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Rentabilité, risque et équilibre à la Bourse de Paris

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  • Jean-Jacques Rosa

Abstract

[fre] Lorsque les investisseurs se comportent selon les normes de rationalité de la théorie des choix de portefeuille, on montre que l'équilibre sur un marché financier correspond ― sous des hypothèses très générales ― à une relation linéaire entre la rentabilité moyenne et le risque des actifs financiers inclus dans des portefeuilles efficients. La vérification empirique du modèle d'équilibre des actifs financiers est effectuée à la Bourse de Paris (terme et comptan) sur la période 1965-1970 en utilisant la méthode de Fama et Mc Beth. Sur la base de ces observations, il ne semble pas que le modèle théorique puisse être rejeté en tant qu'explication de la détermination de la rentabilité des actions, bien que certaines conditions d'efficience du marché ne soient pas respectées. [eng] Return, risk and equilibrium at the Paris bourse . When investors behave rationnally accordîng to the criteria of normative portfolio theory, equilibrium in financial markets results in a linear relationship between. average return and systematic risk ot assets included in efficient portfolios. This conclusion holds under fairly general assumptions.. Systematic tests of the capital asser pricing model are performed on a Paris Bourse monthly data base for the 1965-1970 period, following the Fama-Mc Beth method. The validity of the model is not rejected on the basis of these observations although some conditions of market efficiency are not always met.

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  • Jean-Jacques Rosa, 1976. "Rentabilité, risque et équilibre à la Bourse de Paris," Revue Économique, Programme National Persée, vol. 27(4), pages 608-662.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1976_num_27_4_408276
    DOI: 10.3406/reco.1976.408276
    Note: DOI:10.3406/reco.1976.408276
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    1. Francine Roure & Alain Butery, 1982. "Droite de marché des titres et performances des sociétés holdings pures françaises," Revue Économique, Programme National Persée, vol. 33(3), pages 497-540.
    2. David Zajdenweber, 1977. "La vérification du CAPM et la théorie des promenades aléatoires. A propos d'une controverse," Revue Économique, Programme National Persée, vol. 28(6), pages 1005-1008.

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