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Une évaluation de l'importance des anticipations boursières des experts

  • Auguste Mpacko Priso
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    [eng] An Evaluation of the Importance of Expert Stock Price Expectations . by Auguste Mpacko Priso . What role do economic and financial experts' stock price expectations play? Can traders use these expectations as a benchmark? This paper sets out to provide some answers to these questions using the results of the Livingston survey. A causality study shows that expert nominal stock price expectations can be used to improve ordinary traders' price forecasts. However, expert forecasts do not provide enough information to improve stock yield and stock risk premium expectations, which are the variables used in portfoUo decisions. A study of the dynamics between expert stock price expectations and actual prices shows that expert expectations are formed on the basis of an error correction mechanism. Lastly, we show that stock prices change as if they were using expert expectations as a target. [fre] Une évaluation de l'importance des anticipations boursières des experts . par Auguste Mpacko Priso . Quel rôle jouent les anticipations boursières des experts de l'économie et de la finance ? Les opérateurs en bourse peuvent-ils s'en servir comme repère ? Cet article tente d'apporter des éléments de réponse à ces questions en se basant sur les résultats de l'enquête Livingston. À travers une étude de causalité, nous montrons que les prévisions boursières (cours nominaux) des experts peuvent être utilisées pour améliorer les prévisions boursières des opérateurs ordinaires. Toutefois, les prévisions des experts ne sont pas suffisamment informatives pour permettre d'améliorer les prévisions de rentabilités et de primes de risque des actions. Or, c'est sur ces dernières variables que portent les choix d'actifs entrant dans la composition du portefeuille. Après une étude de la dynamique entre les anticipations boursières des experts et les cours observés, nous montrons que les anticipations des experts se forment selon un mécanisme à correction d'erreur. Nous montrons enfin que les cours évoluent comme s'ils se servaient des prévisions des experts comme cible.

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    File URL: http://dx.doi.org/doi:10.3406/ecop.1998.5937
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    File URL: http://www.persee.fr/articleAsPDF/ecop_0249-4744_1998_num_136_5_5937/ecop_0249-4744_1998_num_136_5_5937.pdf?mode=light
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    Article provided by Programme National Persée in its journal Économie & prévision.

    Volume (Year): 136 (1998)
    Issue (Month): 5 ()
    Pages: 49-61

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    Handle: RePEc:prs:ecoprv:ecop_0249-4744_1998_num_136_5_5937
    Note: DOI:10.3406/ecop.1998.5937
    Contact details of provider: Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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    1. Nickell, Stephen, 1985. "Error Correction, Partial Adjustment and All That: An Expository Note," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 47(2), pages 119-29, May.
    2. Salmon, Mark H, 1982. "Error Correction Mechanisms," Economic Journal, Royal Economic Society, vol. 92(367), pages 615-29, September.
    3. Frederic S. Mishkin, 1980. "Are Market Forecasts Rational?," NBER Working Papers 0507, National Bureau of Economic Research, Inc.
    4. Hendry, David F, 1986. "Econometric Modelling with Cointegrated Variables: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 201-12, August.
    5. Currie, David A, 1981. "Some Long Run Features of Dynamic Time Series Models," Economic Journal, Royal Economic Society, vol. 91(363), pages 704-15, September.
    6. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
    7. Georges Prat, 1994. "La formation des anticipations boursières," Économie et Prévision, Programme National Persée, vol. 112(1), pages 101-125.
    8. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-92, December.
    9. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
    10. Leitch, Gordon & Tanner, J Ernest, 1991. "Economic Forecast Evaluation: Profits versus the Conventional Error Measures," American Economic Review, American Economic Association, vol. 81(3), pages 580-90, June.
    11. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    12. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
    13. Brown, Bryan W & Maital, Shlomo, 1981. "What Do Economists Know? An Empirical Study of Experts' Expectations," Econometrica, Econometric Society, vol. 49(2), pages 491-504, March.
    14. Lakonishok, Josef, 1980. " Stock Market Return Expectations: Some General Properties," Journal of Finance, American Finance Association, vol. 35(4), pages 921-31, September.
    15. Pearce, Douglas K, 1984. "An Empirical Analysis of Expected Stock Price Movements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 16(3), pages 317-27, August.
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