Le rôle de l'estimation des variables. Rentabilité et risque dans les anomalies boursières liées à la taille et au P.E.R.

Isabelle Girerd-Potin

Journal de la société française de statistique (1992)

  • Volume: 133, Issue: 3, page 3-33
  • ISSN: 1962-5197

How to cite

top

Girerd-Potin, Isabelle. "Le rôle de l'estimation des variables. Rentabilité et risque dans les anomalies boursières liées à la taille et au P.E.R.." Journal de la société française de statistique 133.3 (1992): 3-33. <http://eudml.org/doc/198942>.

@article{Girerd1992,
author = {Girerd-Potin, Isabelle},
journal = {Journal de la société française de statistique},
language = {fre},
number = {3},
pages = {3-33},
publisher = {Société de statistique de Paris},
title = {Le rôle de l'estimation des variables. Rentabilité et risque dans les anomalies boursières liées à la taille et au P.E.R.},
url = {http://eudml.org/doc/198942},
volume = {133},
year = {1992},
}

TY - JOUR
AU - Girerd-Potin, Isabelle
TI - Le rôle de l'estimation des variables. Rentabilité et risque dans les anomalies boursières liées à la taille et au P.E.R.
JO - Journal de la société française de statistique
PY - 1992
PB - Société de statistique de Paris
VL - 133
IS - 3
SP - 3
EP - 33
LA - fre
UR - http://eudml.org/doc/198942
ER -

References

top
  1. ALTMAN E., JACQUILLAT B., LEVASSEUR M. " La stabilité du coefficient bêta", in Analyse Financière, 1er trimestre 1974, 43-54. 
  2. BANZ R.W. " The relationship between return and market value of common stocks", in Journal of Financial Economics, march 1981, 3-18. 
  3. BASU S. " Investment performance of common stocks in relation to their price-earnings ratios : a test of the efficient market hypothesis", in The Journal of Finance, june 1977, 663-682. 
  4. BASU S. " The relationship between earnings'yield, market value and return for NYSE common stocks", in Journal of Financial Economics, june 1983, 129-156. 
  5. BLUME M.E. " On the assessment of risk", in The Journal of Finance, march 1971, 1-10. 
  6. BLUME M.E., STAMBAUGH R. F. " Biases in computed returns : an application to the size effect", in Journal of Financial Economics, november 1983, 387-404. 
  7. BOOTH J.R., SMITH R. L. " The application of errors-in-variables methodology to capital market research : evidence on the small-firm effect", in Journal of Financial and Quantitative Analysis, december 1985, 501-515. 
  8. CHAN K.C. " On the contrarian investment strategy", in The Journal of Business, april 1988, 147-163. 
  9. COHEN K.J., HAWAWINI G.A., MAIER S.F., SCHWARTZ R.A., WHITCOMB D.K. " Friction in the trading process and the estimation of systematic risk", in Journal of Financial Economics, august 1983, 263-278. 
  10. CORHAY A.H. " Effet d'intervalle et estimation du risque systématique : le cas de la Bourse de Bruxelles", in Journal de la Société Statistique de Paris, 1990, 69-85. 
  11. DE BONDT W., THALER R. " Does the stock market overreact" ? in The Journal of Finance, july 1985, 793-805. 
  12. DE BONDT W.F., THALER R.H. " Further evidence on investor overreaction and stock market seasonality", in The Journal of Finance, july 1987, 557-581. 
  13. DUMONTIER P. " La mesure du risque systématique des actions : une approche efficiente", in Journal de la Société Statistique de Paris, 1986, 161-177. 
  14. FAMA E.F. " Components of investment performance", in The Journal of Finance, june 1972, 551-567. 
  15. GIBBONS M.R., ROSS S.A., SHANKEN J. " A test of the efficiency of a given portfolio", in Econometrica, september 1989, 1121-1152. Zbl0679.62097MR1014543
  16. GlRERD-POTlN I.Les anomalies de rentabilité en France liées à la taille et au P.E.R., Thèse Sciences de Gestion, Université de Grenoble 2, ESA, 1991. 
  17. HAMON J. " Le caractère saisonnier des rentabilités mensuelles à la Bourse de Paris", in Finance, juin 1986, 57-74. 
  18. HAMON J., JACQUILLAT B. " Effet janvier et taille à la Bourse de Paris", Cahier de recherche n° 9012, CEREG, Université Paris Dauphine, 1990. 
  19. HAMON J., JACQUILLAT B., DERBEL T. " Les anomalies boursières : les effets P.E.R., taille et prix", Cahier de recherche n° 9101, CEREG, Université Paris Dauphine, 1991. 
  20. HANDA P., KOTHARI S.P., WASLEY C. " The relation between the return interval and betas : implications for the size effect", in Journal of Financial Economics, june 1989, 79-119. 
  21. HAWAWINI G. " Stock market anomalies and the pricing of equity on the Tokyo Stock Exchange", Working-paper n° 90/07/FIN/EP, INSEAD, Fontainebleau, september 1989. 
  22. HlLLION P.H. " The econometric problems associated with size-sorted portfolios in empirical tests of the Capital Asset Pricing Model", Dissertation, University of California, Los Angeles, 1988. 
  23. MCDONALD B. " Making sense out of unstable alphas and betas", in The Journal of Portfolio Management, Winter 1985, 19-22. 
  24. MCINISH T.H., WOOD R.A. " Adjusting for beta bias : an assessment of altemate techniques : a note", in The Journal of Finance, march 1986, 277-286. 
  25. MOSES E.A., CHEYNEY J.M.., VEIT E.T. " A new and more complete performance measure", in The Journal of Portfolio Management, Summer 1987, 24-33. 
  26. REILLY F.K., WRIGHT D.J. " A comparison of published betas", in The Journal of Portfolio Management, Spring 1988, 64-69. 
  27. REINGANUM M.R. " Misspecification of capital asset pricing : empirical anomalies based on earnings'yields and market values", in Journal of Financial Economics, march 1981, 19-46. 
  28. REINGANUM M.R. " A direct test of Roll's conjecture on the firm size effect", in The Journal of Finance, march 1982, 27-35. 
  29. RlTTER J.R., CHOPRA N. " Portfolio rebalancing and the turn-of-the-year effect", in The Journal of Finance, march 1989, 149-166. 
  30. ROGALSKI R.J., TlNlC S.M."The january size effect : anomaly or risk measurement" ? in Financial Analysts Journal, november-december 1986, 63-70. 
  31. ROLL R. " On Computing mean returns and the small firm premium", in Journal of Financial Economics, november 1983, 371-386. 
  32. STOLL H.R., WHALEY R.E. " Transaction costs and the small firm effect", in Journal of Financial Economics, june 1983, 57-79. 
  33. TASSI P., LECOUTRE J.-P.Statistique non paramétrique et robustesse, Economica, 1987. 

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.