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Biais cognitifs, asymétrie d’information et formation des prix

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  • Kaestner, Michael

Abstract

L’objectif de la Finance comportementale est de proposer une alternative à la Théorie des Marchés Efficients, en introduisant des hypothèses moins restrictives quant à la rationalité des individus. La compréhension de la formation des prix sur les marchés financiers lorsqu’une partie des investisseurs est susceptible de subir des biais cognitifs constitue une des voies de recherche principales. Nous proposons une extension du modèle de Grossman et Stiglitz (1980) en intégrant des investisseurs qui révisent leurs croyances de manière erronée, en se basant sur (1) une information a priori erronée et/ou (2) une sur- ou sous-estimation de la qualité de leur signal privé. Nous montrons l’impact des biais cognitifs sur le degré d\'efficience du système de prix et montrons les biais individuels sont partiellement transmis aux agents non-informés, qui tentent d’inférer l’information privée.

Suggested Citation

  • Kaestner, Michael, 2003. "Biais cognitifs, asymétrie d’information et formation des prix," Working Paper Series 2003-1, Montpellier University, Center for Research in Finance.
    • Handle: RePEc:grf:mtpwps:mk004
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