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Marchés financiers et anticipations rationnelles

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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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Bibliographic Info

Article provided by De Boeck Université in its journal Reflets et perspectives de la vie économique.

Volume (Year): XLIII (2004)
Issue (Month): 2 ()
Pages: 7-17

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Handle: RePEc:cai:rpvedb:rpve_432_0007

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Web page: http://www.cairn.info/revue-reflets-et-perspectives-de-la-vie-economique.htm

Related research

Keywords: Financial markets; rational expectations; efficient market hypothesis; port- folio management;

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References

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  1. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.
  2. Marie Christine Adam & Ariane Szafarz, 1992. "Speculative Bubbles and Financial Markets," ULB Institutional Repository 2013/689, ULB -- Universite Libre de Bruxelles.
  3. Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272.
  4. Bruno Colmant & Roland Gillet & Ariane Szafarz, 2009. "Efficience des marchés: concepts, bulles spéculatives et image comptable," ULB Institutional Repository 2013/97353, ULB -- Universite Libre de Bruxelles.
  5. 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.
  6. 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.
  7. Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
  8. 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 745-70, August.
  9. Burton G. Malkiel, 2003. "Passive Investment Strategies and Efficient Markets," European Financial Management, European Financial Management Association, vol. 9(1), pages 1-10.
  10. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  11. Gillet, Roland, 1991. "L'efficience informationnelle du marché boursier : aspects théoriques et empiriques," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1991005, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
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