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Une analyse temps-fréquences des cycles financiers

  • Christophe Boucher

    ()

    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, A.A.Advisors-QCG - ABN AMRO)

  • Bertrand Maillet

    ()

    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, A.A.Advisors-QCG - ABN AMRO, EIF - Europlace Institute of Finance)

Cet article s'intéresse aux fluctuations des cours boursiers aux Etats-Unis à différentes échelles temporelles. Nous examinons dans quelle mesure les variations à différentes fréquences du ratio cours-bénéfice s'expliquent par des révisions des bénéfices et/ou des rendements espérés. Nous montrons que les mouvement conjoncturels du ratio cours-bénéfice permettent de prévoir les rendements réels des actions. L'information contenue dans ces fluctuations apparaît même supérieure aux autres variables prédictives identifiées dans la littérature. Ces fluctuations conjoncturelles du ratio cours-bénéfice sont extraites à l'aide d'une analyse par ondelettes qui permet de décomposer une série temporelle à différents niveaux de résolution.

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00565229.

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Date of creation: Jan 2011
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Handle: RePEc:hal:cesptp:halshs-00565229
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00565229
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  1. Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers 29, Society for Economic Dynamics.
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