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La perception du risque de titres financiers : l’importance relative et l’influence de certains facteurs de risque

Author

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  • Gendron, Michel

    (Département de finance et d’assurance, Université Laval)

  • Genest, Christian

    (Département de mathématiques et de statistique, Université Laval)

Abstract

This paper presents an analysis of the relative importance and influence of various socio-economic, institutional and systemic factors considered relevant to portfolio managers' risk perception of securities. The analysis is based on data from a 1990 survey in which twenty institutional investors from Québec were asked to assess the relative importance of seven factors generally regarded as representative of the multidimensional nature of risk and deemed adequate for determining the respondents' risk rankings of securities from the banking and consumer goods sectors. The individuals' preferences were elicited through paired comparisons expressed on a 1-9 scale and analyzed using a statistical variant, developed by De Jong (1984), of Saaty's Analytic Hierarchy Process. Despite the wide range of opinions observed as to the relative importance of the various risk factors, the risk rankings of the securities considered turned out to be very similar across factors. A possible explanation of this phenomenon is offered. Cet article présente une analyse de l’importance relative et de l’influence de différents facteurs socio-économiques, institutionnels et systémiques sur la perception du risque de titres financiers chez des gestionnaires de portefeuilles. Les résultats proviennent d’une enquête menée en juin 1990 auprès d’une vingtaine d’investisseurs institutionnels québécois auxquels on avait demandé de quantifier l’importance relative qu’ils accordent à sept facteurs généralement considérés comme représentatifs de l’ensemble des facettes du risque et adéquats pour la détermination du classement du risque de titres provenant de deux secteurs de l’économie, celui des banques et celui de la consommation. Les préférences des répondants, exprimées à partir de comparaisons par paires, ont été étudiées à l’aide d’une variante statistique, proposée par De Jong (1984), du procédé d’analyse hiérarchique de Saaty. Il ressort de cette enquête qu’en dépit d’une grande diversité d’opinions quant à l’importance relative à accorder aux différents facteurs de risque, le classement des titres d’un même secteur varie très peu d’un facteur à l’autre. Une explication de ce phénomène est suggérée.

Suggested Citation

  • Gendron, Michel & Genest, Christian, 1993. "La perception du risque de titres financiers : l’importance relative et l’influence de certains facteurs de risque," L'Actualité Economique, Société Canadienne de Science Economique, vol. 69(1), pages 142-170, mars.
    • Handle: RePEc:ris:actuec:v:69:y:1993:i:1:p:142-170
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    1. Tinic, Seha M & West, Richard R, 1986. "Risk, Return, and Equilibrium: A Revisit," Journal of Political Economy, University of Chicago Press, vol. 94(1), pages 126-147, February.
    2. Bower, Richard S & Bower, Dorothy H, 1969. "Risk and the Valuation of Common Stock," Journal of Political Economy, University of Chicago Press, vol. 77(3), pages 349-362, May/June.
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