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Biais cognitifs, asymétrie d’information et formation des prix


  • Michael Kaestner

    (GESEM, Center for Research in Finance, Montpellier University, France)


L'objectif de la Finance comportementale est de proposer une alternative théorique à la Théorie des Marchés Efficients, en introduisant des hypothèses moins restrictives quant à la rationalité des individus. La compréhension de la formation des prix sur les marchés financiers lorsqu'une partie des investisseurs est susceptible de subir des biais cognitifs constitue une des voies de recherche principales. Nous proposons une extension du modèle de Grossman (1980) en intégrant des investisseurs qui révisent leurs croyance de manière erronée, en se basant sur (1) une information a priori erronée et/ou (2) une sur- ou sous-estimation de la qualité de leur signal privé. Nous montrons l'impact de ces erreurs cognitives sur le degré d'efficience du système de prix et montrons que les biais individuels sont partiellement transmis aux agents non-informés, qui tentent d'inférer l'information privée. Abstract: Behavioral Finance aims to propose a theoretical alternative to EMH (Efficient Market Hypothesis), allowing for not fully rational behavior. Understanding price formation when some agents are victim of cognitive biases is one of the most important research fields. \hspace{0.6cm}We propose an extension of Grossman (1980)'s framework by integrating investors, who do not update their beliefs fully rationaly, using (1)incorrect priors and/or failing to assess correctly the quality of their private signal. We evaluate the impact of the considered bias on the efficiency of the price system and show that individual biases are partially transmitted to uninformed agents, who try to infer the private signal.

Suggested Citation

  • Michael Kaestner, 2005. "Biais cognitifs, asymétrie d’information et formation des prix," Finance 0506002, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0506002
    Note: Type of Document - pdf; pages: 21. Working Paper in French language

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    References listed on IDEAS

    1. Zellner, Arnold & Rossi, Peter E., 1984. "Bayesian analysis of dichotomous quantal response models," Journal of Econometrics, Elsevier, vol. 25(3), pages 365-393, July.
    2. Grunert, Jens & Norden, Lars & Weber, Martin, 2005. "The role of non-financial factors in internal credit ratings," Journal of Banking & Finance, Elsevier, vol. 29(2), pages 509-531, February.
    3. Shumway, Tyler, 2001. "Forecasting Bankruptcy More Accurately: A Simple Hazard Model," The Journal of Business, University of Chicago Press, vol. 74(1), pages 101-124, January.
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    More about this item


    behavioral finance; bias; price formation;

    JEL classification:

    • G - Financial Economics

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