Une analyse des primes de risque ex-ante des actions suivant l'horizon de placement

The partially predictable character of stock returns is a sufficient condition to deduce that, at any time t, rational stockholders do not require a risk premium but a set of premia scaled by the horizon of the investment. Using expectations of the S ? P industrial stock price index in the NYSE revealed by J. Livingston? surveys, this paper provides an analyse of the dynamics of the ex-ante risk premia according to four horizon from six month to infinite. Although these premia exhibit very important and time-varying spreads, it is shown that the term premia with shorter horizon tend to converge progressively towards premia with longer horizons. These results show that there are common factors for all premia (past volatility and observed or expected economic variables) and that there is some coherence between the dynamics of premia. We conclude that experts effectively do not believe to the efficient market hypothesis. Classification JEL : D84, E44, G14