Impacts de la notation financière sur le prix des actions

The research identifies the circumstances that lead to a real decrease in stock prices of companies facing a negative credit rating announcement. In addition to an effort of structuring and comparing previous results, the theoretical contribution is to confirm and bring new lines of inquiry relating to the surplus informational announcements that is actually given by the rating agencies, for financial different players in the stock market. Our research may be considered in the continuation of studies aimed at improving knowledge of stock markets' reactions. However, it differs from these articles because it focuses on the dispersions of changes in stock prices. Based on a hypothetical-deductive approach, the study deals with 1 035 rating changes made by Standard and Poor's for 212 European listed companies over the 1998-2006 period. The research uses quantitative analysis methods (event studies, regressions) and qualitative analysis methods (interviews, data analysis, case study) in order to test hypothesis. The results confirm asymmetry average reaction of European stock market (fall in market capitalization following negative announcements and no reaction to neutral or positive changes) and brings several deepenings. First, stock prices fluctuations, taken individually, seem to be negatives in only half the cases, but with a large magnitude. They are significantly different from zero only for negative creditwatch placements, versus downgrades and declines in outlook. Secondly, the impact on the stock market following downgrades is high when the rating class is low and the number of notches is important. It is also more important if the degradation changes a rating starting with "A" to a rating starting with "B" and a rating in investment grade to a rating in speculative grade. The magnitude of the reaction would also depend on the size of the firm and the beta of its equity. Nevertheless, it is totally independent of the initial rating, the existence of a creditwatch, the downgrade justification, the importance of the financial markets and the financial context.