Influence de la notation éthique sur l'évolution du prix des actions

Abstract

L'investissement socialement responsable connaît une croissance rapide ces dernières années, ceci traduisant une préoccupation réelle des investisseurs. Cette étude propose une modélisation théorique formalisant les implications de ce goût nouveau pour l'investissement socialement responsable sur le prix des actions. Nous retraçons les différentes phases d'introduction de l'éthique sur les marchés financiers. Nous montrons, en particulier, que l'émergence d'une notation éthique entraîne une hausse du prix des titres éthiques, et donc une diminution du coût du capital de ces entreprises. Cet avantage peut inciter des entreprises à s'adapter à la demande des investisseurs en adoptant un comportement éthique, et ce jusqu'à ce que la baisse du coût du capital induite s'équilibre avec le coût supporté pour investir dans des programmes de mise en conformité aux normes sociales.

The effects of social ratings on firm value

“…As SRI market is growing in Europe during the period under study and the disclosure of social ratings is emerging, thus this positive impact is in line with the stock price increase documented by Dupré et al (2009).…”

“…Dupré et al (2009) explain the progressive transformation of f nancial markets due to the evolution of ethical demand from investors. These authors show that in a market where investors are concerned about ethics, the emergence of social ratings increases stock prices.…”

“…To investigate how social performance inf uences f rm value, we refer to the theoretical literature on ethical demand of investors (Heinkel et al, 2001;Dupré et al, 2009), and to the empirical literature on the relationship between CSR and f nancial performance. Thus, we expect that disaggregated components of ratings drive the value effects, and not the overall rating.…”

Which Dimensions of Social Responsibility Concern Financial Investors?

“…The reason is that, in a given sector, costs are similar to reach the same social commitment and, at equilibrium, no firm will take advantage of a change in its social status to become more or less socially responsible. As shown by Dupré et al (2009), the lower cost of capital for SR firms (due to lower risk or stockholder altruism) will be compensated by the higher costs they incur and their lower expected cash-flows. It could be expected that, over long periods, empirical tests studying the relation between equity and social responsibility (especially when SR is valued by comparison between firms belonging to the same sector) will show only one thing: a lower return for socially responsible stocks.…”

Which Dimensions of Social Responsibility Concern Financial Investors?

“…The reason is that, in a given sector, costs are similar to reach the same social commitment and, at equilibrium, no firm will take advantage of a change in its social status to become more or less socially responsible. As shown by Dupré et al (2009), the lower cost of capital for SR firms (due to lower risk or stockholder altruism) will be compensated by the higher costs they incur and their lower expected cash-flows. It could be expected that, over long periods, empirical tests studying the relation between equity and social responsibility (especially when SR is valued by comparison between firms belonging to the same sector)…”