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L'efficience informationnelle des marchés: une hypothèse, et au-delà ?

Author

Listed:
  • Roland Gillet
  • Ariane Szafarz

Abstract

L'hypothèse d'efficience des marchés n'a pas toujours été (et n'est toujours pas) admise facilement par les praticiens de la finance dont la pertinence du conseil en placements se trouve menacée au profit de stratégies indicielles passives. La littérature académique s'est donc attelée à élaborer de très nombreux tests empiriques en ce domaine. Cet article resitue le débat à la lumière des bases théoriques en termes d'anticipations rationnelles. Plusieurs affirmations fréquemment entendues sur le sujet y sont commentées et les outils économétriques de la littérature empirique qui, depuis une quarantaine d'années ne cessent de d'évoluer, sont présentés.

Suggested Citation

  • Roland Gillet & Ariane Szafarz, 2004. "L'efficience informationnelle des marchés: une hypothèse, et au-delà ?," Working Papers CEB 04-004.RS, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:sol:wpaper:04-004
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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. L'efficience des marchés financiers: la théorie !
      by contact@captaineconomics.fr (Le Captain') in Captain Economics on 2012-06-28 14:55:44

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    Cited by:

    1. Oumou Kalsoum Diallo & Pierre Mendy, 2019. "Wavelet Leader and Multifractal Detrended Fluctuation Analysis of Market Efficiency: Evidence from WAEMU Market Index," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 5(1), pages 1-23, June.

    More about this item

    Keywords

    marchés efficients; anticipations rationnelles; tests d'efficience.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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