Abstract EN:

This work investigates the price formation process on financial markets. Our approach relies on the behavioural finance paradigm. We particularly analyse investors who exhibit gambling behaviours. In this respect, we compare these investors to bettors at the racetrack. The analysis of experimental and field data leads us to show that people generally use a lot of heuristics when they take decisions. This attenuated rationality of investors seems to generate empirical anomalies to the efficient market hypothesis. Our methodology allows us to give an estimation of the risk taking behaviour of investors and bettors. Observed behaviours are well in line with theoretical explanations given by non expected utility theories. Our conclusions catch sight of a possible reconciliation of the efficient market hypothesis and empirical anomalies by allowing investors and bettors to exhibit subjective attitudes towards probabilities.