The impact of information on the price of securities.

Summary This thesis focuses on the revelation, transmission and perception of information on stock prices. It deals mainly with the impact of public information reported by the media. The first chapter is a literature review presenting the theoretical framework of our research. First, we review the theory of market efficiency and its limitations, and present the methodology of event studies. Then, we present a synthesis of the work on the impact of information on prices, with particular emphasis on the role played by the media and financial analysts in the dissemination of this information. The second chapter presents an empirical study, which verifies whether the recommendations of financial analysts disseminated by the German daily press, and concerning companies listed on the DAX30 (from September 2000 to April 2002), have an impact on stock prices, and whether this impact varies according to the type of media: general daily press, financial press and television program. Our results are consistent with the literature and show that, most of the time, the market has integrated the information before the day the recommendation is broadcast. However, for some media and for some types of recommendations, we still observe a significant impact on the date of broadcast. However, the expected gains from building a trading strategy on these recommendations are relatively modest and, given the transaction costs, do not seem sufficient to "beat" the market. The efficiency hypothesis therefore does not seem to be really challenged. The third chapter examines the effect of the number of recommendations on the evolution of prices. The underlying hypothesis is the "truth effect", documented in psychology, which shows that repeated information is perceived as more credible. The study covers the period from September 2000 to April 2002 and concerns DAX 30 companies. The results show that the number of recommendations published in the media (indicator of media coverage) has a significant influence on the variation of Tobin's Q (indicator of value change), positively for the number of recommendations to buy and negatively for the number of recommendations to sell. The direction of this relationship is, however, ambivalent because the change in value also seems to affect the number of recommendations published: the perception of investors and that of analysts through their recommendations broadcast in the media (except for sell recommendations broadcast by television) seem to support each other. In chapter 4, we analyzed how the stock market perceives the duopoly competition between Airbus and Boeing through the study of order announcements published in the press and their impact on the stock prices of the two competitors. This work is the first to our knowledge to make a direct link between individual sales and market value. Our results show that order announcements benefit the seller more than the competitor, and that there is some symmetry in the impact of order announcements on the firm concerned and its competitor.