Hostname: page-component-78c5997874-8bhkd Total loading time: 0 Render date: 2024-11-10T20:43:33.903Z Has data issue: false hasContentIssue false
  • English
  • Français

Keynes et l'hypothèse d'efficience du marché boursier: un réexamen en situation de marchés incomplets

Published online by Cambridge University Press:  17 August 2016

Catherine Rouzaud
Catherine Rouzaud*
Affiliation:
Université de Paris 12 Val de Marne
Get access

Résumé

Cet article réexamine la positionde Keynes sur la question de l'efficience du marché boursier en se plaçant du point de vue de la théorie de l'équilibre général en situation de marchés incomplets, compte tenu du fait que l'échange d'actifs boursiers est incompatible avec l'existence d'un système complet de marchés contingents.

Etant donné la signification de l'hypothèse d'efficience semi-forte appliquée au marché boursier, la première partie vise à montrer que Keynes a adopté sur ce sujet, dans le chapitre 12 de la Théorie Générale, une attitude plus radicale que celle qui lui est couramment prêtée car elle prive en partie d'objet les débats récents concernant la rationalité des cours boursiers. La seconde partie rappelle que les résultats relatifs à l'évaluation des entreprises en incertitude sont essentiellement fonction des hypothèses faites quant à la nature et au nombre des marchés supposés ouverts en théorie. En particulier, dès lors que le nombre d'instruments financiers différents, correspondant aux parts de propriété sur les entreprises, est inférieur au nombre des états, la valeur fondamentale de l'entreprise ne peut plus être déterminée, et ceci même si on suppose qu'il n'y a qu'une période, un bien, des actifs dont le rendement est fixé en bien, et des plans de production donnés. Les recherches les plus récentes n'ont pu démentir ce résultat qui, s'il permet de douter du contenu théorique de l'hypothèse d'efficience du marché boursier, confirme pleinement l'opinion de Keynes.

Summary

Summary

This paper reconsiders the significance of Keynes'position on the stock market efficiency hypothesis from the point of view of general equilibrium theory with incomplete markets, considering that an active stock exchange is inconsistent with complete contingent markets.

Given the meaning of the assumption in its semi-strong form when applied to the market for shares, the first part shows that Keynes'attitude towards it, in the chapter 12 of the General Theory, is more radical than is usually assumed, for it makes recent debates on stock prices'rationality appear meaningless. The second part recalls that the results on firms'valuation in uncertainty essentially depend on the type and number of markets assumed in theory. In particular, as soon as the number of independant financial instruments corresponding to firms'shares is less than the number of states, what the firm should be worth becomes indeterminate, and this remains true even in the one period, one good, real assets case, with given production plans. This result, invariably confirmed by the latest research, could cast doubts about the content of the stock market efficiency hypothesis, but perfectly agrees with Keynes'view.

Keywords

026313026313
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 64 , Issue 3 , 1998 , pp. 319 - 346
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1998 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Bibliographie

