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Interview mit Eugene Fama

15. Dezember, 2007 ·

Eugene Fama in einem Interview auf der Seite der Federal Reserve Bank of Minneapolis kommentiert einige grundsätzliche Konzepte und Problematiken der Finanzmärkte.

Eugene Fama wird dort als einer der führenden Wirtschaftswissenschaftler speziell auf dem Gebiet der Finanzmärkte vorgestellt:

Few economists have had greater influence on financial theory, and practice, than Eugene Fama. His 1964 doctoral dissertation, “The Behavior of Stock Market Prices,” suggested that stock markets are efficient. Because of competition among investors, company share prices respond swiftly to past events, current information and future expectations. Actual prices are good estimates of intrinsic value, therefore, and no analyst can find consistent, profitable anomalies. And price trends are random, said Fama. Past patterns don’t predict future directions. Published in a nontechnical article a year later, his research popularized the “efficient market hypothesis” and “random walk theory.”

Fama’s work soon transformed Wall Street, and later Main Street, by giving rise to a proliferation of low-cost index funds, as many questioned the value of paying for active portfolio management. “If one takes into account the higher initial loading charges of the [mutual] funds,” he observed over 40 years ago, “the random investment policy outperforms the funds.”

More recently, and often in collaboration with Dartmouth’s Kenneth French, Fama reexamined the capital asset pricing model, a classic model for determining fair cost for equity capital, and declared it an empirical failure unless two other factors, market capitalization and book value to market value, are also included. This work, too, has transformed Wall Street by providing academic support for “small-cap” and “value” funds.

Fama has done significant research in other areas, consistently sustaining connections between financial economics and macroeconomic theory. But his illumination of financial markets will undoubtedly be recognized as the University of Chicago scholar’s paramount contribution to both research and reality.

“Eugene Fama has had pathbreaking insights into the functioning of markets, asset-pricing theory, and corporate finance,” Nobel laureate Myron Scholes noted recently, “[insights] that have benefited market participants worldwide.”

Im Interview antwortet er Fragen zu einzelnen Gebieten wie zum Beispiel: Principal-Agent Issues, Efficient Market Theory, Irrational Exurbance etc. — Interview with Eugene Fama

Via: Marginal Revolution

Kategorien: Finanznews · Research

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