Marchés financiers et anticipations rationnelles
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.
Volume (Year): XLIII (2004)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.cairn.info/revue-reflets-et-perspectives-de-la-vie-economique.htm|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
- Gourieroux, C & Laffont, J J & Monfort, Alain, 1982. "Rational Expectations in Dynamic Linear Models: Analysis of the Solutions," Econometrica, Econometric Society, vol. 50(2), pages 409-25, March.
- Adam, M C & Szafarz, A, 1992.
"Speculative Bubbles and Financial Markets,"
Oxford Economic Papers,
Oxford University Press, vol. 44(4), pages 626-40, October.
- Marie Christine Adam & Ariane Szafarz, 1993. "Speculative Bubbles and Financial Markets," ULB Institutional Repository 2013/665, ULB -- Universite Libre de Bruxelles.
- Marie Christine Adam & Ariane Szafarz, 1992. "Speculative Bubbles and Financial Markets," ULB Institutional Repository 2013/689, ULB -- Universite Libre de Bruxelles.
- 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.
- Engle, Robert F & Sheppard, Kevin K, 2001.
"Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH,"
University of California at San Diego, Economics Working Paper Series
qt5s2218dp, Department of Economics, UC San Diego.
- 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.
- 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).
- Bruno Colmant & Roland Gillet & Ariane Szafarz, 2003.
"Efficience des marchés: concepts, bulles spéculatives et image comptable,"
ULB Institutional Repository
2013/653, ULB -- Universite Libre de Bruxelles.
- 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.
- Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
- 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.
- 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.
- Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272, December.
- Burton G. Malkiel, 2003. "Passive Investment Strategies and Efficient Markets," European Financial Management, European Financial Management Association, vol. 9(1), pages 1-10.
When requesting a correction, please mention this item's handle: RePEc:cai:rpvedb:rpve_432_0007. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jean-Baptiste de Vathaire)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.