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Notations et écarts de rentabilité:le marché français avant l'euro

Author

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  • Hervé Alexandre

    (Université de Bourgogne)

  • Maxime Merli

    (Université de Strsbourg 1)

Abstract

(VF)L'objectif de cet article est de confronter deux mesures classiques du risque de défaillance de l'émetteur, la notation et l'écart de rentabilité. La première est attribuée par des agences spécialisées dans cette activité (Standard and Poor's et Moody's) alors que la seconde résulte du prix de l'obligation sur le marché financier. Cet article illustre et étudie ce lien sur une période de deux ans pour une quarantaine d'obligations émises en francs. Deux types de mesures de l'écart de rentabilité sont retenus et les résultats obtenus sur la grille de notation complète puis sur une grille de notation réduite montrent la prise en compte très partielle de cette information par les investisseurs sur le marché français.(VA)The main task of this paper is to confront two classical measures of default risk of the issuer, the rating and the spread. The first is attributed by agencies specialized in this activity (Standard and Poor's or Moody's) while the second results directly from the market price of the bond. This article studies this link over a period of two years for about forty French denominated bonds. Two measures of the spread are used and the results obtained show the very partial consideration of this information by the investors on the French bond market.

Suggested Citation

  • 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.
    • Handle: RePEc:dij:revfcs:v:6:y:2003:i:q3:p:5-22
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    References listed on IDEAS

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    1. Vasicek, Oldrich A & Fong, H Gifford, 1982. "Term Structure Modeling Using Exponential Splines," Journal of Finance, American Finance Association, vol. 37(2), pages 339-348, May.
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    3. Jérôme Hubler & Philippe Raimbourg, 1996. "La notation et le marché obligataire primaire en France," Revue d'Économie Financière, Programme National Persée, vol. 37(2), pages 171-187.
    4. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409, World Scientific Publishing Co. Pte. Ltd..
    5. Richard Cantor & Kevin Cole & Frank Packer, 1997. "Split ratings and the pricing of credit risk," Research Paper 9711, Federal Reserve Bank of New York.
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    Cited by:

    1. Francois Lantin, 2008. "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," Post-Print halshs-00692578, HAL.

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    More about this item

    Keywords

    obligations; spread de taux; notation; risque de défautbonds; spread; rating; default risk.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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