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Les outils modernes de gestion et le krach boursier d'octobre 1987

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  • Bertrand Jacquillat

Abstract

[fre] Beaucoup d'explications ont été données sur l'ampleur et la brutalité de la crise boursière d'octobre 1987. À partir de données boursières exclusivement françaises, nous centrons ici notre analyse sur la théorie du risque. Plusieurs facteurs permettent d'expliquer le krach boursier : dès août 1987, les analystes financiers avaient révisé à la baisse les prévisions de croissance à court et moyen terme des bénéfices des sociétés françaises de manière significative. Au niveau qu'il avait atteint, le marché était devenu très risqué ; la prime de risque et l'écart entre les taux de rentabilité actuarielle des actions et des obligations étaient à leurs niveaux historiquement les plus bas. Les simulations actuarielles montrent le potentiel important de baisse que pouvait entraîner toute modification, même faible, des exigences de rendement et la reconstitution de la prime de risque. Ces différents paramètres sont enfin intégrés dans un modèle d'asset mix optimal actions/obligations. [eng] Modem portfolio management tools and the October 1987 stock market crash . Numerous explanations to the october stock market crash have been proposed. The analysis, essentially based on French data, is centered on the theory of risk. As soon as august 1987, financial analysts had revised significantly downwards their expectations as far as short and medium term earnings growth of French companies were concerned. The market had become very risky : the risk premium and the spread between the stocks and bonds expected return were at their lowest levels since ten years. Actuarial simulations show that the downside potential of the market due to a slight reconstitution of the market risk premium or the spread was enormous. Finally these parameters are integrated in an optimal asset mix model between stocks and cash.

Suggested Citation

  • Bertrand Jacquillat, 1988. "Les outils modernes de gestion et le krach boursier d'octobre 1987," Revue d'Économie Financière, Programme National Persée, vol. 5(2), pages 85-95.
  • Handle: RePEc:prs:recofi:ecofi_0987-3368_1988_num_5_2_4644
    DOI: 10.3406/ecofi.1988.4644
    Note: DOI:10.3406/ecofi.1988.4644
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