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Modèles d'évaluation des actifs financiers, anomalies et notation extra-financière

Abstract : Do the prices of financial assets reflect all previous information as well as all that is public? The efficient market hypothesis (EMH), in a semi-strong form (Fama, 1970), states that securities prices represent, at all times, their respective intrinsic values. Testing this EMH requires the use of an asset pricing model, the CAPM. However, it does not explain significant portions of the returns: the market anomalies. What to conclude? Is it a misspecified model or a valid one that, in its failures, indicates that markets are inefficient? Fama and French (1992) argue that the risk of an asset is a combination of several risk factors. Market anomalies, according to these authors, do not exist. They result from the omission of risk factors that influence the formation of the price that the beta of the market does not capture. The authors formalize a three (1993) and a five factor model (2015) to explain the completeness of the ex post returns in time series as well as in cross section. Despite their shortcomings in theoretical foundations, can ad-hoc models gain some form of legitimacy by integrating broad informational content and appearing as relevant and effective solutions for risk estimation of financial assets. From a French sample of 1,163 individual securities over the period 1990-2016 and from a European one of 12,144 stocks between 2002 and 2015, three empirical studies are done. The first interrogates the generalizability of multifactorial models at the national level and more specifically to the French market. The second study seeks to overcome the limitations of the CAPM by adding co-moments of orders three and four in the combinations of factors tested. In an axis of generalization of the CAPM, do the co-skewness and the co-kurtosis constitute an informational contribution likely to explain the market anomalies, which consequently makes the risk premiums outdated? In a third essay on the European market, we test the EMH through the extra-financial rating. This rating is a public information integrated into the prices. In this regional context, what about the ability of multifactor models to integrate a dimension of the risk associated with the extra-financial rating? We show that this rating of environmental, social and governance (ESG) dimensions approximates information content perceived by investors as a risk factor. Ad-hoc models show a higher explanatory power than the ex post CAPM. They succeed in integrating broad and disparate information contents not captured by the beta and find in this, a form of legitimacy for estimating the risk of financial assets.
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Marc Desban. Modèles d'évaluation des actifs financiers, anomalies et notation extra-financière. Gestion et management. Université Paris-Est, 2019. Français. ⟨NNT : 2019PESC0106⟩. ⟨tel-02503601⟩

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