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Les comportements boursiers sont-ils eulériens ?

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  • Georges Prat

Abstract

Although the Lucas [1978] consumption-based asset pricing model is built with the rational expectation hypothesis (reh), Cecchetti, Lam and Mark (CLM [2000]) show that, contrarily to the reh, the introduction of distorted expectations in this model allows a representation of the two first moments of stock returns. Park [2006] confirms the relevance of this framework by using stock price expectations issued from Livingston?surveys which are affected by distortions similar to those considered in CLM. These results ?based on the calibration of the Euler equation? give a succeeding approach to solve the so-called equity premium puzzle and volatility puzzle. However, such results appear too weak to validate the Euler equation because they do not pay attention to the validity of this equation per date. This paper aims to examine this question. The econometric approach applied on the us stock market shows that, contrarily to the reh, distorted expectations revealed by the Livingston? surveys lead to rather succeeding results, hence confirming with an econometrical approach the literature using calibration. As a result, market stockholder?s coordination appears to be in conformity with the Euler equation but with distorted expectations which may be due to information costs. Classification JEL : D84, E44, G12

Suggested Citation

  • Georges Prat, 2007. "Les comportements boursiers sont-ils eulériens ?," Revue économique, Presses de Sciences-Po, vol. 58(2), pages 427-453.
    • Handle: RePEc:cai:recosp:reco_582_0427
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    Cited by:

    1. Fredj Jawadi & Georges Prat, 2017. "Equity prices and fundamentals: a DDM–APT mixed approach," Review of Quantitative Finance and Accounting, Springer, vol. 49(3), pages 661-695, October.
    2. Pierdzioch, Christian & Rülke, Jan-Christoph, 2012. "Forecasting stock prices: Do forecasters herd?," Economics Letters, Elsevier, vol. 116(3), pages 326-329.
    3. Prat, Georges, 2013. "Equity risk premium and time horizon: What do the U.S. secular data say?," Economic Modelling, Elsevier, vol. 34(C), pages 76-88.
    4. Alexandre Grit, 2022. "Gallicagram : un outil pour comprendre les enjeux d'opinion à propos de la soutenabilité budgétaire ?," Post-Print hal-03845936, HAL.

    More about this item

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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