Market efficiency and behavioral finance: risk/return decorrelation of geographically distant markets
Type de matériel :
TexteLangue : français Détails de publication : 2016.
Sujet(s) : Ressources en ligne : Abrégé : 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 empirical 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.
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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 empirical 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.
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