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La prise en compte de l'effet taille dans la notation financière (rating)

  • Francois Lantin

    ()

    (Centre de Recherche Magellan - Université Jean Moulin - Lyon III - Institut d'Administration des Entreprises (IAE) - Lyon)

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    Cet article apporte de nouvelles pistes de réflexion relatives au surplus informationnel réellement délivré par les agences de notation financière aux différents acteurs des marchés financiers. Un éclairage complémentaire aux travaux antérieurs basés sur une approche plus globale des évènements est proposé grâce à une analyse réalisée en deux étapes : une recherche de corrélation entre la note actuelle et différents indicateurs de taille contrôlés par des variables d'endettement et de performance, puis une valorisation de l'effet taille sur les rentabilités anormales des changements de rating. L'échantillon est constitué de 663 annonces de 131 entreprises européennes non financières composants les principaux indices boursiers sur la période allant de 1998 à 2006. Cette recherche confirme la progression de la taille au fur et à mesure de l'amélioration de la classe de note. Elle démontre également un niveau de corrélation similaire entre le niveau de note et les indicateurs de taille, ceux d'endettement ou de performance. La démarche aboutit à l'identification de trois ratios représentant chacun l'une de ces catégories réussissant à expliquer 27,1% du niveau de rating : capitalisation boursière, FFO/Dettes nettes et Operating income/CA. En raisonnant pour un niveau d'endettement et de performance donné afin d'isoler l'effet taille, les indicateurs de taille progressent avec la note dans plus de 80% des cas, la capitalisation boursière offrant à nouveau les résultats les plus élevés et les plus significatifs. Enfin, l'impact de la taille sur les rentabilités anormales des annonces négatives est plus contrasté puisqu'il est seulement relevé pour les baisses de notation à l'exception des classes extrêmes, par opposition aux baisses de perspective et aux mises sous surveillance.

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    Date of creation: 2008
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    Publication status: Published in Congrès du réseau des IAE, 2008, Lille, France. n.p., 2008
    Handle: RePEc:hal:journl:halshs-00692573
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00692573
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