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« Investir Sur Le Marche Inernational Des Actions A-T-Il Plus D'Effet Sur La Persistance De La Performance Des Fonds ? Illustration Britannique »

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  • Kamel Laaradh

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    (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans)

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    Abstract

    L'objectif de cet article est de tester si la diversification internationale des portefeuilles a un effet positif sur leur performance comme le soutient la théorie de finance moderne. Pour se faire, nous proposons d'étudier la persistance de la performance d'un ensemble d'échantillon des fonds de pension et des unit trusts britanniques investissant en actions internationales sur la période mars 1995 et février 2005. Nous utilisons des mesures inconditionnelles et conditionnelles (Ferson et Schadt (1996) et Christopherson, Ferson et Glassman (1998)) pour évaluer la performance des ces fonds. Pour l'analyse de la persistance de cette performance nous nous référons aux tests non-paramétriques. Globalement la majorité des fonds ont des performances instables, voir même réversibles pour quelques-uns, particulièrement à long terme et au début de période d'un horizon moyen. Néanmoins, Comparés entre eux, les fonds de pension et les unit trusts peuvent se concurrencer en termes de la stabilité de leur performance quand elle existe.

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    File URL: http://halshs.archives-ouvertes.fr/docs/00/54/49/30/PDF/p183.pdf
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    Bibliographic Info

    Paper provided by HAL in its series Post-Print with number halshs-00544930.

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    Date of creation: May 2007
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    Publication status: Published - Presented, «COMPTABILITE ET ENVIRONNEMENT », 2007, France
    Handle: RePEc:hal:journl:halshs-00544930

    Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00544930/en/
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    Keywords: diversification internationale des portefeuilles; mesures conditionnelles et inconditionnelles de performance; tests non-paramétriques; persistance de la performance;

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    1. Zhang, Xiaoyan, 2006. "Specification tests of international asset pricing models," Journal of International Money and Finance, Elsevier, vol. 25(2), pages 275-307, March.
    2. Allan Timmermann & David Blake, 2005. "International Asset Allocation with Time-Varying Investment Opportunities," The Journal of Business, University of Chicago Press, vol. 78(1), pages 71-98, January.
    3. Pesaran, M Hashem & Timmermann, Allan, 2000. "A Recursive Modelling Approach to Predicting UK Stock Returns," Economic Journal, Royal Economic Society, vol. 110(460), pages 159-91, January.
    4. Rogér Otten & Dennis Bams, 2007. "The Performance of Local versus Foreign Mutual Fund Managers," European Financial Management, European Financial Management Association, vol. 13(4), pages 702-720.
    5. Patro, Dilip Kumar, 2001. "Measuring performance of international closed-end funds," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1741-1767, September.
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