient return to compensate for the risk and lack of liquidity of the investment." Le marché boursier canadien propose aux investisseurs un nombre important de titres à très faible capitalisation, les penny stocks, qui sont principalement acquis et échangés par des investisseurs individuels. Ces titres sont peu étudiés et mal connus. Nous décrivons ce marché ainsi que les trois formes particulières de risque auxquels s'exposent les investisseurs : la fraude, la distribution des rendements et la perte totale. Un investisseur qui achète de tels titres au hasard ou sans compétence particulière a 5 % de chances de réaliser un rendement annuel de l'ordre de 300 % ou plus et environ 16 % de chances de réaliser un très bon rendement, situé entre 50 et 300 %. Dans près de 57% des cas, le rendement ajusté pour le risque sera négatif. L'acquisition d'actions de très petite capitalisation présente donc beaucoup de similitude avec l'achat de billet de loterie. Quelques rares gains importants sont possibles au prix de pertes très fréquentes. À plus long terme, l'investissement dans les titres de très faible capitalisation, notamment lors de l'accès des entreprises à la Bourse de croissance TSX, expose l'investisseur au risque d'échec total de l'entreprise. Nous estimons cette probabilité d'échec à plus de 50 %. A l'opposé, la probabilité pour que l'entreprise soit un succès, marqué par son accession à la Bourse principale, est de l'ordre de 9 %. Dans les autres cas, qui représentent 41 % des nouvelles inscriptions, l'émetteur survit sans procurer un rendement suffisant pour compenser le risque et le manque de liquidité du placement.

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    Paper provided by CIRANO in its series CIRANO Working Papers with number 2009s-07.

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    Length: 24 pages
    Date of creation: 01 Apr 2009
    Handle: RePEc:cir:cirwor:2009s-07
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    1. Elizabeth Demers & Philip Joos, 2007. "IPO Failure Risk," Journal of Accounting Research, Wiley Blackwell, vol. 45(2), pages 333-371, 05.
    2. Daniel J. Bradley & John W. Cooney, Jr. & Steven D. Dolvin & Bradford D. Jordan, 2006. "Penny Stock IPOs," Financial Management, Financial Management Association, vol. 35(1), Spring.
      • Daniel J. Bradley & John W. Cooney Jr. & Steven D. Dolvin & Bradford D. Jordan, 2006. "Penny Stock IPOs," Financial Management, Financial Management Association International, vol. 35(1), pages 5-29, 03.
    3. Hanke, Michael & Hauser, Florian, 2008. "On the effects of stock spam e-mails," Journal of Financial Markets, Elsevier, vol. 11(1), pages 57-83, February.
    4. Cécile Carpentier & Jean-François L'Her & Jean-Marc Suret, 2008. "Stock Exchange Markets for New Ventures," CIRANO Working Papers 2008s-12, CIRANO.
    5. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, 06.
    6. Bushee, Brian J. & Leuz, Christian, 2005. "Economic consequences of SEC disclosure regulation: evidence from the OTC bulletin board," Journal of Accounting and Economics, Elsevier, vol. 39(2), pages 233-264, June.
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