Bibliographie et liens utiles


 
Sites utiles, références bibliographiques et principaux articles de recherche sur lesquels reposent nos outils et méthodes :
Articles généraux sur le coût du capital
  • Damodaran, Aswath, Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2016 Edition (March 5, 2016). Available at SSRN: https://ssrn.com/abstract=2742186
  • Fernandez, Pablo, The Equity Premium in 100 Textbooks (February 2, 2009). Available at SSRN: https://ssrn.com/abstract=1148373
  • Fernandez, Pablo and Aguirreamalloa, Javier and Avendaño, Luis Corres, US Market Risk Premium Used in 2011 by Professors, Analysts and Companies : A Survey with 5.731 Answers (April 8, 2011). Available at SSRN: https://ssrn.com/abstract=1805852
  • Fernandez, Pablo and Aguirreamalloa, Javier and Avendaño, Luis Corres, Market Risk Premium Used in 56 Countries in 2011: A Survey with 6,014 Answers (October 21, 2011). IESE Business School Working Paper No. 920. Available at SSRN: https://ssrn.com/abstract=1947301
  • Sudarsanam Sudi, Kaltenbronn Ulrich, Park Peter, Cost of Equity for Regulated Companies: An international Comparison of Regulatory Practices, (12 November 2011), Competition Commission, UK.
  • Hammond, Paul Brett and Leibowitz, Martin L. and Siegel, Laurence B. and Ibbotson, Roger G. and Asness, Clifford S. and Dimson, Elroy and Marsh, Paul and Staunton, Mike and Grinold, Richard C. and Kroner, Kenneth F. and Arnott, Robert D. and Ilmanen, Antti and Cheng, Peng and Ang, Andrew and Xiaoyan, Zhang and Siegel, Jeremy J. and Mehra, Rajnish, Rethinking the Equity Risk Premium (June 9, 2015). Brett Hammond, Martin Leibowitz, and Laurence Siegel (Eds), Rethinking the Equity Premium, Research Foundation of CFA Institute, 2011-1. Available at SSRN: https://ssrn.com/abstract=2616249
Coût implicite du capital et biais de prévision dû au risque de défaut
  • Clère, Roland, After Modigliani, Miller and Hamada; A New Way to Estimate Cost of Capital? (Après Modigliani, Miller et Hamada: une nouvelle façon d'estimer le coût du capital?) (November 23, 2016). Available at SSRN: https://ssrn.com/abstract=2868702
  • Clère, Roland and Marande, Stéphane, "Risque De Défaut Et Valeur Des Actions: Grand Oublié Ou Révolution Culturelle? (Risk of Default and Value of Shares: A Cultural Revolution?)" (November 6, 2017). Available at SSRN: https://ssrn.com/abstract=3065948
  • Clère, Roland, Le risque crédit et l'évaluation des sociétés, (2ndQ 2016). Lettre d'actualités techniques no.18, published by BM&A.
  • Ruback, Richard S., Valuation When Cash Flow Forecasts are Biased (October 14, 2010). Harvard Business School Finance Working Paper No. 11-036. Available at SSRN: https://ssrn.com/abstract=1688524
Coût implicite du capital et prévisions financières
  • Ashton, David J. and Gregory, Alan and Wang, Pengguo, Analysts' Optimism in Earnings Forecasts and Biases in Estimates of Implied Cost of Equity Capital and Long-Run Growth Rate (March 9, 2011). Available at SSRN: https://ssrn.com/abstract=1782102
  • Abarbanell, Jeffery S. and Lehavy, Reuven, Biased Forecasts or Biased Earnings? The Role of Reported Earnings in Explaining Apparent Bias and Over/Underreaction in Analysts' Earnings Forecasts (January 2003). JAE Boston Conference October 2002. Available at SSRN: https://ssrn.com/abstract=232453
  • Azevedo Vitor G., Bielstein Patrick and Gerhart Manuel, Earnings Forecasts: the Case for Combining Analysts' Estimates
    with a Mechanical Model (June 26, 2017). Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2988831
  • Bradshaw, Mark T, Analysts' Forecasts: What Do We Know after Decades of Work? (June 30, 2011). Available at SSRN: https://ssrn.com/abstract=1880339
