La mesure du risque systématique des actions : une approche efficiente

Pascal Dumontier

Journal de la société française de statistique (1986)

  • Volume: 127, Issue: 3, page 161-177
  • ISSN: 1962-5197

How to cite

top

Dumontier, Pascal. "La mesure du risque systématique des actions : une approche efficiente." Journal de la société française de statistique 127.3 (1986): 161-177. <http://eudml.org/doc/198424>.

@article{Dumontier1986,
author = {Dumontier, Pascal},
journal = {Journal de la société française de statistique},
language = {fre},
number = {3},
pages = {161-177},
publisher = {Société de statistique de Paris},
title = {La mesure du risque systématique des actions : une approche efficiente},
url = {http://eudml.org/doc/198424},
volume = {127},
year = {1986},
}

TY - JOUR
AU - Dumontier, Pascal
TI - La mesure du risque systématique des actions : une approche efficiente
JO - Journal de la société française de statistique
PY - 1986
PB - Société de statistique de Paris
VL - 127
IS - 3
SP - 161
EP - 177
LA - fre
UR - http://eudml.org/doc/198424
ER -

References

top
  1. ALTMAN E., JACQUILLAT B. et LEVASSEUR M. _ Comparative analysis of risk measures : France and the United States. Journal of finance, décembre 1974, pp. 1495-1511. 
  2. BARTLETT M.S. _ The use of transformations. Biométries, vol. 11, 1947, pp. 39-46. MR20763
  3. BELKAOUI A. _ Canadian evidence of heteroscedasticity in the market model. Journal of finance, septembre 1977, pp. 1320-1323. 
  4. BERTONECHE M. _ Existence d'hétéroscédasticité dans le modèle de marché appliqué aux bourses européennes de valeurs mobilières. Journal de la société statistique de Paris, 4e trimestre 1979, pp. 270-276. 
  5. BEY R. et PINCHES G. _ Additional evidence of heteroscedasticity in the market model. Journal of financial and quantitative analysis, juin 1980, pp. 299-322. 
  6. BLUME M. _ On the assessment of risk. Journal of finance, mars 1971, pp. 1-10. 
  7. BROWN S. _ Heteroscedasticity in the market model : a comment. Journal of business, janvier 1977, pp. 80-83. 
  8. COCHRANE D. et ORCUTT G.H. _ Application of least squares regressions to relationships containing auto-correlated error terms. Journal of the american statistical association, vol. 44, 1949, pp. 32-61. Zbl0033.08201
  9. CONOVER S.J. _ Practical nonparametric statistics. New York, Wiley éd., 1977, pp. 1081-1092. 
  10. COPLEY R.E., COOLEY P.L. et ROENFELDT R. _ Autocorrelation in market model residuals. Journal of business finance and accounting, Automne 1984, pp. 409-417. 
  11. DALOZ J.P. _ Le hasard et les cours boursiers. Cujas éd., Paris, 1973. 
  12. DUMAS B. et ZISSWILLER R. _ La mort du bêta? Analyse financière, 4e trimestre 1984, pp. 41-51. 
  13. FAMA E. _ The behavior of stock market prices. Journal of business, janvier 1965, pp. 34-105. 
  14. FAMA E., FISHER L., JENSEN M. et ROLL R. _ The adjustment of stock prices to new information. International economic review, février 1969, pp. 1-21. 
  15. FAMA E. et Mc BETH J. _ Risk, return and equilibrium: empirical tests. Journal of political economy, mai 1979, pp. 607-636. 
  16. FISHER L. _ Some new stock market indexes. Journal of business, janvier 1966, pp. 191-223. 
  17. GIACOTTO C. et ALI M.M. _ Optimum distribution-free tests and further evidence of heteroscedasticity in the market model. Journal of finance, décembre 1982, pp. 1247-1257. 
  18. GLEJSER H. _ A new test for heteroscedasticity. Journal of the american statistical association, vol. 64, 1969, pp. 316-323. 
  19. GOLDFIED S.M. et QUANDT R.E. _ Some tests for heteroscedasticity. Journal of the american statistical association, vol. 60, 1965, pp. 539-547. MR184358
  20. HAWAWINI G.A. _ Intertemporal cross-dependence in securities daily returns and the short-run intervaling effect on systematic risk. _ Journal of financial and quantitative analysis, mars 1980, pp. 139-149. 
  21. HAWAWINI G.A. et VORA A. _ Evidence of intertemporal systematic risks in the daily price movements of NYSE and AMEX common stocks. Journal of financial and quantitative analysis, juin 1980, pp. 331-340. 
  22. JACQUILLAT B. et SOLNIK B. _ Les marchés financiers et la gestion de portefeuille. 3e éd., Paris, Dunod 1981. 
  23. JOHNSTON J. _ Econometric methods, 2e éd., New York, Me Graw-Hill, 1972, pp. 218-221. 
  24. KENDALL M.G. et STUART A. _ The advanced theory of statistics. Vol. 1, Griffin éd., Londres, 1969. Zbl0223.62001
  25. MARKOWITZ M.H. _ Portfolio selection. Journal of finance, mars 1952, pp. 77-91. 
  26. MARTIN J. et KLEMKOSKY R. _ Evidence of heteroscedasticity in the market model. Journal of business, janvier 1975, pp. 81-86. 
  27. MOORE A. _ Some characteristics of changes in common stock prices. In : the random character of stock market prices. COOTNER éd., 1964, pp. 139-161. 
  28. POGUE G. et SOLNIK B. _ The market model applied to Eurppean common stocks : some empirical results. Journal of financial and quantitative analysis, décembre 1974, pp. 917-944. 
  29. SHARPE W. _ A simplified model for portfolio analysis. Management science, janvier 1963, pp. 277-293. 
  30. SCHWARTZ R.A. et WHITCOMB D.K. _ The time-variance relationship : evidence on autocorrelation in common stock returns. Journal of finance, mars 1977(a), pp. 41-55. 
  31. SCHWARTZ R.A. et WHITCOMB D.K. _ Evidence on the presence and causes of serial correlation in market model residuals. Journal of financial and quantitative analysis, juin 1977(b), pp. 291-313. 

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.