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Une analyse des primes de risque ex-ante des actions suivant l'horizon de placement

Author

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  • Georges Prat
Abstract
The partially predictable character of stock returns is a sufficient condition to deduce that, at any time t, rational stockholders do not require a risk premium but a set of premia scaled by the horizon of the investment. Using expectations of the S ? P industrial stock price index in the NYSE revealed by J. Livingston? surveys, this paper provides an analyse of the dynamics of the ex-ante risk premia according to four horizon from six month to infinite. Although these premia exhibit very important and time-varying spreads, it is shown that the term premia with shorter horizon tend to converge progressively towards premia with longer horizons. These results show that there are common factors for all premia (past volatility and observed or expected economic variables) and that there is some coherence between the dynamics of premia. We conclude that experts effectively do not believe to the efficient market hypothesis. Classification JEL : D84, E44, G14

Suggested Citation

  • Georges Prat, 2001. "Une analyse des primes de risque ex-ante des actions suivant l'horizon de placement," Revue d'économie politique, Dalloz, vol. 111(2), pages 291-329.
    • Handle: RePEc:cai:repdal:redp_112_0291
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    Citations

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    Cited by:

    1. Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," Working Papers hal-04140905, HAL.
    2. Prat, Georges, 2013. "Equity risk premium and time horizon: What do the U.S. secular data say?," Economic Modelling, Elsevier, vol. 34(C), pages 76-88.
    3. Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," Working Papers hal-04141877, HAL.
    4. Alain Abou & Georges Prat, 2009. "The dynamics of U.S. equity risk premia: lessons from professionals'view," Working Papers hal-04140869, HAL.
    5. Alain Abou & Georges Prat, 1986. "Ex-ante risk premia in the US stock market: analysing experts' behaviour at the individual level," Post-Print halshs-00172883, HAL.
    6. Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," EconomiX Working Papers 2019-8, University of Paris Nanterre, EconomiX.

    More about this item

    Keywords

    equity risk premium; stock prices;

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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