S. Richardson, S. Et-tuna, ;. Richardson, S. Sloan, ;. Et-tuna et al., 608] Change in net non-current operating assets Richardson, Sloan, Soliman et Tuna (2005) [608] Change in non-current operating assets Richardson, 608] Change in short-term investments Richardson, vol.608, 2001.

, t = ? i + ? i (r M,t ? r f,t ) + s i (SM B t ) + h i (HM L t ) + i,t

, t = ? i + ? i (r M,t ? r f,t ) + s i (SM B t ) + h i (HM L t ) + w i (RM W t ) + c i (AM C t ) + i,t

F. Fama, 261] développent un modèle ad-hoc à trois, 1993.

, Leur carence en fondements théoriques maintient néanmoins le doute quant à leur crédibilité sur le plan économique. L'interrogation posée dans cette thèse est la suivante : les modèles ad-hoc peuvent-ils gagner une forme de légitimité auprès, de la communauté financière, en intégrant des contenus informationnels larges et en apparaissant comme des solutions empiriquement adéquates et efficaces pour l'estimation du risque des actifs ? Nos travaux de recherche conduisent à des résultats permettant de dégager plusieurs conclusions. Associer le ? à d'autres primes de risque améliore la description des rentabilités des actions françaises et européennes en séries chronologiques ainsi qu'en coupe transversale. En effet, le modèle de marché produit un pouvoir explicatif disparate, leurs modèles offrent une alternative de nature multifactorielle au MÉDAF sous la formulation de variables exogènes explicites issues d'une démarche inductive

, En plus des combinaisons de facteurs proposées par nos soins, nous mobilisons le modèle de Fama et French à trois facteurs (1993) [261], le modèle de Carhart à quatre facteurs, 1997.

X. Le-modèle-À-trois-facteurs-de-hou, ;. Zhang, . Novy-marx, G. Zhang-;-aharoni, ;. Zeng et al., 414] qui ajoute à la prime de risque du marché les facteurs profitability et investment documentés par Chen, 2010.

. Hou, X. Mo, and . Zhang, ] ainsi que les modèles reposant sur le facteur de qualité attribuable à Asness, Moskowitz et Pedersen, vol.281, 2015.

, Ces modèles constituent des références et permettent la comparabilité de nos résultats avec ceux de la littérature

, le premier chapitre présente les fondements de l'hypothèse jointe d'efficience de Fama (1970) [224] et fournit une synthèse des travaux et des débats qui ont animé ce champ depuis de nombreuses décennies. Le deuxième chapitre se concentre sur les échecs empiriques du MÉDAF

. .. , Une synthèse de la théorie de l'efficience informationnelle des marchés, Chapitre 1 : Les fondements théoriques de l'hypothèse d'efficience des marchés : les enseignements issus de la littérature financière et économique 30 1.1 Introduction

L. .. Médaf, , p.51

L. .. De-marché, , p.53

, Le modèle intertemporel d'évaluation des actifs financiers fondé sur la consommation

. L'énigme-des-primes-de-risque-de-mehra and . .. Prescott, , p.58

). .. , 60 1.7.2 Les régressions en coupe transversale des rentabilités par la procédure en deux étapes de Fama-MacBeth, Les tests et les applications empiriques en vue de sélectionner un modèle . 60 1.7.1 La distance de Hansen et Jagannathan, 1997.

L. Test-de-gibbons, Une approche relative à un modèle mono-factoriel, Ross et Shanken et ses extensions à partir du ratio de Sharpe, p.67

.. .. Conclusion,

, Chapitre 2 : Le cadre théorique des modèles multifactoriels : anomalies ou prime de risque ?, p.76

. .. De-marché, 88 2.2.5 L'effet de rentabilité brute (gross profitability effect)

L. .. , , p.100

M. Le, les co-moments d'ordres supérieurs à deux, p.106

, Les contributions de la finance comportementale dans la compréhension des marchés financiers

. .. Les-biais-comportementaux, 118 2.5.4 La surréaction des investisseurs sur un horizon de long terme, p.119

, Les développements de la finance comportementale suite aux travaux de Kahneman et Tversky

, 125 2.6.3 Le « data-mining » ou tamisage des données, Les principales erreurs d'estimation inhérentes aux modèles d'évaluation, p.126

, Le contenu informationnel de la notation extra-financière est-il intégré dans les cours ?

. .. Conclusion,

, Une approche multifactorielle du risque dans les modèles adhoc : le cas français 141, Chapitre, vol.3

, 143 3.2.2 La construction des facteurs explicatifs français

, 3.1 Analyse des statistiques descriptives des vecteurs de rentabilités mensuelles des variables dépendantes, Les résultats empiriques : analyse des variables dépendantes et des facteurs explicatifs sur le marché français

. .. , Analyse des statistiques descriptives des vecteurs de rentabilités mensuelles des facteurs explicatifs français, p.155

, Expliquer un facteur explicatif donné par les autres facteurs explicatifs161

, 167 3.4.1 Les résultats des régressions en séries chronologiques par le MÉDAF ex post, Les résultats des régressions en séries chronologiques par panel pour chaque modèle : le cas français, janvier 1990 à juin, 2016.