  • Guay, Wayne R. and Kothari, S.P. and Shu, Susan, Properties of Implied Cost of Capital Using Analysts' Forecasts (August 25, 2011). Australian Journal of Management, Vol. 36, p. 125, 2011; MIT Sloan Working Paper No. 4422-03. Available at SSRN: https://ssrn.com/abstract=426560
  • Gebhardt, William R. and Lee, Charles M.C. and Swaminathan, Bhaskaran, Toward An Ex Ante Cost-of-Capital (January 8, 1999). Available at SSRN: https: //ssrn.com/abstract=145928
  • Hamon, Jacques and Jacquillat, Bertrand, Expected Returns and Liquidity Premium on the Paris Bourse: an Empirical Investigation, (December 1996-March 1997). Cahier du CEREG, 1997. Available at: http://gfr.treizedev2.com/wp-content/uploads/2015/07/cereg9706.pdf
  • Hanauer, Matthias X. and Jäckel, Christoph and Kaserer, Christoph, A New Look at the Fama-French Model: Evidence Based on Expected Returns (March 27, 2014). Available at SSRN: https://ssrn.com/abstract=2082108
  • Harris, Robert S. and Marston, Felicia C., The Market Risk Premium: Expectational Estimates Using Analysts' Forecasts (1999). Darden Business School Working Paper No. 99-08. Available at SSRN: https://ssrn.com/abstract=252671
  • Hoang, Khoa T.A. and Faff, Robert W., The Implied Cost of Capital: Placing Under the Microscope (February 6, 2017). Available at SSRN: https://ssrn.com/abstract=2914766
  • Hou, Kewei and Van Dijk, Mathijs A. and Zhang, Yinglei, The Implied Cost of Capital: A New Approach (December 14, 2011). Charles A. Dice Center Working Paper No. 2010-4; Journal of Accounting & Economics (JAE), Forthcoming. Available at SSRN: https://ssrn.com/abstract=1561682
  • Jacquillat, Bertrand, Les outils modernes de gestion et le krach boursier d'octobre 1987, Revue d'économie financière Année 1988 Volume 5 Numéro 2 pp. 85-95. Available at Persee.fr: http://www.persee.fr/doc/ecofi_0987-3368_1988_num_5_2_4644
  • Jäckel, Christoph and Mühlhäuser, Katja, The Equity Risk Premium Across European Markets: An Analysis Using the Implied Cost of Capital (October 17, 2011). Available at SSRN: https://ssrn.com/abstract=1945311
  • Pevzner, Mikhail and Radhakrishnan , Suresh and Seethamraju, Chandra, Analysts' Long-Horizon Earnings Forecast Properties and Long-Horizon Macroeconomic Forecast Optimism (March 7, 2016). Available at SSRN: https://ssrn.com/abstract=2744069
  • Schröder, David, The Implied Equity Risk Premium - An Evaluation of Empirical Methods (October 16, 2007). Kredit und Kapital, Vol. 40, No. 4, pp. 583-613. Available at SSRN: https://ssrn.com/abstract=493042
  • Starica, Catalin and Giosi, Pierluigi, "The Ebbing of Accrual Accounting (November 11, 2017)". Available at SSRN: https://ssrn.com/abstract=3072287
  • Wang, Charles C. Y., Measurement Errors of Expected-Return Proxies and the Implied Cost of Capital (January 2015). Harvard Business School Accounting & Management Unit Working Paper No. 13-098. Available at SSRN: https: //ssrn.com/abstract=1967706
  • Wu, Joanna Shuang and Gu, Zhaoyang, Earnings Skewness and Analyst Forecast Bias (May 24, 2000). Simon Business School Working Paper No. FR 00-06. Available at SSRN: https://ssrn.com/abstract=230772
Primes historiques (ex-post)
  • Baetge, Jorg and Kirsch, Hans-Jurgen and Koelen, Peter and Schulz, Roland, On the Myth of Size Premiums in Corporate Valuation: Some Empirical Evidence from the German Stock Market (August 9, 2010). Journal of Applied Research in Accounting and Finance (JARAF), Vol. 5, No. 1, pp. 2-15, 2010. Available at SSRN: https://ssrn.com/abstract=1655692
  • Cornell, Bradford and Arnott, Robert D. and Moroz, Max, "The Equity Premium Revisited (February 1, 2009)". Available at SSRN: https://ssrn.com/abstract=1651196
  • Dimson, Elroy and Marsh, Paul and Staunton, Mike, Irrational Optimism (December 1, 2003). Financial Analysts Journal, Vol. 60, No. 1, 2004, pages 16–25; LBS Accounting Subject Area Working Paper No. IFA397. Available at SSRN: https://ssrn.com/abstract=476981
