Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller
以2013年诺贝尔奖得主法马、汉森和希勒的研究为主线，用随机贴现因子框架梳理现代资产定价理论，并探讨市场效率检验、收益可预测性及非理性预期模型等核心议题。
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.