Montag, 14. Oktober 2013

Nobelpreis 2013

Der Nobelpreis für Wirtschaftswissenschaften geht dieses Jahr an Eugene F. Fama, Lars Peter Hansen und Robert J. Shiller.
"The Royal Swedish Academy of Sciences has decided to award The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel for 2013 to

Eugene F. Fama
University of Chicago, IL, USA

Lars Peter Hansen
University of Chicago, IL, USA

Robert J. Shiller
Yale University, New Haven, CT, USA
"for their empirical analysis of asset prices”."
Hier gibt es eine kurze Erklärung und eine lange, mehr wissenschaftliche.

"Beginning in the 1960s, Eugene Fama and several collaborators demonstrated that stock prices are extremely difficult to predict in the short run, and that new information is very quickly incorporated into prices. These findings not only had a profound impact on subsequent research but also changed market practice. The emergence of so-called index funds in stock markets all over the world is a prominent example.

If prices are nearly impossible to predict over days or weeks, then shouldn’t they be even harder to predict over several years? The answer is no, as Robert Shiller discovered in the early 1980s. He found that stock prices fluctuate much more than corporate dividends, and that the ratio of prices to dividends tends to fall when it is high, and to increase when it is low. This pattern holds not only for stocks, but also for bonds and other assets.

One approach interprets these findings in terms of the response by rational investors to uncertainty in prices. High future returns are then viewed as compensation for holding risky assets during unusually risky times. Lars Peter Hansen developed a statistical method that is particularly well suited to testing rational theories of asset pricing. Using this method, Hansen and other researchers have found that modifications of these theories go a long way toward explaining asset prices."


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