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Marchés financiers et anticipations rationnelles

Author

Listed:
  • Roland Gillet

    (CREFIB - Centre de Recherche en Finance et en Gestion Bancaire - UP1 - Université Paris 1 Panthéon-Sorbonne, PRISM Sorbonne - Pôle de recherche interdisciplinaire en sciences du management - UP1 - Université Paris 1 Panthéon-Sorbonne, CEBRIG - Centre Emile Bernheim Solvay Brussels School of Economics and Management, UP1 EMS - Université Paris 1 Panthéon-Sorbonne - École de Management de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne)

  • Ariane Szafarz

    (CEBRIG - Centre Emile Bernheim Solvay Brussels School of Economics and Management, ULB - Solvay Brussels School of Economics and Management [Brussels] - ULB - Université libre de Bruxelles = Free University of Brussels)

Abstract

Focused on the « rational expectations hypothesis», which has served as the foundation of modeling and empirical research in financial microeconomics under the heading of « efficient market hypothesis» (EMH), this paper is dedicated firstly to provide, through a careful analysis of some popular statements among finance practitioners, precise indications of what EMH does and does not consist of. The se~cond part develops a critical analysis of the « anomalies» revealed by systematic testing of the EMH, and to the implications thereof for portfolio management.
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Suggested Citation

  • Roland Gillet & Ariane Szafarz, 2004. "Marchés financiers et anticipations rationnelles," Post-Print hal-03928482, HAL.
    • Handle: RePEc:hal:journl:hal-03928482
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    Cited by:

    1. is not listed on IDEAS
    2. Christel Dumas & Céline Louche, 2016. "Collective beliefs for responsible investment," Post-Print hal-01183744, HAL.

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