Publications et Travaux

Les biais cognitifs dans la perception du risque : le cas de la décision financière

 

Corporate disclosure, information uncertainty and investors’ behavior : A test of the overconfidence effect on market reaction to goodwill write-offs

This article examines the link between uncertainty and investors’ reaction to goodwill write-offs (GWWOs) for a sample of French firms during the period 2001-2004. Our theoretical setting is derived from Daniel, Hirshleifer and Subrahmanyam (1998, hereafter DHS98) who posit that overconfidence leads to an overreaction to private information, followed by too little adjustments when the information becomes public and then a long adjustment which reduce slowly the mispricing in the long run. We consider three proxies for uncertainty – stock return volatility, analyst coverage and dispersion in analyst forecasts – and sort two samples of GWWOs according to the level of uncertainty. Our results confirm DHS98 model and, indirectly, that overconfidence is boosted by uncertainty. We identify a particular corporate event – here a bad signal: goodwill write-offs – and a particular context – high uncertainty – that fit DHS98 model, allowing private information prospecting, overconfidence in this information and arbitrage obstacles. Our tests confirm the overconfidence effect on investors’ reaction: the high-uncertainty sample is characterized by strongly negative abnormal returns during the period preceding GWWOs announcement, associated with high volatility. At the announcement date, negative abnormal returns are observed in line with the self-attribution bias effect (the overreaction is strengthened by a confirming signal). The overreaction to private information is corrected in the long run, where we observe positive abnormal returns, creating a reversal. No abnormal returns are observed for the low-uncertainty sample. This study offers interesting insights in two ways: (i) in the area of financial markets and efficiency, it provides a test of a major over- and under-reaction model, (ii) in the area of corporate finance and accounting, it helps to explain investors’ reaction to corporate financial disclosure according to a theoretical approach of information process and inference.

Excès de confiance des dirigeants et décisions financières : une synthèse

Managerial overconfidence and financial decisions: a survey This paper reviews the growing research area of behavioral corporate finance, focusing on articles regarding the intensity of executives’ overconfidence and its role in financial decision making. Studies report evidence of distortions in corporate investment and financing decision due to CEO overconfidence. Many empirical challenges are emerging, related to overconfidence measures and positive/negative effects of managerial overconfidence.

Sur- et sous-réactions des analystes financiers : une étude des évolutions post-krach

Overreaction and underreaction in analysts’ forecasts: a pre versus post-crash investigation - The financial markets crash, which occurred March – April 2000 has aroused suspicion about financial analysts’ forecasts accuracy which could have made them more cautious, perhaps pessimistic about future performance. This article investigates the possibility of recent behavioral changes by examining analysts’ reactions to good and bad news before and after the crash. We analyze the interaction between over- and under-reaction and the optimistic bias following Easterwood and Nutt (1999)’s methodology. If the crash leads analysts to be less prone to optimism (or even pessimism), we might observe weaker underreaction (or possibly overreaction) to bad news and weaker overreaction (or possibly underreaction) to good news. Our results indicate a strong decrease in optimism after the crash. Reactions to new information are consistent with a reduction in optimism: analysts’ systematic underreaction to negative information strongly decreases after the crash. Overreaction to positive information, less pronounced before the crash, is also weakened.

Asymétrie d’information et valorisation de l’entreprise en difficulté : un cas clinique

Information asymmetry and valuation of financial distressed firms : A clinical case - We provide clinical evidence of valuation and information asymmetry problems for Intercall, beginning with the firm’s 2000 development project into cellular communication. Investors modified their valuation of Intercall growth opportunities after the company announced an important equity issue. The stock fall, the issue was postponed, and Intercall experienced financial distress. This clinical paper illustrates difficulties for valuing new project investment particularly in a fast-changing, technology-based industry, with intangible assets. We show how and why investors revised their anticipations and analyze valuation of growth opportunities and costs of distress in this context.

Offres publiques, pouvoir de négociation et partage des synergies

article disponible sur: http://www.fsa.ulaval.ca/fineco/Bessiere.pdf

Une modélisation du prix d'offre publique: analyse de l'ensemble des stratégies de la firme initiatrice

We develop a model of the takeover offer price in which the acquirer has a choice between (1) a dissuasive or minimum price, (2) a signaling or mimicking strategy, and (3) a hostile or friendly offer. This last consideration is important in France, where most of the acquisitions have previously received the agreement of the target's management. The takeover is modeled as an auction between two acquirers with two types (high or low synergies). The alternative strategies are specified following the perfect bayesian equilibrium requirements for signaling games. The hostile offer analysis shows principally that the dissuasive strategy is always preferred when information costs are high (the costs engaged by the bidder to know his target's valuation), and that the signaling strategy is not always the most profitable, even for the high type bidder. The friendly offer is modeled in a value maximisation context, and negotiation constitutes a free mechanism to obtain information, for both the target and the bidder. Consequently, this offer appears to be the equilibrium strategy as soon as information costs exist.

Offres publiques d'achat : dissuasion ou prix minimal, offre hostile ou négociée

article disponible sur: http://www.persee.fr/articleAsPDF/reco_0035-2764_1998_num_49_3_410009/article_reco_0035-2764_1998_num_49_3_410009.pdf

Prix d'offre publique et théorie des jeux : une investigation empirique sur le marché français

Takeover bid and game theory: an empirical investigation on the French market  -  The bid premium acquiring companies offer for target company shares has been modelled as a game by several theoritical studies, but the empirical implications of these models have not been as well explored. Our purpose is to test them on the French market for 1991-1995. The mean takeover premium of our sample is 31.3%. Our empirical results suggest that principal determinants of bid premium are the expected synergies, the percentage of the target shares controlled by the bidder prior to the offer, and the dilution of minority shares. We show a non linear relation between the bid premium and the part of voting rights previously controlled. In opposition to previous studies, the mean of payment has a non significant impact on the bid price.

Création de valeur et motivations des acquisitions d'entreprises

The examination of causes and shareholder wealth effects of acquisitions is one of the most researched areas in corporate finance. This paper surveys selected articles that focus mainly on returns to buyer firms’ shareholders. Recent literature confirms the evidence that corporate takeovers are highly profitable for the targets but poorly profitable for the acquirers. The recent M&A wave seems to reinforce this conclusion. Several papers focus on behavioural explanations and provide empirical evidence of acquiring-CEO overconfidence.