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Le modèle d'évaluation des actions confronté aux anticipations des agents informés

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  • Georges Prat

Abstract

[eng] With respect to the standard valuation model, this paper aims to solve the pro­blem of the determination of the expected return by using stock price expectations (S&P industrial index) revealed by Livingston's survey date issued from a panel of experts. It then becomes possible to give a measure of the "effective ex-ante risk premium". This premium appears to take rather realistic values and can be explained altogether by the "consumer sentiment index" which stands for the general economic confidence, and an indicator of financial uncertainty related to the risk of capital depreciation. Hence, experts' expectations are what one would expect if there is any truth to the present value model of stock price. [fre] Les anticipations de l'indice S&P des actions industrielles cotées au NYSE, révélées par les enquêtes menées depuis 1954 par J. Livingston auprès d'un panel d'experts, permettent, dans le cadre du modèle standard d'évaluation des actions, de calculer une « prime de risque effective ex-ante ». Outre le fait que cette prime semble prendre des valeurs réalistes, elle peut être « expliquée » pour l'essentiel par un indicateur d'opinion traduisant la « confiance économique » et un indicateur traduisant le risque de perte en capital. Ainsi « tout se passe comme si » le modèle standard d'évaluation était compatible avec les anticipations bour­sières des experts américains.

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  • Georges Prat, 1996. "Le modèle d'évaluation des actions confronté aux anticipations des agents informés," Revue Économique, Programme National Persée, vol. 47(1), pages 85-110.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1996_num_47_1_409761
    DOI: 10.3406/reco.1996.409761
    Note: DOI:10.3406/reco.1996.409761
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    1. Alain Abou & Georges Prat, 1986. "Ex-ante risk premia in the US stock market: analysing experts' behaviour at the individual level," Post-Print halshs-00172883, HAL.

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