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Keynes et l'hypothèse d'efficience du marché boursier: un réexamen en situation de marchés incomplets

Published online by Cambridge University Press:  17 August 2016

Catherine Rouzaud
Catherine Rouzaud*
Affiliation:
Université de Paris 12 Val de Marne
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Résumé

Cet article réexamine la positionde Keynes sur la question de l'efficience du marché boursier en se plaçant du point de vue de la théorie de l'équilibre général en situation de marchés incomplets, compte tenu du fait que l'échange d'actifs boursiers est incompatible avec l'existence d'un système complet de marchés contingents.

Etant donné la signification de l'hypothèse d'efficience semi-forte appliquée au marché boursier, la première partie vise à montrer que Keynes a adopté sur ce sujet, dans le chapitre 12 de la Théorie Générale, une attitude plus radicale que celle qui lui est couramment prêtée car elle prive en partie d'objet les débats récents concernant la rationalité des cours boursiers. La seconde partie rappelle que les résultats relatifs à l'évaluation des entreprises en incertitude sont essentiellement fonction des hypothèses faites quant à la nature et au nombre des marchés supposés ouverts en théorie. En particulier, dès lors que le nombre d'instruments financiers différents, correspondant aux parts de propriété sur les entreprises, est inférieur au nombre des états, la valeur fondamentale de l'entreprise ne peut plus être déterminée, et ceci même si on suppose qu'il n'y a qu'une période, un bien, des actifs dont le rendement est fixé en bien, et des plans de production donnés. Les recherches les plus récentes n'ont pu démentir ce résultat qui, s'il permet de douter du contenu théorique de l'hypothèse d'efficience du marché boursier, confirme pleinement l'opinion de Keynes.

Summary

Summary

This paper reconsiders the significance of Keynes'position on the stock market efficiency hypothesis from the point of view of general equilibrium theory with incomplete markets, considering that an active stock exchange is inconsistent with complete contingent markets.

Given the meaning of the assumption in its semi-strong form when applied to the market for shares, the first part shows that Keynes'attitude towards it, in the chapter 12 of the General Theory, is more radical than is usually assumed, for it makes recent debates on stock prices'rationality appear meaningless. The second part recalls that the results on firms'valuation in uncertainty essentially depend on the type and number of markets assumed in theory. In particular, as soon as the number of independant financial instruments corresponding to firms'shares is less than the number of states, what the firm should be worth becomes indeterminate, and this remains true even in the one period, one good, real assets case, with given production plans. This result, invariably confirmed by the latest research, could cast doubts about the content of the stock market efficiency hypothesis, but perfectly agrees with Keynes'view.

Keywords

026313026313
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 64 , Issue 3 , 1998 , pp. 319 - 346
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1998 

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