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Marchés financiers et anticipations rationnelles

Author

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  • Roland Gillet
  • Ariane Szafarz

Abstract

Focused on the « rational expectations hypothesis», which has served as the foundation of modeling and empirical research in financial microeconomics under the heading of « efficient market hypothesis» (EMH), this paper is dedicated firstly to provide, through a careful analysis of some popular statements among finance practitioners, precise indications of what EMH does and does not consist of. The se~cond part develops a critical analysis of the « anomalies» revealed by systematic testing of the EMH, and to the implications thereof for portfolio management.
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Suggested Citation

  • Roland Gillet & Ariane Szafarz, 2004. "Marchés financiers et anticipations rationnelles," ULB Institutional Repository 2013/142648, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/142648
    Note: SCOPUS: ar.j
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    References listed on IDEAS

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    1. Olivier J. Blanchard & Mark W. Watson, 1982. "Bubbles, Rational Expectations and Financial Markets," NBER Working Papers 0945, National Bureau of Economic Research, Inc.
    2. Adam, M C & Szafarz, A, 1992. "Speculative Bubbles and Financial Markets," Oxford Economic Papers, Oxford University Press, vol. 44(4), pages 626-640, October.
    3. Engle, Robert F & Sheppard, Kevin K, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series qt5s2218dp, Department of Economics, UC San Diego.
    4. Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272.
    5. Bruno Colmant & Roland Gillet & Ariane Szafarz, 2003. "Efficience des marchés: concepts, bulles spéculatives et image comptable," ULB Institutional Repository 2013/653, ULB -- Universite Libre de Bruxelles.
    6. Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
    7. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    8. Burton G. Malkiel, 2003. "Passive Investment Strategies and Efficient Markets," European Financial Management, European Financial Management Association, vol. 9(1), pages 1-10, March.
    9. Froot, Kenneth A & Scharftstein, David S & Stein, Jeremy C, 1992. "Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation," Journal of Finance, American Finance Association, vol. 47(4), pages 1461-1484, September.
    10. Gillet, Roland, 1991. "L'efficience informationnelle du marché boursier : aspects théoriques et empiriques," LIDAM Discussion Papers IRES 1991005, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    11. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    12. Flood, Robert P & Garber, Peter M, 1980. "Market Fundamentals versus Price-Level Bubbles: The First Tests," Journal of Political Economy, University of Chicago Press, vol. 88(4), pages 745-770, August.
    13. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1987. "The Economic Consequences of Noise Traders," NBER Working Papers 2395, National Bureau of Economic Research, Inc.
    14. Engle, Robert F, 2000. "Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models," University of California at San Diego, Economics Working Paper Series qt56j4143f, Department of Economics, UC San Diego.
    15. Gourieroux, C & Laffont, J J & Monfort, Alain, 1982. "Rational Expectations in Dynamic Linear Models: Analysis of the Solutions," Econometrica, Econometric Society, vol. 50(2), pages 409-425, March.
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    Cited by:

    1. Christel Dumas & Céline Louche, 2016. "Collective beliefs for responsible investment," Post-Print hal-01183744, HAL.

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