  • Dimson, Elroy and Marsh, Paul and Staunton, Mike, The Worldwide Equity Premium: A Smaller Puzzle (April 7, 2006). Chapter 11 of R Mehra (Ed), Handbook of the Equity Risk Premium. Elsevier, 2008, pages 467–514; AFA 2008 New Orleans Meetings Paper; EFA 2006 Zurich Meetings Paper. Available at SSRN: https://ssrn.com/abstract=891620
  • Dimson, Elroy and Marsh, Paul and Staunton, Mike, Equity Premia Around the World (October 7, 2011). Available at SSRN: https://ssrn.com/abstract=1940165
  • Dimson, Elroy and Hanke, Bernd, The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds (September 10, 2012). Review of Finance, Vol. 8, No. 1, pp. 19-47, 2004. Available at SSRN: https://ssrn.com/abstract=510703
  • Fama, Eugene F. and French, Kenneth R., "The Equity Premium (April 2001)". EFMA 2001 Lugano Meetings; CRSP Working Paper No. 522. Available at SSRN: https://ssrn.com/abstract=236590
  • Grabowski, Roger J., Pratt Shannon P., Cost of capital, 5th Ed, (12 mars 2014). Wiley
  • Peek, Erik, A study of differences in returns between large and small companies in Europe, (April 30, 2016), Erasmus Centre for Valuation and Accounting - Duff & Phelps LLC. Available at SSRN: https://ssrn.com/abstract=2499205
  • Van Dijk, Mathijs A., Is Size Dead? A Review of the Size Effect in Equity Returns (May 10, 2011). Journal of Banking and Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=879282
Effet de levier, risque systématique et Modèle APV
  • Cohen, Ruben D.n, Incorporating Default Risk Into Hamada's Equation for Application to Capital Structure, Wilmott Magazine, 2007.
  • Fernandez, Pablo, The Value of Tax Shields is Not Equal to the Present Value of Tax Shields (May 5, 2003). EFMA 2003 Helsinki Meetings. Available at SSRN: https://ssrn.com/abstract=290727
  • Fernandez, Pablo, Levered and Unlevered Beta (April 20, 2006). Available at SSRN: https://ssrn.com/abstract=303170
  • Fernandez, Pablo, The Correct Value of Tax Shields (August 27, 2002). Available at SSRN: https://ssrn.com/abstract=330541
  • Fernandez, Pablo, Valuation Methods and Shareholder Value Creation. Academic Press – Elsevier, ed. 2002.
  • Fernandez, Pablo, Equivalence of Ten Different Methods for Valuing Companies by Cash Flow Discounting (October 11, 2003). EFMA 2004 Basel Meetings Paper. Available at SSRN: https://ssrn.com/abstract=367161
  • Fernandez, Pablo, Reply to Comment on the Value of Tax Shields is NOT Equal to the Present Value of Tax Shields (June 22, 2004). Available at SSRN: https://ssrn.com/abstract=646781
  • Fernandez, Pablo, Levered and Unlevered Beta (April 20, 2006). Available at SSRN: https://ssrn.com/abstract=303170
  • Hamada, Robert, The Effect of the Firm's Capital Structure on the Systematic Risk of Common Stocks, (May 1972). The Journal of Finance, p. 435-452. Available at SSRN: https://ssrn.com/abstract=290727
  • Levasseur, Michel and de Bodt, Eric, A Short Note on the Hamada Formula (March 26, 2007). Available at SSRN: https://ssrn.com/abstract=976347
Estimation du bêta
Risque de défaut et coûts du défaut
  • Altman, Edward I., 2000, “Predicting financial distress of companies: Revisiting the z-score and ZETAc models”, Working paper, New York University.
  • Altman, Edward I., Vallore, Kishore M., “Almost Every Thing You Wanted to Know about Recoveries on Defaulted bonds”, Financial Analysts Journal, November/December 1996.
  • Altman, Edward I., Hukkawala Naeem, Vallore, Kishore M., “Report on Defaults & Returns on High Yield Bonds: Analysis through 1999 and Default Outlook for 2000-2002”, New York University - Salomon Center, January 2000.
  • Blume Marshall E., Keim Donald B., “The Risk and Return of Low-Grade Bonds: An Update”, Financial Analysts Journal, Vol. 47, No. 5 (Sep. - Oct., 1991), pp. 85-89.