, Les résultats des régressions en séries chronologiques à l'aide de modèles ad-hoc français

, Le pouvoir explicatif des modèles français mesuré par le coefficient de détermination : janvier 1990 à juin 2016

, Le facteur qualité : un outil de résurrection de l'effet taille ou un paramètre structurellement corrélé sans relation de causalité ?, p.180

, L'application du test GRS à destination du marché français, p.184

L. .. , , p.187

M. .. Le, 187 3.6.1 Les résultats des régressions par la procédure de Fama-MacBeth avec les modèles ad-hoc, Les résultats des régressions par la procédure de Fama-MacBeth avec

.. .. Conclusion,

, Chapitre 4 : Les modèles d'évaluation des actifs financiers et les co-moments d'ordres supérieurs à deux appliqués au cas français 217

, 2.2 La construction des variables dépendantes sur la base des mesures du co-skewness et du co-kurtosis

, La construction des facteurs explicatifs sur la base des mesures du co-skewness et du co-kurtosis

. .. , 2 Analyse des statistiques descriptives des vecteurs de rentabilités mensuelles des facteurs explicatifs, Les résultats empiriques : les variables dépendantes et les facteurs explicatifs construits sur la base du co-skewness et du co-kurtosis

. .. , 228 4.4.1 Le pouvoir explicatif des modèles français mesuré par le coefficient de détermination : janvier 1990 à juin, Les résultats des régressions en séries chronologiques pour chaque stratégie selon les modèles d'évaluation des actifs financiers, p.232, 2016.

. Statistiques and . Gibbons, Ross et Shanken (GRS) à destination du marché français : janvier 1990 à juin, p.234, 2016.

, Les résultats des régressions en coupe transversale par la procédure de Fama-MacBeth par panel pour chaque combinaison de facteurs explicatifs, p.235

.. .. Conclusion,

, Chapitre 5 : Notation extra-financière et marchés financiers : quelle prime de risque dans un modèle à facteurs, p.272

, 2.2 Construction des stratégies d'investissement utilisées comme variables dépendantes

, Construction des stratégies d'investissement utilisées comme facteurs explicatifs

, Les résultats empiriques : analyse des variables dépendantes et des facteurs explicatifs

, Que conclure ? S'agit-il d'un modèle mal spécifié ou bien d'un modèle valide qui, dans ses échecs, indique que les marchés sont inefficients ? Fama et French (1992) [260] avancent que le risque d'un actif est une combinaison de plusieurs facteurs de risque. Les anomalies de marché, selon ces auteurs, n'existent pas. Elles résultent de l'omission de facteurs de risque qui influencent la formation du prix que le seul ? du marché ne capture pas. Les auteurs formalisent un modèle à trois (1993) [261] puis à cinq facteurs empiriques (2015) [281] afin d'expliquer l'intégralité des rentabilités ex post en séries chronologiques ainsi qu'en coupe transversale. C'est dans cette démarche que ce travail de thèse s'inscrit. Malgré leurs carences en fondements théoriques, les modèles ad-hoc peuvent-ils gagner une forme de légitimité en intégrant un contenu informationnel large et en apparaissant comme des solutions pertinentes et efficaces pour l'estimation du risque des actifs financiers. À partir d'un échantillon français de 1 163 titres sur la période 1990-2016 et d'un échantillon européen de 12 144 actions entre 2002 à 2015, trois études empiriques sont produites. La première interroge le caractère généralisable des modèles multifactoriels à l'échelle nationale et plus précisément à destination du marché hexagonal. La seconde étude cherche à s'affranchir des limites du MÉDAF en ajoutant les co-moments d'ordres trois et quatre dans les combinaisons de facteurs testés. Dans un axe de généralisation du MÉDAF, le caractère asymétrique (co-skewness) et leptokurtique (co-kurtosis) des distributions de rentabilité constitue-t-il un apport informationnel susceptible d'expliquer les anomalies de marché rendant, par voie de conséquence, les primes de risque caduques ? Dans un troisième essai portant sur le marché européen, nous testons l'hypothèse selon laquelle la notation extrafinancière constitue une information publique intégrée dans les cours. Dans ce contexte régional, quid de la capacité des modèles multifactoriels à intégrer une dimension du risque associé à la notation extra-financière. Nous montrons que cette notation qui porte sur les dimensions environnementales, Résumé en Français Les prix des actifs financiers reflètent-ils toutes les informations antérieures ainsi que toutes celles qui sont publiques ? La théorie de l'efficience informationnelle, dans une forme semi-forte (Fama, 1970 [224]), stipule que les prix des titres représentent, à tout moment, leurs valeurs intrinsèques respectives. Tester cette théorie impose de recourir à un modèle de formation des prix, le MÉDAF. Seulement, ce modèle, dans un contexte empirique, n'explique pas des portions significatives des rentabilités : les anomalies

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