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Les fondements de la rotation sectorielle des portefeuilles

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  • Jean-Pierre Berdot
  • Daniel Goyeau
  • Jacques Léonard

Abstract

[eng] Portfolio selection : intersectoral arbitrage is now predominant . The most recent literature shows that portfolio selection has significantly changed : intersectoral arbitrage has become predominant First, this article draws up a classification of all the characteristic features of the different sectors of activity by determining how they react to the general cycle of economic activity and to what extent (degree) they depend on the fluctuations of the financial market. The authors bring these two criteria together, which leads them to compare both sectoral pricing and portfolio investment to the general cycle of economic activity. This analysis concerns the French stock market over the years 1994-2003. Two categories of sectors particularly relevant from a strategic point of view are identified : . - sectors which lead the economic cycle : the riskiest and consequently the best performing ones when the market is bullish ; . - sectors which lag behind the economic cycle : the safest ones and consequently the best performing ones when the market is bearish. . JEL classification : E44, G11, G12 [fre] La littérature récente sur la logique de sélection de portefeuille illustre le rôle devenu prépondérant d’une logique d’arbitrages intersectoriels. Cet article établit tout d’abord une typologie des secteurs selon leur positionnement par rapport au cycle général d’activité et selon leur degré de sensibilité par rapport au marché. Puis, les auteurs croisent ces deux critères, ce qui conduit ensuite à positionner le cycle de la valorisation sectorielle et de l’investissement de portefeuille par rapport au cycle général d’activité réelle. Cette analyse est appliquée au marché français des actions en rapport avec la conjoncture économique française, sur la période 1994-2003. Deux ensembles de secteurs particulièrement stratégiques sont alors identifiés : . - des secteurs en avance sur la conjoncture, donc plus risqués, et plus sur-performants en phase haussière du marché ; . - des secteurs en retard sur la conjoncture, donc moins risqués et plus sur-performants en phase baissière du marché. . Classification JEL : E44, G11, G12

Suggested Citation

  • Jean-Pierre Berdot & Daniel Goyeau & Jacques Léonard, 2005. "Les fondements de la rotation sectorielle des portefeuilles," Revue d'Économie Financière, Programme National Persée, vol. 78(1), pages 345-362.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2005_num_78_1_3960
    DOI: 10.3406/ecofi.2005.3960
    Note: DOI:10.3406/ecofi.2005.3960
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    References listed on IDEAS

    as
    1. Jean-Pierre Berdot & Daniel Goyeau & Jacques Léonard, 2001. "Diversification et valorisation des actifs financiers : logique sectorielle contre logique de Place," Revue d'Économie Financière, Programme National Persée, vol. 61(1), pages 173-191.
    2. Moerman, Gerard, 2004. "Diversification in euro area stock markets: country versus industry," Working Paper Series 327, European Central Bank.
    3. Tobias J. Moskowitz & Mark Grinblatt, 1999. "Do Industries Explain Momentum?," Journal of Finance, American Finance Association, vol. 54(4), pages 1249-1290, August.
    4. Marina Emiris, 2004. "Sectoral vs. country diversification benefits and downside risk," Working Paper Research 48, National Bank of Belgium.
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    Cited by:

    1. Catherine Aaron & Isabelle Bilon & Sébastien Galanti & Yamina Tadjeddine, 2005. "Les styles de gestion de portefeuille existent-ils ?," Revue d'Économie Financière, Programme National Persée, vol. 81(4), pages 171-188.
    2. Philippe DESBRIERES, 2017. "L’investissement conforme à la Charia est-il socialement responsable ?,Is Shariah compliant investment socially responsible?," Working Papers CREGO 1171001, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.

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    More about this item

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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