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Effet book-to-market et mesure de performance à la Bourse ... - cergam

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<strong>Eff<strong>et</strong></strong> <strong>book</strong>-<strong>to</strong>-<strong>mark<strong>et</strong></strong> <strong>et</strong> <strong>mesure</strong> <strong>de</strong> <strong>performance</strong> à <strong>la</strong> <strong>Bourse</strong> <strong>de</strong> Parissines , janvier, 1-32.Lintner, John, 1965, "The Valuation of Risk Ass<strong>et</strong>s and the Selection of Risky Investment inS<strong>to</strong>ck Portfolios", Review of Economics and Statistics, February, 13-37.MacKin<strong>la</strong>y, Craig A., 1995, Multifac<strong>to</strong>r mo<strong>de</strong>ls do not exp<strong>la</strong>in <strong>de</strong>viations from the CAPM,Journal of Financial Economics 38, 3-28.Mer<strong>to</strong>n, Robert C., 1973, An intertemporal capital ass<strong>et</strong> pricing mo<strong>de</strong>l, Econom<strong>et</strong>rica 41, 867-887.Mo<strong>la</strong>y, Eric, 2000, Le modèle <strong>de</strong> rentabilité à trois facteurs <strong>de</strong> Fama <strong>et</strong> French (1993) : une applicationsur le marché français, Banque & Marchés 44, 18-28.Rosenberg, Barr, Kenn<strong>et</strong>h Reid, <strong>et</strong> Ronald Lanstein, 1985, Persuasive evi<strong>de</strong>nce of <strong>mark<strong>et</strong></strong> inefficiency,Journal of Portfolio Management 11, 9-17.Sharpe, William F., 1964, Capital ass<strong>et</strong> prices: A theory of <strong>mark<strong>et</strong></strong> equilibrium un<strong>de</strong>r conditionsof risk, Journal of Finance 19, 425-442.Sharpe, W. F., 1966, "Mutual Funds Performance, Journal of Business, janvier.Treynor, J.L., 1965, "How <strong>to</strong> Rate Mutual Fund Performance", Harvard Business Review, janvier-février.22

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