Efficiency and performance in financial markets: theories and empirical studies.

Summary This thesis is essentially interested in the criteria defining market performance. It proposes the study of different measures of fund performance compatible with the hypothesis of rational choice, in the sense of Von Neumann and Morgenstem (1947), of individual investors. The first chapter of part one aims to give a quick overview of the main candidate processes for a good representation of stock market returns. None of them corresponds, however, to all the stylized facts highlighted in the literature. The second chapter concerns an empirical study of stock returns on high frequency data on the Parisian stock market, in a distorted time scale - the time-volume -. The third and fourth chapters attempt to provide an evaluation, as complete as possible, of the methods of forecasting returns based on the precepts of technical analysis. The first, second and third chapters of the second part of this thesis provide a review of the literature on performance measures. The first chapter reports on performance measures related to valuation models and the biases associated with them. The second chapter deals with the main measures without reference to an explicit evaluation model. The third chapter compares the main performance measures and presents the findings of the main empirical studies on fund performance. The last chapter proposes two new measures: one, for managed funds, is a generalization of Sharpe's measure to the case of non-perfect financial markets. The other, for primary securities, is essentially an extension of Treynor's measure to the case of many factor risks.