Financial Economists Win Nobel Prize
Date Posted: October 15, 2013
Financial economists Eugene F. Fama, Lars Peter Hansen, Robert J. Shiller were honored with The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel for laying the foundations for understanding trends of asset prices.
According to the Nobel Prize Organization, "This year’s prize awards empirical work aimed at understanding how asset prices are determined. Eugene Fama, Lars Peter Hansen and Robert Shiller have developed methods toward this end and used these methods in their applied work. Although we do not yet have complete and generally accepted explanations for how financial markets function, the research of the Laureates has greatly improved our understanding of asset prices and revealed a number of important empirical regularities as well as plausible factors behind these regularities."
Selected Journal of Finance articles written by the three award winning authors referenced by the Economic Sciences Prize Committee “Understanding Asset Prices” can be found here:
Campbell, J.Y. and R.J. Shiller (1988b), “Stock prices, earnings, and expected dividends,” Journal of Finance 43, 661-676.
Fama, E.F. (1970), “Efficient capital markets: a review of theory and empirical work”, Journal of Finance 25, 383-417.
Fama, E.F. (1991), “Efficient capital markets II,” Journal of Finance 46, 1575-1618.
Hansen, L.P. and R. Jagannathan (1997), “Assessing specification errors in stochastic discount factor models,” Journal of Finance 52(2), 557-590.
Shiller, R.J. (1981b), “The use of volatility measures in assessing market efficiency,” Journal of Finance 36(2), 291-304.
A Masters of Finance video interview with Eugene Fama can be found here