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L’impact des décisions des agences de notation sur le prix des actions : une comparaison du cas français avec les cas européen et américain

Author

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  • Jérôme Teïletche
  • Florent Pochon
  • Evguenia Iankova

Abstract

[fre] Cet article analyse l’impact des décisions des agences de notation sur le prix des actions sur les marchés français, européen et américain. Nous effectuons une étude d’événements classique en proposant toutefois des améliorations méthodologiques (tests non paramétriques et bootstrap). Nous montrons que sur la période 1990-2004, l’asymétrie, souvent documentée, entre la réaction autour des annonces de nature négative et celles de nature positive est moins marquée dans les cas français et européen que dans le cas américain. Nous étudions également dans le cas français, les déterminants potentiels de l’impact estimé des décisions d’agences et montrons l’importance des facteurs macroéconomiques face aux facteurs microéconomiques. [eng] This paper analyses the response of equities to credit-rating announcements by agencies (S & P, Moody’s , Fitch). We compare the reactions observed in the French stock market equities with those of European and U.S. markets in 1990-2004. We apply a standard event-study methodology but enhance it with non-parametric tests and bootstrap techniques. We find that the asymmetry of price reactions to bad news (downgrades and negative outlooks ) is less clear in France and Europe than in the U.S. Our assessment of price-reaction determinants suggests that macroeconomic factors outweigh microeconomic ones.

Suggested Citation

  • Jérôme Teïletche & Florent Pochon & Evguenia Iankova, 2009. "L’impact des décisions des agences de notation sur le prix des actions : une comparaison du cas français avec les cas européen et américain," Économie et Prévision, Programme National Persée, vol. 188(2), pages 1-21.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2009_num_188_2_7897
    DOI: 10.3406/ecop.2009.7897
    Note: DOI:10.3406/ecop.2009.7897
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    References listed on IDEAS

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