Valuation and discount rates under IFRS: Does a size premium exist on the French market? (notice n° 455385)
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| fixed length control field | 03188cam a2200289 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121033617.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Thauvron, Arnaud |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Valuation and discount rates under IFRS: Does a size premium exist on the French market? |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2022.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 95 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | L’effet taille mesure l’écart qui peut être observé entre la rentabilité des petites capitalisations, ajustée du risque, et celle des grandes capitalisations. Identifié en 1981, il a fait depuis l’objet de nombreuses études, aux résultats contrastés. S’il est avéré, il devrait être intégré dans les modèles de valorisation actuarielle, notamment dans un contexte de normalisation IFRS. Les résultats obtenus dans notre étude portent sur 1 221 sociétés cotées sur le marché français et couvrent 29 années (de janvier 1990 à décembre 2018). Cette recherche met en évidence un effet taille plus complexe sur le marché français que dans la littérature. Ce dernier apparaît lorsqu’il est croisé avec une mesure comptable de la qualité des sociétés. Il constitue, à l’instar de cet effet qualité, un risque non diversifiable non capté par le bêta du MÉDAF. Ces effets taille et qualité s'apparentent à des primes de risque que les préparateurs des états financiers doivent prendre en compte dans l’estimation de la juste valeur au travers de calculs actuariels (l’effet cumulé de ces deux paramètres est compris entre 0,48 % et 2,97 % dans le cadre de notre étude). |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | The size effect refers to the difference that can be observed between the returns of small-cap stocks, adjusted for risk, and those of large-cap stocks. First identified in 1981, this phenomenon has since been the subject of numerous studies with contrasting results. If it is proven to exist, it should be taken into account in actuarial valuation models, particularly with respect to IFRS. The results of our study, which looks at 1,221 companies listed on the French market and covers 29 years (from January 1990 to December 2018), do not directly highlight the existence of the size effect on the French market as described in other publications. However, it appears when it is cross-analyzed with company quality. Like the quality effect, it constitutes a non-diversifiable risk that is not captured by the beta used in the capital asset pricing model (CAPM). The size effect and the quality effect thus constitute risk premiums that financial statement preparers must consider when estimating fair value through actuarial calculations (based on our study, the cumulative effect of these two parameters is between 0.48% and 2.97%). |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | prime |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | taille |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | IFRS |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | taux |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | premium |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | rate |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | IFRS |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | size |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Astolfi, Pierre |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Desban, Marc |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Accounting Auditing Control | Volume 28 | 4 | 2022-10-12 | p. 101-141 | 1262-2788 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-accounting-auditing-control-2022-4-page-101?lang=en&redirect-ssocas=7080">https://shs.cairn.info/journal-accounting-auditing-control-2022-4-page-101?lang=en&redirect-ssocas=7080</a> |
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