  • Cahn, Christophe and Girotti, Mattia and Salvadè, Federica, "Coarse Credit Ratings, Corporate Financing, and Real Outcomes (November 17, 2017)". Available at SSRN: https://ssrn.com/abstract=3072891
  • Choi, Jaewon and Richardson, Matthew P., “The Volatility of a Firm's Assets and the Leverage Effect (August 1, 2015)”. AFA 2010 Atlanta Meetings Paper. Available at SSRN: https://ssrn.com/abstract=1359368
  • Clère, Roland, “After Modigliani, Miller and Hamada; A New Way to Estimate Cost of Capital?” (Après Modigliani, Miller et Hamada : une nouvelle façon d'estimer le coût du capital ?) (November 23, 2016). Available at SSRN: https://ssrn.com/abstract=2868702
  • Clère, Roland and Marande, Stéphane, "Risque De Défaut Et Valeur Des Actions: Grand Oublié Ou Révolution Culturelle? (Risk of Default and Value of Shares: A Cultural Revolution?)" (November 6, 2017). Available at SSRN: https://ssrn.com/abstract=3065948
  • Cooper, Ian A. and Davydenko, Sergei A., “Using Yield Spreads to Estimate Expected Returns on Debt and Equity”, (December 2003). London Business School IFA Working Paper; EFA 2003 Annual Conference Paper No. 901. Available at SSRN: https://ssrn.com/abstract=387380
  • Damodaran, Aswath, “The Cost of Distress: Survival, Truncation Risk and Valuation” (January 2006). Available at SSRN: https://ssrn.com/abstract=887129
  • Damodaran, Aswath, Leases, “Debt and Value” (April 14, 2009). Available at SSRN: https://ssrn.com/abstract=1390280
  • Damodaran, Aswath, “Valuing Declining and Distressed Companies” (June 23, 2009). Available at SSRN: https://ssrn.com/abstract=1428022 or http://dx.doi.org/10.2139/ssrn.1428022
  • Davydenko, Sergei A. and Franks, Julian R., “Do Bankruptcy Codes Matter? A Study of Defaults in France, Germany and the UK (September 2006)”. EFA 2005 Moscow Meetings Paper; ECGI - Finance Working Paper No. 89/2005; WFA 2005 Portland Meetings Paper; AFA 2005 Philadelphia Meetings Paper. Available at SSRN: https://ssrn.com/abstract=647861
  • Duan, Jin-Chuan and Sun, Jie and Wang, Tao, “Multiperiod Corporate Default Prediction - A Forward Intensity Approach” (May 16, 2012). Available at SSRN: https://ssrn.com/abstract=1791222
  • Elton Edwin, Martin Gruber, Deepak Agrawal et Christopher Mann, “Explaining the rate spread on corporate bonds”, 2001, Journal of Finance, 56, 247-277.
  • Fernandez, Pablo, “Equivalence of Ten Different Methods for Valuing Companies by Cash Flow Discounting” (October 11, 2003). EFMA 2004 Basel Meetings Paper. Available at SSRN: https://ssrn.com/abstract=367161
  • Gabillon, Jean Claude and Germain, Laurent, "Risky Debt Dynamic, Jumps and Optimal Financial Policy (October 2006)". Available at SSRN: https://ssrn.com/abstract=938148
  • Grjebine, Thomas and Szczerbowicz, Urszula and Tripier, Fabien, “Corporate Debt Structure and Economic Recoveries” (October 2017). Banque de France Working Paper No. 646. Available at SSRN: https://ssrn.com/abstract=3057390
  • Hull, John C. and Predescu, Mirela and White, Alan, Bond Prices, “Default Probabilities and Risk Premiums” (March 9, 2005). Available at SSRN: https://ssrn.com/abstract=2173148
  • Jarrow Robert A.; Turnbull Stuart M. “Pricing Derivatives on Financial Securities Subject to Credit Risk”, The Journal of Finance, Vol. 50, No. 1. (Mar., 1995), pp. 53-85.
  • Kaserer, Christoph and Berg, Tobias, "Estimating Equity Premia from CDS Spreads (November 2008)". EFA 2009 Bergen Meetings Paper. Available at SSRN: https://ssrn.com/abstract=1019279
  • Llobet-Dalmases, Joan and Plana, Dolors and Fito, M Angels, "Accounting Ratio-Based Predictions: An Analysis of the Relationship between Indicators of Financial Health and Those of Accounting Manipulation" (May 1, 2017). European Accounting and Management Review, Vol. 3, No. 2. Available at SSRN: https://ssrn.com/abstract=3080873
  • Rossi, Alice and Vismara, Silvio, “What Do Crowdfunding Platforms Do? A Comparison between Investment-Based Platforms in Europe” (June 1, 2017). Available at SSRN: https://ssrn.com/abstract=2988965
  • Ruback, Richard S., “Valuation When Cash Flow Forecasts are Biased” (October 14, 2010). Harvard Business School Finance Working Paper No. 11-036. Available at SSRN: https://ssrn.com/abstract=1688524 or http://dx.doi.org/10.2139/ssrn.1688524
  • Schwert, Michael, “Is Borrowing from Banks More Expensive than Borrowing from the Market?” (October 25, 2017). Fisher College of Business Working Paper No. 2017-03-23. Available at SSRN: https://ssrn.com/abstract=3059607
 

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