The Nobel Prize

Date Posted: October 15, 2013

AFA News

thumbnail image: The Nobel Prize

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 the behavior of asset prices. A special lunch was held at the American Finance Associations meetings on January 4, 2014 to celebrate the accomplishment.

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."

Here is the toast that Eugene Fama made at the Nobel dinner.

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:

Eugene F. Fama

Fama, E.F. (1970), "Efficient capital markets: a review of theory and empirical work," Journal of Finance 25(2), 383-417.
Fama, E.F. (1991), "Efficient capital markets II," Journal of Finance 46(5), 1575-1618.
Fama, E.F. and K.R. French, (1992), "The Cross Section of Expected Stock Returns," Journal of Finance 47(2), 427-465.

Lars Peter Hansen

Hansen, L.P. and R. Jagannathan (1997), "Assessing specification errors in stochastic discount factor models," Journal of Finance 52(2), 557-590.

Robert J. Shiller

Campbell, J.Y. and R.J. Shiller (1988b), "Stock prices, earnings, and expected dividends," Journal of Finance 43, 661-676.
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.

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