金融资产价格的决定因素与预测:2013年诺贝尔经济学奖述评

Decision Factor and Predictability of Financial Asset Prices:Review on 2013 Nobel Prize for Economic Science

2013年诺贝尔经济学奖授予尤金·法玛、拉尔斯·汉森和罗伯特·席勒,以表彰其在资产定价理论及实证研究中作出的突出贡献。法玛的主要贡献包括提出"有效市场假说",建立三因素模型和检验方法,推动资产价格的短期预测研究等。汉森建立了广义矩估计方法,并通过大量关于资产价格的实证研究加以完善。席勒在资产价格的长期预测与行为金融学的研究中作出了开创性贡献。他们完成了大量有影响的实证研究成果,帮助解释金融资产价格的决定因素和预测性问题,具有重要的实践意义。

Eugene Fama, Lars Peter Hansen and Robert Shiller shared the 2013 Nobel Prize in Economic Sciences for their empirical analysis of asset prices which have been highly influential both academically and practically. Fama provided ＂efficient market hypothesis＂, methodological insights on three-factor model and tests, profound research on short-term predictability from different angles. Hansen developed the Generalized Method of Moments and improved it to deal with the asset-price data by applying it in a sequence of empirical studies. Shiller made the pioneering contribution to long-term predictability of asset prices and behavior finance. They have produced a body of robust empirical findings about the determination of asset prices and predictability, which have important practical implications.