Yes, a new cars value will drop by about 20%, the moment you drive it off the lot. The amount of depreciation will depend on the vehicle. New cars tend to depreciate quite a bit very quickly, and then hold their value for a few years. Around year five, the value drops again. This is especially true of high end American cars. Buying a car that is a few months, or even a year old is often a great idea. You get an almost new car and buy the car after it has depreciated a bit.
For more info, see Car Value Calculator: How to Use It