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Market Efficiency and Behavioral Finance : non correlation between Risk - Profitability on Antipodal Markets
[Efficience des marchés et finance comportementale : décorrélation rentabilité-risque des marchés antipodiques]

Author

Listed:
  • Aldo Levy

    (LIRSA - Laboratoire interdisciplinaire de recherche en sciences de l'action - CNAM - Conservatoire National des Arts et Métiers [CNAM] - HESAM - HESAM Université - Communauté d'universités et d'établissements Hautes écoles Sorbonne Arts et métiers université)

  • Hakim Akeb

    (MIS - Modélisation, Information et Systèmes - UR UPJV 4290 - UPJV - Université de Picardie Jules Verne)

Abstract

: Le prix Nobel d'économie a été décerné en 2013 à deux théories opposées en finance de marché. Pour E. Fama et L.P. Hansen, les marchés sont « parfaits » car ils détiennent toute l'information en continu. Il devient ainsi impossible de survaloriser la performance du tracker. Mais pour R. Shiller, ce présupposé rationaliste est rejeté au profit d'une finance comportementale. Notre recherche allie ces deux théories opposées. Notre étude empirique des marchés antipodiques sur cinq ans, puis notre modèle de comportement, montrent qu'avec une information certaine (variation du Dow Jones), la rentabilité du tracker Cac40 est démultipliée sans risque. Abstract: The Nobel Prize in Economics was awarded in 2013 to two competing theories in Finance. For E. Fama and L.P. Hansen, the markets are efficient as they hold all the information continuously. This makes it not possible to overrate the tracker performance. For R. Shiller, this rationalist assumption is rejected in favor of a behavioral finance. Our research combines these two opposing theories, our em-pirical study of antipodal markets over five years and our behavior model show that with some information (Dow Jones daily variation), profitability of Cac40 tracker is multiplied without risk.

Suggested Citation

  • Aldo Levy & Hakim Akeb, 2016. "Market Efficiency and Behavioral Finance : non correlation between Risk - Profitability on Antipodal Markets [Efficience des marchés et finance comportementale : décorrélation rentabilité-risque de," Post-Print halshs-01278638, HAL.
    • Handle: RePEc:hal:journl:halshs-01278638
    DOI: 10.3917/resg.112.0035
    as

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