Monthly Archives: October 2013
In that case what your conclusion might be for Greek employees in public who get payed for OVERTIME working?
An effort by the Greek public to take advantage of its personell who holds PhD and MSch which still under persecution by other employess due to qualifications.
Another form of explaining excess returns and asset pricing. Keep in trach of the new Scorsese film based on Belfort paradigm!!
Trendspotting in asset markets
There is no way to predict the price of stocks and bonds over the next few days or weeks. But it is quite possible to foresee the broad course of these prices over longer periods, such as the next three to five years. These findings, which might seem both surprising and contradictory, were made and analyzed by this year’s Laureates, Eugene Fama, Lars Peter Hansen and Robert Shiller.
Beginning in the 1960s, Eugene Fama and several collaborators demonstrated that stock prices are extremely difficult to predict in the short run, and that new information is very quickly incorporated into prices. These findings not only had a profound impact on subsequent research but also changed market practice. The emergence of so-called index funds in stock markets all over the world is a prominent example.
If prices are nearly impossible to predict over days or weeks, then shouldn’t they be even harder to predict over several years? The answer is no, as Robert Shiller discovered in the early 1980s. He found that stock prices fluctuate much more than corporate dividends, and that the ratio of prices to dividends tends to fall when it is high, and to increase when it is low. This pattern holds not only for stocks, but also for bonds and other assets.
One approach interprets these findings in terms of the response by rational investors to uncertainty in prices. High future returns are then viewed as compensation for holding risky assets during unusually risky times. Lars Peter Hansen developed a statistical method that is particularly well suited to testing rational theories of asset pricing. Using this method, Hansen and other researchers have found that modifications of these theories go a long way toward explaining asset prices.
Another approach focuses on departures from rational investor behavior. So-called behavioral finance takes into account institutional restrictions, such as borrowing limits, which prevent smart investors from trading against any mispricing in the market.
Cordial congratulations to Fama, Hansen and Shiller for the Nobel price also to the asset pricing team of the University of Chicago who do a sharp on the edge work on spreading this asset pricing knowledge. My best wishes for happiness and creativity and for continuation of spreading this knowledge to people around the world.
Regulatory authorities especially in energy can use the 3factor or ( g multifactor model) which aligns with the macro environment to accurately calculate the regulated asset base return upon which the electricity cost and revenue is based. The L-T character of the model and the more efficient manipulation of the hedging state space offered by the stochastic discount rate will give accurate calculations.