Risk factors and choices for long-term investors.

Summary This thesis focuses on the portfolio management choices of long-term investors and on the risk premiums offered by the French financial market. The work carried out in this thesis aims to shed light on and provide arguments in favor of long-term, risky and productive investments. In terms of portfolio management, this work provides several answers in terms of asset allocation and optimal investment strategies. First, and based on stock and bond market indices, it turns out that the French market is efficient in the weak sense and that the random walk hypothesis is not rejected. This first result implies that the abnormal returns that can be measured on this market are due to risk factors to be remunerated and not to anomalies. Thus, in the second paper, we demonstrate a persistent value premium in the French market over the period studied. On the other hand, the size premium is only observed for stocks with very low or very high book-to-market ratios and for stocks with a high past cumulative profitability. Also, investing in high momentum companies always leads to better returns regardless of the size of the company considered. It is also confirmed that the correct specification of the market portfolio is a prerequisite for a correct valuation of financial assets. In the third paper, and from a multi-period portfolio management perspective, the standard deviation of annualized returns on risky assets decreases when the holding period is lengthened, implying that portfolio managers tend to bias allocations towards safer assets and thus neglect a shortfall. This work also shows that holding a portfolio of small-cap stocks is an optimal investment for investors with a long time horizon. These results highlight inefficient prudential rules from the policyholder's point of view on the one hand, and, on the other hand, the need for measures to revive the markets for small companies and to facilitate their access to direct financing.