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Vers une prime de risque unique?

Author

Listed:
  • Bancel, F.
  • Ceddaha, F.

Abstract

La prime de risque de marche qui represente la difference entre la rentabilite exigee d'un portefeuille diversifie et le rendement des titres sans risque emis par le Tresor, est au centre d'enjeux importants. Cet article presente dans une premiere partie une revue de la litterature scientifique sur les mesures ex-post et ex-ante de la prime de risque. La deuxieme partie revient sur les limites du calcul de la prime de risque. En conclusion, est evoquee la necessite de raisonner a partir d'une prime unique pour l'Europe.

Suggested Citation

  • Bancel, F. & Ceddaha, F., 1999. "Vers une prime de risque unique?," Papers 99/143, Ecole Superieure de Commerce de Paris. Groupe ESCP-.
    • Handle: RePEc:fth:ecsucp:99/143
    as

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    More about this item

    Keywords

    RISQUE ; MARCHE FINANCIER ; PRIX;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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