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Consensus, dispersion et prix des titres

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  • Jean-François L'Her
  • Jean-Marc Suret

Abstract

Cette étude montre qu'il est possible, dans un cadre d'équilibre d'anticipations rationnelles bruité, d'établir une relation linéaire formelle entre le prix des titres, la moyenne (le consensus) et la dispersion des anticipations des agents. Les variations de la moyenne et de la dispersion des anticipations des agents dues à l'arrivée d'information ont respectivement un effet positif et négatif sur le prix des titres. Les anticipations des agents sont mesurées par les prévisions de bénéfices réalisées par les analystes financiers et transmises par I/B/E/S. Les difficultés soulevées par cette estimation, ainsi que les dimensions institutionnelles de l'industrie de l'analyse financière sont examinées. Les principaux résultats sont les suivants : 1) Les variations les plus importantes du consensus (en valeur absolue) correspondent aux variations les plus importantes (en valeur absolue) de la dispersion des prévisions d'analystes. 2) Les changements dans le consensus et la dispersion des prévisions sont liés positivement et négativement aux rendements des actions canadiennes. En raison du décalage entre la réalisation et la diffusion des prévisions, une part importante de l'ajustement de prix a lieu avant la diffusion publique des changements dans les prévisions. 3) L'effet des variations du consensus sur le rendement des titres domine l'effet des variations de la dispersion des prévisions. Les révisions du consensus à la hausse associées aux bonnes nouvelles ont un impact plus important sur le prix lorsqu'elles s'accompagnent d'une réduction de la dispersion. Inversement, les mauvaises nouvelles ont un impact plus fort si elles augmentent la dispersion des anticipations. Il semble donc que la compréhension de l'impact de l'arrivée d'information sur le prix des titres ne dépende pas uniquement du fait que les anticipations sont corrigées à la hausse (bonne nouvelle) ou à la baisse (mauvaise nouvelle), c'est-à-dire du sens et de l'ampleur de la révision moyenne des anticipations,0501s aussi de son impact sur la dispersion des anticipations.

Suggested Citation

  • Jean-François L'Her & Jean-Marc Suret, 1995. "Consensus, dispersion et prix des titres," CIRANO Working Papers 95s-22, CIRANO.
    • Handle: RePEc:cir:cirwor:95s-22
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    File URL: https://cirano.qc.ca/files/publications/95s-22.pdf
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    References listed on IDEAS

    as
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