Volatilité excessive d'un marché d'actions. Les cas des États-Unis et de la France
Journal de la Société de statistique de Paris, Volume 139 (1998) no. 2, pp. 7-34.
@article{JSFS_1998__139_2_7_0,
     author = {Arbulu, Pedro and Fontaine, Patrice},
     title = {Volatilit\'e excessive d'un march\'e d'actions. {Les} cas des {\'Etats-Unis} et de la {France}},
     journal = {Journal de la Soci\'et\'e de statistique de Paris},
     pages = {7--34},
     publisher = {Soci\'et\'e de statistique de Paris},
     volume = {139},
     number = {2},
     year = {1998},
     language = {fr},
     url = {http://archive.numdam.org/item/JSFS_1998__139_2_7_0/}
}
TY  - JOUR
AU  - Arbulu, Pedro
AU  - Fontaine, Patrice
TI  - Volatilité excessive d'un marché d'actions. Les cas des États-Unis et de la France
JO  - Journal de la Société de statistique de Paris
PY  - 1998
SP  - 7
EP  - 34
VL  - 139
IS  - 2
PB  - Société de statistique de Paris
UR  - http://archive.numdam.org/item/JSFS_1998__139_2_7_0/
LA  - fr
ID  - JSFS_1998__139_2_7_0
ER  - 
%0 Journal Article
%A Arbulu, Pedro
%A Fontaine, Patrice
%T Volatilité excessive d'un marché d'actions. Les cas des États-Unis et de la France
%J Journal de la Société de statistique de Paris
%D 1998
%P 7-34
%V 139
%N 2
%I Société de statistique de Paris
%U http://archive.numdam.org/item/JSFS_1998__139_2_7_0/
%G fr
%F JSFS_1998__139_2_7_0
Arbulu, Pedro; Fontaine, Patrice. Volatilité excessive d'un marché d'actions. Les cas des États-Unis et de la France. Journal de la Société de statistique de Paris, Volume 139 (1998) no. 2, pp. 7-34. http://archive.numdam.org/item/JSFS_1998__139_2_7_0/

Ackert Lucy et Smith Brian (1993) " Stock Price Volatility, Ordinary Dividends and Other Cash Flows to Shareholders", Journal of Finance, 48, pp. 1147-1160.

Campbell John Y. et Shiller Robert J. (1987) " Cointegration and Tests of Present Value Models", Journal of Political Economy, 95, pp. 1062-1088.

Campbell John Y. et Shiller Robert J. (1988) " Stocks Prices, Earnings and Expected Dividends", Journal of Finance, 43, pp. 661-676.

Camerer Colin (1987) " Bubbles and Fads in Asset Prices : a Review of Theory and Evidence", Unpublished paper, University of Pennsylvania.

Chabert A. (1949) Essai sur les mouvements des revenus et de l'activité économique de 1798 à 1820, A. Collin, Paris.

Cochrane John (1991) " Volatility Tests and Efficient Markets", Journal of Monetary Economics, 27, pp. 463-485.

Cowles Alfred (1939) Common Stock Indexes, 2nd Edition, Bloomington, Principia Press.

Dickey David A. et Fuller Wayne A. (1981) " Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root", Econometrica, 49, pp. 1057-1072. | MR | Zbl

Engle Robert F. et Granger Clive W. (1987) " Cointegration and Error Correction : Representation, Estimation and Testing", Econometrica, 55, pp. 251-27. | MR | Zbl

Fama Eugène F. et French Kenneth R. (1987) " Permanent and Temporary Component of Stock Prices", Journal of Political Economy, 96, pp. 246-273.

Flavin Marjorie A. (1983) " Excess Volatility in the Financial Markets : A Reassesment of the Empirical Evidence", Journal of Political Economy, 91, pp. 929-956.

Gilles Christian et Leroy Stephen F. (1991) " Econometric Aspects of the Variance-Bounds Tests : A Survey", The Review of Financial Studies, 4, pp. 753-791.

