Two Pillars of Asset Pricing

• 成果类型: Article
• 署名作者: Fama, Eugene F.
• 署名单位: University of Chicago
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.104.6.1467
• 发表日期: 2014
• 页码: 1467-1485
• 关键词: EXPECTED RETURNS; stock returns; Market equilibrium; interest-rates; TERM PREMIUMS; cross-section; prices; RISK; inflation; expectations

摘要

The Nobel Foundation asks that the Nobel lecture cover the work for which the Prize is awarded. The announcement of this year's Prize cites empirical work in asset pricing. I interpret this to include work on efficient capital markets and work on developing and testing asset pricing models-the two pillars, or perhaps more descriptive, the Siamese twins of asset pricing. I start with efficient markets and then move on to asset pricing models.