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Les choix de portefeuille des épargnants sur le cycle boursier et le cycle de vie

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  • Alexis Direr
  • Eric Yayi

Abstract

[fre] Les épargnants détenant des titres financiers risqués ont-ils tendance à investir à contretemps de la conjoncture boursière ? Réduisent-ils leur exposition au risque avec l’âge et à l’approche de la retraite ? Les données d’un grand assureur français répertoriant les souscriptions de contrats Madelin entre 2002 et 2009 permettent d’avancer quelques réponses. Les souscripteurs peuvent placer leur épargne dans deux types de support : des titres monétaires presque sans risque, et des fonds en unités de compte représentant des parts d’OPCVM investies en titres à risque. La part du capital investie en unités de compte ne s’avère sensible à la conjoncture boursière qu’au moment de la souscription du contrat. Ensuite prévaut une forte inertie des choix de portefeuille, les épargnants ne modifiant que très rarement la part sélectionnée initialement. Une forte procyclicité des choix d’investissement semble s’expliquer par une extrapolation de la performance boursière récente. Ainsi les nouveaux souscripteurs détiennent-ils une part d’actifs risqués minimum en 2004, au début d’une phase de hausse de quatre ans, et maximum en 2008, au début de la chute boursière liée à la crise financière. La part risquée décline régulièrement avec l’âge, une fois tenu compte des effets temps et sans contrôler les effets génération. Le profil par âge décline également dans la configuration inverse (avec effets génération et sans effets temps), mais la baisse est moins accentuée car elle résulte de deux mécanismes opposés : avec l’âge, le nombre d’épargnants investissant dans des actifs risqués tend à s’accroître alors que, conditionnellement à investir, la part risquée diminue. Ainsi, entre 40 et 60 ans, la probabilité de détention d’unités de compte augmente d’environ 12 points, alors que la part investie en unités de compte, conditionnellement à détenir une part positive, décroît avec l’âge d’environ 6 points, laissant subsister un risque financier à l’approche de la retraite.

Suggested Citation

  • Alexis Direr & Eric Yayi, 2014. "Les choix de portefeuille des épargnants sur le cycle boursier et le cycle de vie," Économie et Statistique, Programme National Persée, vol. 472(1), pages 125-152.
  • Handle: RePEc:prs:ecstat:estat_0336-1454_2014_num_472_1_10493
    DOI: 10.3406/estat.2014.10493
    Note: DOI:10.3406/estat.2014.10493
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    Cited by:

    1. Alexis DIRER & Rim ENNAJAR-SAYADI, 2016. "How Price Elastic is the Demand For Retirement Saving?," LEO Working Papers / DR LEO 2437, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    2. Alexis DIRER & Rim ENNAJAR-SAYADI, 2016. "How Pride Elastic is the Demand For Retirement Saving," LEO Working Papers / DR LEO 2436, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.

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