Grossman Sanford J. et Shiller Robert J. (1981) " The Determinants of the Variability of Stock Market Prices", American Economic Review, 71, pp. 222-227.

Hansen L.P. et Singleton Kenneth J. (1982) " Generalized Instrumental Variables Estimations of Nonlinear Rational Expectations Models", Econometrica, 50, pp. 1269-86. | MR | Zbl

Kleidon Allan W. (1986) " Variance Bound Tests and Stock Price Valuation Models", Journal of Political Economy, 94, pp. 953-1001.

Leroy Stephen F. et Lacivita C.J. (1981) " Risk Aversion and The Dispersion of Asset Prices", Journal of Business, 54, pp. 555-74.

Leroy Stephen F. et Parke William R. ((version 1988 et version 1990)) " Stock Price Volatility : A test Based on the Geometric Ramdom Walk", Unpublished paper, University of California, Santa Barbara.

Leroy Stephen F. et Porter Richard D. (1981) " The Present-Value Relation : Tests Based on Implied Variance Bounds", Econometrica, 49, pp. 97-113. | Zbl

Leroy Stephen F. et Steigerwald Douglas G. (1995) " Volatility", Handbooks in Organization and Management Sciences, vol. 9, Finance, R. Jarrow et al, pp. 411-433.

Lévy-Leboyer M. et Bourguignon F. (1985) L'économie française au XIXe siècle, Analyse macro-économique, Economica, Paris.

Lo Andrew W. et Mackinlay Craig A. (1988) " Stock Maket Prices Do Not Follow Random Walks : Evidence From a Simple Specification Test", The Review of Financial Studies, 1, pp. 41-66.

Lucas Robert E. (1978) " Asset Prices in an Exchange Economy", Econometrica, 46, pp. 1429-45. | MR | Zbl

Macaulay Frederic (1938) Some Theoritical Problems Suggested by the Movements of Interest Rates, Bonds Yiels and Stock Prices in the United States Since 1856, New-York, National Bureau of Economie Research.

Mankiw Gregory, Romer David et Shapiro Matthew D. (1985) " An Unbiased Reexamination of Stock Market Volatility", Journal of Finance, 40, pp. 677-687.

Marsh Terry A. et Merton Robert C. (1986) " Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices", American Economic Review, 76, pp. 483-498.

Michener Ronald W. (1982) " Variance Bounds in a Simple Model of Asset Pricing", Journal of Political Economy, 90, pp. 166-175.

Phillips Peter et Perron Pierre (1986) Testing for Unit Roots in Times Series Regression, Cowles Foundation Discussion Paper.

Porteba J.- M. et Summers L.-H. (1988) " Mean Reversion in Stock Prices : Evidence and Implications", Journal of Financial Economics, 22, pp. 27-59.

Shea Garry S. (1987) " Ex-post Rational Price Approximations and the Empirical Reliability of the Present-value Relation", Unpublished paper, Pennsylvania State University.

Shiller Robert J. (1981) " Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends ?", American Economic Review, 71, pp. 421-436.

Shiller Robert J. (1989) Market Volatility, The MIT Press, Cambridge.

Singleton Kenneth J. (1980) " Expectations of the Term Structure and Implied Variance Bounds", Journal of Political Economy, 88, pp. 1159-1176.

Thévenin Dominique (1998) Les bulles rationnelles, Thèse en Sciences de Gestion, Ecole supérieure des Affaires, Université Pierre Mendès-France.

West Kenneth D. (1987) " A Specification Test for Speculative Bubbles", Quaterly Journal of Economics, 102, pp. 553-580.

West Kenneth D. ( 1988(a)) " Dividend Innovations and Stocks Price Volatility", Econometrica, 56, pp. 37-61. | MR

West Kenneth D. ( 1988(b)) " Bubbles, Fads and Stock Price Volatility Tests : A partial Evaluation", Journal of Finance, 53, pp. 639-660.