Les anomalies des nouvelles introductions en bourse: Cas du nouveau marché français

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Table des matières

Introduction générale 1

Chapitre 1 La sous-évaluation et le cycle des nouvelles introductions en bourse 5

Introduction 5

Section 1 Les méthodes d'évaluation du prix d'introduction 6

A) Les méthodes patrimoniales d'évaluation : 6

a) L'actif net comptable corrigé (ANCC) : 6

b) La notion du Goodwill (GW) : 8

B) Les méthodes comparatives : 10

a) Le PER (Price to Earning Ratio): 10

b) Le délai de recouvrement : 11

C) Les méthodes des flux financiers : 11

a) Le modèle d'actualisation des flux de dividendes (dividend discounted model) : 11

b) Le modèle de Gordon Shapiro : 12

D) Les méthodes des flux économiques : 15

a) Détermination des discounted cash flow (Ft): 15

b) Détermination de la VGn : 16

c) Détermination du taux d'actualisation : 16

Section 2 La sous-évaluation 18

A) Définition 18

B) Evidences empiriques : 19

C) Les explications de la sous-évaluation de court terme des IPOs 26

a) La sous-évaluation du côté de l'entreprise 26

b) La sous-évaluation du côté des investisseurs : 27

c) La sous-évaluation du côté des introducteurs en bourse : 28

Section 3 Impact du cycle d'IPOs sur les rendements initiaux 31

A) Définition : 31

B) Evidences empiriques : 31

C) Explications : 36

a) Hypothèse de la demande des capitaux : 37

b) Hypothèse de l'asymétrie d'information : 38

c) Hypothèse du sentiment de l'investisseur (Investor sentiment hypothesis) : 39

Conclusion 41

Chapitre 2 La performance boursière de long terme des nouvelles introductions en bourse 42

Introduction 42

Section 1 Définition et mesures de performance 43

A) Les mesures usuelles de performance : 43

a) La mesure de Treynor : 43

b) La mesure de Sharpe : 44

c) La mesure de Jensen : 45

d) La mesure de Moses, Cheyney et Veit : 45

B) Les mesures de performance de long terme des IPOs : 47

a) Le Cumulative Abnormal Return (CAR) : 47

b) Le Buy and Hold Returns ou la méthode de détention passive (BHR) : 48

c) Les modèles d'estimation des rendements anormaux et l'apport de Fama et French (1993) : 49

C) La performance boursière de long terme : Evidences empiriques 54

Section 2 Les explications de la sous performance de long terme des nouvelles introductions en bourse 68

A) Incertitude et irrationalité des investisseurs : 68

B) La finance comportementale et le phénomène de la sous réaction et de sur réaction : 73

C) La sous performance de long terme du côté de l'entreprise : 77

D) La sensibilité des résultats à la méthodologie adoptée et le bad model problem : 85

E) Autres explications : 86

Conclusion 87

Chapitre 3 Etude empirique : cas des IPOs du nouveau marché français 88

Introduction 88

Section 1 Organisation et procédures d'introduction en bourse sur le marché français 89

A) Procédures d'introduction : 89

a) Offre à prix ferme (OPF) : 89

b) L'offre à prix minimale (OPM) ou mise en vente : 90

c) L'Offre à Prix Ouvert (OPO) : 91

d) La cotation directe (la procédure ordinaire) : 91

e) Le placement global garanti (PGG) : 91

B) Organisation du marché français : 93

a) Le premier marché : 93

b) Le second marché : 93

c) Le nouveau marché : 93

d) Le marché libre OTC : 94

Section 2 Sous-évaluation et Performance de long terme des IPOs du nouveau marché français 95

A) Données et méthodologies 95

a) Données : 95

b) Méthodologie : 98

B) Résultats et interprétation 100

a) L'initiale sous-évaluation : 100

b) La performance boursière : 101

C) Modèle Logit 108

a) Définition : 108

b) Validation empirique : 113

c) Résultats et interprétations : 119

Conclusion 126

Conclusion générale 129