Allen, F. et Gale, D. [1994], Financial Innovation and Risk Sharing, Cambridge, Massachusetts Institute of Technology Press.Google Scholar
Arrow, K. [1953], Le rôle des Valeurs Boursières pour la Répartition la meilleure des Risques, Cahiers du Séminaire d'Econométrie, CNRS, Paris, pp. 41—48.Google Scholar
Breeden, D. [1979], An intertemporal asset pricing model with stochastic consumption and investment opportunities, Journal of Financial Economics, n° 7, pp. 265–296.Google Scholar
Camerer, C. [1989], Bubbles and fads in asset prices, Journal of Economic Surveys, 3(1), pp. 4–41.Google Scholar
Cass, D. et Stiglitz, J. [1970], The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds, Journal of Economic Theory, 2, pp. 122—160.Google Scholar
Cox, J., Ingersoll, J., et Ross, S. [1985], An intertemporal general equilibrium model of asset prices, Econometrica, 53(2), pp. 363–384.Google Scholar
Debreu, G. [1953], Une économie de l'incertain, Document interne, Electricité de France.Google Scholar
Debreu, G. [1966], Théorie de la Valeur, Paris, Dunod.Google Scholar
Diamond, P. [1967], The role of a stock market in a general equilibrium model with technological uncertainty, American Economic Review, 57, p. 759–765.Google Scholar
Drèze, J. [1974], Investment under Private Ownership: Optimality, Equilibrium and Stability, in Drèze, J., éd., Allocation Under Uncertainty : Equilibrium and Optimality, Londres, Macmillan Press.Google Scholar
Drèze, J. [1987], Essays on Economic Decision under Uncertainty, Cambridge, Cambridge University Press.Google Scholar
Duffie, D. [1992], The nature of incomplete security markets, in Laffont, J.J., éd., Advances in Economic Theory, Proceedingsof the 6th World Congress, vol. 2, Cambridge, Cambridge University Press, ch. 4.Google Scholar
Duffie, D et Rahi, R. [1995], Financial markets innovation and security design, Journal of Economic Theory, n° 65, pp. 1–42.Google Scholar
Ekern, S et Wilson, R. [1974], On the theory of the firm in an economy with incomplete markets, Bell Journal of Economics and Management Science, 5, pp. 1971–1980.Google Scholar
Fama, E. [1965], Random walks in stock market prices, Financial Analysts Journal, 21(5), pp. 34–109.Google Scholar
Fama, E. [1970], Efficient capital markets: A review of theory and empirical work, Journal of Finance, 25, pp. 383–417.Google Scholar
Fama, E et Miller, M. [1972], The Theory of Finance, Hinsdale, Dryden Press.Google Scholar
Geanakoplos, J. [1987], Arrow-Debreu Model of General Equilibrium, in Eatwell, J., Milgate, M. et Newman, P., éds, The New Palgrave, Londres, Macmillan Press.Google Scholar
Geanakoplos, J. [1990], An introduction to general equilibrium with incomplete asset markets, Journal of Mathematical Economics, 19(1), pp. 1–38.Google Scholar
Geanakoplos, J., Magill, M., Quinzie, M. et Drèze, J. [1990], Generic inefficiency of stock market equilibrium when markets are incomplete, Journal of Mathematical Economics, n° 19, pp. 113–151.Google Scholar
Granger, T. [1994], Microéconomie Financière, Paris, Economica.Google Scholar
Grossman, S. [1981], An introduction to the Theory of rational expectations under asymmetric information, Review of Economic Studies, 58(4), pp. 541–559.Google Scholar
Grossman, S. et Hart, O. [1979], A theory of competitive equilibrium in stock market economies, Econometrica, 47, pp. 293–330.Google Scholar
Grossman, S. et Stiglitz, J. [1977], On value maximisation and alternative objectives of the firm, Journal of Finance, 32(2), pp. 389–415.Google Scholar
Grossman, S. et Stiglitz, J. [1980], Stockholders unanimity in making production and financial decisions, Quarterly Journal of Economics, 94, pp. 543–566.Google Scholar
Hart, O. [1979], On shareholder unanimity in large stockmarket economies, Econometrica, 47, pp. 1057–1086.Google Scholar
Keynes, J.M. [1936], The General Theory of Employment, Interest and Money, Londres, Macmillan.Google Scholar
Laffont, J.J. [1985], Economie de l'Incertain et de l'Information, vol.2 du Cours de Théorie Microéconomique, Paris, Economica.Google Scholar
Leland, H. [1974], Production theory and the stock market, Bell Journal of Economies and Management Science, 5, pp. 125–144.Google Scholar
Leroy, S.F. [1973], Risk aversion and the martingale property of stock prices, International Economie Review, 14, pp. 675–684.Google Scholar
Leroy, S.F. [1989], Efficient capital markets and martingales, Journal of Economie Literature, 27, pp. 1583–1621.Google Scholar
Lintner, J. [1965], The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets, ]it Review of Economics and Statistics, 47, pp. 13–37.Google Scholar
Lucas, R. [1978], Asset prices in an exchange economy, Econometrica, 46, pp. 1429–1445.Google Scholar
Magill, M. et Qumzie, M. [1996], The Theory of Incomplete Markets, vol. 1, Cambridge, Massachussets Institute of Technology Press.Google Scholar
Merton, R. [1987], On the current state of the stock market rationality hypothesis, in Dornbusch, R., Fisher, S. et Bossons, J., éds, Macroeconomics and Finance : Essays in Honor of F. Modigliani, Cambridge, Massachussets Institute of Technology Press.Google Scholar
Modigliani, F. et Miller, M. [1958], The cost of capital, corporate finance and the theory of investment, American Economic Review, 48, pp. 261–297.Google Scholar
Modigliani, F. et Miller, M. [1961], Dividend policy, growth and the valuation of shares, Journal of Business, 34, pp. 411–433.Google Scholar
Radner, R. [1972], Existence of equilibrium of plans, prices, and price expectations in a sequence of markets, Econometrica, 40, pp. 289–303.Google Scholar
Radner, R. [1972], Existence of equilibrium of plans, prices, and price expectations in a sequence of markets, Econometrica, 40, pp. 289–303.Google Scholar
Radner, R. [1979], Rational expectations equilibrium: Generic existence and the information revealed by prices, Econometrica, 47, pp. 655–678.Google Scholar
Radner, R. [1982], Equilibrium under uncertainty, in Arrow, K. et Intrili-Gator, M., éds, Handbook of Mathematical Economics, Amsterdam, North Holland, ch. 20.Google Scholar
Ross, S. [1987], Finance, in Eatwell, J., Milgate, M., et Newman, P., éds, The New Palgrave, Ville??, Macmillan.Google Scholar
Rouzaud, C. [1983], Anticipations rationnelles et information révélée par les prix: une introduction, Revue Economique, 34(6), pp. 1116–1141.Google Scholar
Samuelson, P. [1965], A proof that properly anticipated prices fluctuate randomly, Industrial Management Review, 6, pp. 41–49.Google Scholar
Sharps, W. [1964], Capital asset prices: a theory of market equilibrium under conditions of risk, Journal of Finance, 19, pp. 425–442 Google Scholar
Shiller, R. [1989], Market Volatility, Cambridge, Massachussets Institute of Technology Press.Google Scholar
Stiglitz, J. [1982], The inefficiency of the stock market equilibrium, Review of Economic Studies, 64, pp. 241–262.Google Scholar