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Anomalies de marché, indicateurs macro-économiques et rendement des titres des marchés émergents d’Asie

Author

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  • Guay, Richard

    (Caisse de dépôt et de placement du Québec)

  • L’Her, Jean-François

    (HEC)

  • Suret, Jean-Marc

    (CRÉFA, Université Laval)

Abstract

This paper analyses the relationship between stock returns, systematic risk and stock market anomalies in eight Asian emerging markets. The size effect, the price/earnings, the book to market anomalies, and the January effect are examined. The models allow for the conditional aspects of the relationships. The structural changes induced by the liberalization process are considered in the model, together with the main economic indicators. Dans cet article, nous analysons la relation entre les rendements des actions, leur risque systématique et les principales anomalies de marché, dans huit marchés émergents d’Asie. Les effets de taille, de ratio cours/bénéfice, du ratio de la valeur comptable à la valeur marchande ainsi que l’effet janvier sont analysés. Les modèles employés prennent en compte le caractère conditionnel des relations. L’examen des relations entre le rendement des titres et les variables spécifiques aux entreprises est mené en tenant compte des changements structurels importants relatifs à la libéralisation des marchés émergents. L’étude teste finalement les relations précédentes en prenant en compte les conditions macro-économiques changeantes qui caractérisent les pays émergents.

Suggested Citation

  • Guay, Richard & L’Her, Jean-François & Suret, Jean-Marc, 1995. "Anomalies de marché, indicateurs macro-économiques et rendement des titres des marchés émergents d’Asie," L'Actualité Economique, Société Canadienne de Science Economique, vol. 71(4), pages 421-454, décembre.
  • Handle: RePEc:ris:actuec:v:71:y:1995:i:4:p:421-454
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    1. Bhardwaj, Ravinder K & Brooks, LeRoy D, 1993. "Dual Betas from Bull and Bear Markets: Reversal of the Size Effect," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(4), pages 269-283, Winter.
    2. Blume, Lawrence & Easley, David & O'Hara, Maureen, 1994. " Market Statistics and Technical Analysis: The Role of Volume," Journal of Finance, American Finance Association, vol. 49(1), pages 153-181, March.
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