Comprendre la formation des prix des actifs financiers : ce que nous devons aux lauréats du prix Nobel 2013, Eugene Fama, Lars Peter Hansen et Robert Shiller

In this paper we examine what the study of asset pricing owes to the latter Nobel 2013 laureates? seminal contributions. We mainly refer to the efficiency of the financial markets in transmitting information through the prices and, more specifically, to the predictabilty of asset returns. We first recall the concept of market efficiency formulated by Fama in 1970 and we give an overview of the numerous empirical studies about this concept during the ten years after this contribution and more precisely on the predictability in short run returns. Typically these methods find very modest predictability. Then we recall how Shiller questioned the efficiency property in 1981, by pointing out the ?excess volatility? of prices compared to the one of the fundamentals and how this finding inspired many empirical studies on the predictability in long run returns. Both Fama and Shiller and many others discovered that such predictability becomes an important and even the dominant influence on longer-run movements in asset prices. Two main strands of research have thus followed. Broadly speaking, Fama believes that asset price movements can be understood using economic models with rational investors, whereas Shiller does not. Indeed the first strand advocated by Fama consists in improving the models explaining the pricing of financial assets while maintaining the rational expectation hypothesis; using the econometric method of GMM introduced by Hansen [1982] is thus decisive to test the non linear constraints implied by these models. On the other side, Shiller helped to launch the strand of resarch related to behavioral finance, and investigated, as well as Hansen and others, deviations from rational expectations.