Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller

John Campbell

Scandinavian Journal of Economics, 2014, vol. 116, issue 3, 593-634

Abstract: The Nobel Memorial Prize in Economic Sciences for 2013 was awarded to Eugene Fama, Lars Peter Hansen, and Robert Shiller for their contributions to the empirical study of asset pricing. Some observers have found it hard to understand the common elements of the laureates' research, preferring to highlight areas of disagreement among them. In this paper, I argue that empirical asset pricing is a coherent enterprise, which owes much to the laureates' influential contributions, and that important themes in the literature can best be understood by considering the laureates in pairs. Specifically, after summarizing modern asset-pricing theory using the stochastic discount factor as an organizing framework, I discuss the following: the joint hypothesis problem in tests of market efficiency, which is as much an opportunity as a problem (Fama and Hansen); patterns of short- and long-term predictability in asset returns (Fama and Shiller); and models of deviations from rational expectations (Hansen and Shiller). I conclude by reviewing the ways in which the laureates have already influenced the practice of finance, and how they might influence future innovations.

Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (33)

Downloads: (external link)
http://hdl.handle.net/10.1111/sjoe.12070 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:scandj:v:116:y:2014:i:3:p:593-634

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0347-0520

Access Statistics for this article

Scandinavian Journal of Economics is currently edited by Richard Friberg, Matti Liski and Kjetil Storesletten

More articles in Scandinavian Journal of Economics from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().