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L'importance de la note initiale et du type de changement dans la mesure de l'impact de la notation financière (rating) sur le marché actions

  • Francois Lantin

    ()

    (Finance Magellan - Équipe de Recherche en Finance - Université Jean Moulin - Lyon III - Centre de recherche Magellan de l'IAE)

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    Cet article apporte de nouvelles pistes de réflexion relatives au surplus informationnel réellement délivré par les annonces des agences de notation financière aux différents acteurs du marché boursier. Ainsi, il propose un éclairage différent et complémentaire aux études antérieures centrées sur une analyse essentiellement globale des évènements en opérant une double segmentation par type d'annonces et par note de l'émetteur avant l'annonce. L'étude se base sur tous les changements négatifs opérés par les trois principales agences mondiales pour les 440 plus grandes capitalisations européennes composants les principaux indices boursiers nationaux et sectoriels sur la période allant de 1998 à 2006. Au final, 723 études d'évènements de 212 entreprises différentes ont été réalisées et les résultats et analyses ont été validés par une dizaine d'entretiens. Outre l'affirmation de rentabilités anormales moyennes négatives sur la période [+1,-1] jours de bourse autour de la date de l'annonce, cette recherche démontre la moindre anticipation par le marché des baisses de perspective que des baisses de notes. De plus, la classe de note s'avère plus discriminante que la note en tant que telle et les impacts sur le cours de bourse sont d'autant plus élevés que la note est basse et inférieure à A-. Celle-ci constitue, avec la dernière note de la catégorie investissement BBB-, les deux seuils clés de l'échelle de notation. Enfin, l'ampleur de la réaction d'une mise sous surveillance négative apparaît totalement indépendante du niveau de notation initiale.

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    Date of creation: 2008
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    Publication status: Published - Presented, Conférence annuelle AFFI 2008, 2008, Lille, France
    Handle: RePEc:hal:journl:halshs-00692578
    Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00692578
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    1. Hand, John R M & Holthausen, Robert W & Leftwich, Richard W, 1992. " The Effect of Bond Rating Agency Announcements on Bond and Stock Prices," Journal of Finance, American Finance Association, vol. 47(2), pages 733-52, June.
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    3. Holthausen, Robert W. & Leftwich, Richard W., 1986. "The effect of bond rating changes on common stock prices," Journal of Financial Economics, Elsevier, vol. 17(1), pages 57-89, September.
    4. Norden, Lars & Weber, Martin, 2004. "Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements," CEPR Discussion Papers 4250, C.E.P.R. Discussion Papers.
    5. Griffin, Paul A & Sanvicente, Antonio Z, 1982. " Common Stock Returns and Rating Changes: A Methodological Comparison," Journal of Finance, American Finance Association, vol. 37(1), pages 103-19, March.
    6. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    7. Ilia D. Dichev, 2001. "The Long-Run Stock Returns Following Bond Ratings Changes," Journal of Finance, American Finance Association, vol. 56(1), pages 173-203, 02.
    8. Ederington, Louis H. & Goh, Jeremy C., 1998. "Bond Rating Agencies and Stock Analysts: Who Knows What When?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(04), pages 569-585, December.
    9. Hervé Alexandre & Maxime Merli, 2003. "Notations et écarts de rentabilité:le marché français avant l'euro," Revue Finance Contrôle Stratégie, revues.org, vol. 6(3), pages 5-22, September.
    10. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
    11. Norden, Lars & Weber, Martin, 2004. "Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2813-2843, November.
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