Mittwoch, 16. Oktober 2013

Infos über Nobelpreis-Arbeiten

John Cochrane hat auf seinem Blog eine super Reihe von 3 Beiträgen über die Arbeiten der diesjährigen Nobelpreisträger veröffentlicht.

Über Eugene Fama:
"Gene’s first really famous contributions came in the late 1960s and early 1970s under the general theme of “efficient markets.” “Efficient Capital Markets: a Review of Theory and Empirical Work’’ [15] is often cited as the central paper. [...]"
"Lars has done so much  deep and pathbreaking research, that I can't begin to even list it, to say nothing of explain the small part of it that I understand.  I wrote whole chapters of my textbook "Asset Pricing" devoted to just one Hansen paper. Lars writes for the ages, and it often takes 10 years or more for the rest of us to understand what he has done and how important it is.

So I will just try to explain GMM and the consumption estimates, the work most prominently featured in the Nobel citation. Like all of Lars' work, it looks complex at the outset, but once you see what he did, it is actually brilliant in its simplicity. [...]"
Und über Robert Shiller:
"Bob Shiller has also produced a span of interesting innovative work, that I can't possibly cover here. Again, don't let a Nobel Prize for one contribution overshadow the rest. In addition to volatility, Bob did (with Grossman and Melino) some of the best and earliest work on the consumption model, and his work on real estate and innovative markets is justly famous. [...]"

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