Valorisation et taux d’actualisation en IFRS: une prime de taille existe-t-elle sur le marché français ?

Arnaud Thauvron, Pierre Astolfi and Marc Desban

ACCRA, 2022, vol. 28, issue 4, 101-141

Abstract: 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%).

Keywords: IFRS; rate; premium; size (search for similar items in EconPapers)
Date: 2022
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