Hostname: page-component-84b7d79bbc-rnpqb Total loading time: 0 Render date: 2024-07-25T14:42:50.115Z Has data issue: false hasContentIssue false
  • English
  • Français

The Effect of Mutual Funds on the Financial Equilibrium

Published online by Cambridge University Press:  17 August 2016

Patrick Artus
Patrick Artus*
Affiliation:
Caisse des Dépots et Consignations
Get access

Summary

We compare, from a theoretical point of vue, the characteristics of the equilibrium of financial markets (equilibrium prices, volatility, welfare, allocation of portfolios between the different assets) in the case where individuals investors purchase directly financial assets and in the case where they have to invest through open-ended mutual funds (The “SICAV” in the French case).

Résumé

Résumé

Nous comparons, d'un point de vue théorique, les caractéristiques de l'équilibre des marchés financiers (prix d'équilibre, volatilité, bien-être, allocation des portefeuilles entre différents actifs) dans le cas où les investisseurs individuels achètent directement les actifs financiers et dans le cas où ils investissent dans des fonds communs de placement à capital variable ( les «SICAV» dans le cas français).

Nous examinons les effets de la concurrence entre fonds, qui influence la structure de leur actif et le niveau de leurs frais de participation et différentes imperfections de marché justifiant la présence de fonds.

Keywords

311313314311313314
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 60 , Issue 1 , March 1994 , pp. 107 - 120
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1994 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Artus, P. [1987], Structure par terme des taux d'intérêts, théorie et estimations dans le cas français, Cahiers économiques et monétaires, n° 27.Google Scholar
Artus, P. [1990], Spéculateurs hétérogènes et chocs monétaires, Revue économique, Septembre, pp. 895–922.Google Scholar
Black, F. [1986], Noise, Journal of Finance, July, pp. 529–543.Google Scholar
Delong, J. B., Shleifer, A., Summers, L. H. et Waldmann, R. J. [1990], Noise Trader Risk in Financial Markets, Journal of Political Economy, August.Google Scholar
Dybvig, P. et Ross, S. A. [1982], Portfolio Efficient Sets, Econometrica, n° 50, pp. 1525–1546.Google Scholar
Friedman, B. [1985], Portfolio Choice and the Debt to Income Relationship, NBER Working Paper N° 1545.Google Scholar
Friedman, B. et Roley, V. [1985], Aspects of Investor Behavior under Risk, NBER Working Paper N° 1611.Google Scholar
Friedman, B. et Roley, V. [1979], Investors’ Portfolio Behavior under Alternative Models of Long Term Interest Rate Expectations: Unitary, Rational of Autoregressive, Econometrica, november, pp. 1475–1498.Google Scholar
Lee, C., Shleifer, A. et Thaler, R. [1990], Investor Sentiment and the Closed end Fund Puzzle, NBER Working Paper N° 3465, October.Google Scholar
Merton, R. [1990], Capital Market Theory and the Pricing of Financial Security, Handbook of Monetary Economics, vol. 1, chap. 11.Google Scholar
Ross, S. A. [1978], Mutual Fund Separation in Financial Theory: the Separating Distributions, Journal of Economic Theory, vol. 17, pp. 254–286.Google Scholar
Russel, T. et Thaler, R. H. [1985], The Relevance of Quasi Rationality in Competitive Markets, American Economic Review, December, pp. 1071–1082.Google Scholar
Schiller, R. J. [1981], Alternative Tests of Rational Expectations Models: the Case of the Term Structure, Journal of econometrics, May, pp. 71–87.Google Scholar
Shiller, R. J. [1984], Stock Prices and Social Dynamics, Brookings Papers on Economic Activity, n° 2, pp. 457–498.Google Scholar
Shiller, R. J., Campbell, J. et Schoenholtz, K. [1983], Forward Rates and Future Policy, Interpreting the Term Structure of Interest Rates, Brookings Papers on Economic Activity, n° 1, pp. 173–224.Google Scholar
Schiller, R. J. et Mc Culloch, J. H. [1990], The Term Structure of Interest Rates, Handbook of Monetary Economics, vol. 1, chap. 13.Google Scholar
Shleifer, A. et Vishny, R. W. [1990], Equilibrium Short Horizons of Investors and Firms, American Economic Review, Papers and Proceedings, May, pp. 148–153.Google Scholar