We provide a detailed discussion of out-of-equilibrium phase transitions in the Hamiltonian mean-field (HMF) model in the framework of Lynden-Bell's statistical theory of the Vlasov equation. For two-level initial conditions, the caloric curve β(E) only depends on the initial value f(0) of the distribution function. We evidence different regions in the parameter space where the nature of the phase transitions between magnetized and nonmagnetized states changes: (i) For f(0)>0.10965, the system displays a second-order phase transition; (ii) for 0.109497