De l'incertitude en économie

En 1996, Robert Shiller, un économiste de l'université de Yale, prenant en compte l'historique des cours de la Bourse, en a déduit que les titres américains étaient surévalués. Dans le passé, quand le rapport cours/bénéfice (PER) était élevé, on estimait que les perspectives de rendement à long terme étaient mauvaises. Mais si l'on se base sur l'index composite S&P 500, le PER s'élève aujourd'hui à 29, en référence au bénéfice moyen de la décennie précédente.

Sur la base d'une analyse économétrique réalisée avec John Campbell de l'université de Harvard, Shiller a prédit en 1996 que le panier de valeurs liés à l'indice S&P 500 serait un mauvais investissement pour la décennie qui allait suivre. Il estimait qu'entre 1996 et janvier 2006, la valeur réelle de l'index S&P 500 allait chuter. Même en tenant compte des dividendes, il estimait que le rendement des titres liés au S&P 500, corrigé de l'inflation prévisible, allait être nul. C'était loin derrière les quelques 6% de rendement annuels nets que nous considérons quasiment comme la norme pour la Bourse américaine.

L'argumentation de Shiller présentait un caractère irréfutable et il m'a convaincu. C'est également ce qui a poussé Alan Greenspan à faire son célèbre discours sur "l'exubérance irrationnelle" à l'American Enterprise Institute en décembre 1996. Pourtant Shiller se trompait. A moins que la Bourse américaine ne s'effondre d'ici fin janvier, les rendements de la décennie qui vient de s'écouler auront été légèrement supérieurs à la moyenne historique, et en tout cas bien supérieurs à zéro. Ceux qui ont investi ou réinvesti leur argent dans la Bourse américaine ces dix dernières années ont presque doublé leur mise, ceci même en tenant compte de l'inflation.

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