News/Op-Eds
ASSET MARKETS
The best short summary of Gene Fama's Nobel, presented at the University of Chicago Syposium. Blog post with Video. Here is a Spanish translation courtesy of Pedro Cervera. Spanish Translation of the Lars Hansen Nobel Prize post
I attempt to explain some of his most important work.
Collection of blog posts on 2013 Nobel Prizes in Economics.
A short paper on where we are. Dodd Frank and Resolution won't work. Regulate run prone liabilities not assets. A regulatory tax on debt will work better than arguing about a red line capital ratio. This turned in to the paper "Toward a run-free financial system"
Slides for talks about hedge funds. Returns, alphas and betas, performance, fees, how to form portfolios of hedge funds.
Bloomberg View. local pdf. Part of Booth's "Business Class" series. High price-dividend ratios mean low returns and vice versa. The "bubble" argument is only about understanding why risk premia vary over time. A short oped based on "Discount Rates"
Joural of Finance 66, 1047-1108 (August 2011). The video (including gracious roast by Raghu Rajan). The slides. Data and programs (zip file).
My American Finance Association Presidential Address. Discount rate variation (equivalently expected returns, risk premiums) are now at the center of asset pricing questions, from bubbles to the nature of the crash. I survey theory and empirical work, and offer some hope that "macro" theories are relevant to big recent events. It's an article, and extends some of the other themes here.
Introduction for Darrell’s AFA presidential speech.
October 6, 8 2009. Slides for a talk on new ideas in portfolio theory.
WSJ op-ed. The average investor must hold the market portfolio of stocks and bonds. How can that possibly make sense in the current environment, especially with volatility at 50% per year? I show you how. Who should be buying more, and who should be selling more? Here is the slightly longer and more detailed manuscript, along with a short summary of research -- yes, this really is the summary of 30 years of finance research, not something I made up as I wrote it -- and answers to some common questions. Here I am on CNBC explaining it all in 20 seconds or less.
Gene gave a talk on the history of the efficient markets hypothesis for the American Finance Association history project. This is my introduction. I try in 6 minutes flat to say why the efficient markets hypothesis is important and a great intellectual achievement. Video of Gene's speech and event from the IGM website.
Efficient Markets Today Talk given at the Conference on Chicago Economics. A second “discount rate” revolution has followed the first efficient-markets revolution, and dramatically changes how we think about financial markets. Alpha and beta are dead.
Slides for a talk on cost of capital given at NABE conference, Sept 25 2005. The old advice to use the CAPM and 6% for cost of capital doesn’t make any sense now that we know expected returns vary over time.
Slides for the Smith-O’Brian Lecture, Notre Dame University, October 8 2004. (An update of several related talks)