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Changements structurels de la prime de risque et évaluation des marchés d'actions

Listed author(s):
  • Catherine Bruneau
  • Ch. Duval-Kieffer
  • Jean-Paul Nicolaï
Registered author(s):

    [eng] Changes in Structural Risk Premiums and Assessment of Stock Markets by Catherine Bruneau, Ch. Duval-Kieffer and Jean-Paul Nicola'i In this paper, we estimate a fundamental value of the S&P index, which we use as a long-run target in an error-correction modelling of the dynamics of the subsequent returns. The Gordon-Shapiro-based Present Value Model suggests two fundamentals: dividends and a discount rate factor, specified as a risk-free rate plus an ex-ante risk premium, modelled as successive structural breaks at predetermined dates assumed to affect agents' expectations. These breaks are introduced into the cointégration relationship as dummies to ensure the stationarity of the equilibrium deviation variable and the significance of the error correction term. Consequently, the prices observed only move temporarily away from their fundamental value. We use Monte-Carlo simulations to compute the relevant critical values for the stationarity tests. The dates of the breaks over the study period are then related to changes in the stock pricing process. [fre] Changements structurels de la prime de risque et évaluation des marchés d'actions par Catherine Bruneau, Ch. Duval-Kieffer et Jean-Paul Nicolaï Dans cet article, nous estimons une valeur de référence du cours de l'indice boursier S&P, que nous utilisons comme valeur-cible de long terme dans une représentation à correction d'erreur de la dynamique des rendements. D'après le modèle de Gordon-Shapiro, nous définissons cette valeur de référence en fonction des dividendes et d'un taux d'actualisation caractérisé comme la somme d'un taux de rendement d'obligation et d'une prime de risque définie ex ante. Celle-ci est modélisée comme une succession de ruptures intervenant à des dates prédéterminées, associées à des changement des anticipations des agents. Ces ruptures sont introduites dans la relation de coïntégration sous formes de dummies de façon à assurer la stationnarité de la variable d'écart à l'équilibre et, conjointement, la significativité de la force de rappel : ainsi, le cours observé ne s'éloigne que transitoirement de sa valeur fondamentale. L'identification est réalisée en utilisant des tables de valeurs critiques simulées par la méthode de Monte-Carlo. Les dates de ruptures ainsi identifiées sur la période d'étude sont ensuite interprétées en termes de modification du processus de formation des prix.

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    Article provided by Programme National Persée in its journal Économie & prévision.

    Volume (Year): 140 (1999)
    Issue (Month): 4 ()
    Pages: 63-76

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    Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5975
    Note: DOI:10.3406/ecop.1999.5975
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