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Efficience des marchés : un siècle après Bachelier

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  • Alexander S. Sangare

Abstract

[fre] Un siècle après la publication de la thèse de Bachelier, la théorie de l’efficience des marchés a connu un développement prodigieux au cours des dernières décennies au point de rendre floues les frontières entre les disciplines mathématique, économique, managériale et psychologique. Curieusement, la théorie se nourrit de ses propres contradictions : les résultats se disent et se contredisent au gré des approches analytiques et empiriques. L’auteur a revu l’évolution de cette prolifique littérature qui ne semblait plus cadrer avec la classification traditionnelle de Fama. La typologie générale qu’il propose canalise les recherches dans ce domaine en trois paradigmes : l’efficience informationnelle, l’efficience fondamentale et l’efficience allocationnelle. Bien que n’étant pas indépendants, ces trois paradigmes correspondent à des approches différentes pour répondre à une même question : les marchés financiers sont-ils efficients ? . Classification JEL : D52, D82, E44, G14 [eng] The efficient market theory : a century after the Bachelier’s thesis . A century after the publication of Bachelier’s thesis, the efficient market theory has made a so prodigious development during the last decades that the boundaries between mathematics, economics, business, and psychology are becoming blurred. Curiously the theory lives on its own contradictions : findings are confirming and contradicting themselves as analytical and empirical approaches dictate. The author reviews the advances of this prolific literature which seems no more suitable with the traditional classification of Fama. The general typology that the author proposes channels the research in this field among three paradigms : Informational efficiency ; Fundamental efficiency ; and Allocational efficiency. Although not entirely independent, these three paradigms use different approaches to answer the same question : are capital markets efficient ? . JEL classification : D52, D82, E44, G14

Suggested Citation

  • Alexander S. Sangare, 2005. "Efficience des marchés : un siècle après Bachelier," Revue d'Économie Financière, Programme National Persée, vol. 81(4), pages 107-132.
  • Handle: RePEc:prs:recofi:ecofi_0987-3368_2005_num_81_4_4015
    Note: DOI:10.3406/ecofi.2005.4015
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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