Galeria de Heróis - Eugene Fama

Excelente entrevista de Eugene Fama.
(dica do Leonardo Monastério).

Partes favoritas (é só ver os posts passados para entender a seleção).

Region: And I’m wondering if that was accurate or if you’ve always believed that markets are less than perfectly efficient?

Fama: I start my class every year by saying, “These are models. And the reason we call them models is that they’re not 100 percent true. If they were, we would call them reality, not models. They’re simplifications.” But the acid test is, How good are the simplifications for your purposes? And for almost all purposes, market efficiency is a very good approximation. There is very little evidence that money managers can beat the market.

IRRATIONAL EXURBANCE

Region: Some economists—you know them well—say that the stock market crash of 1929 and the more recent climb and decline of the market in the early 2000s suggest that “irrational exuberance” affects the stock market. How do you reconcile this alleged evidence of herding behavior and animal spirits with the notion of market efficiency?

Fama: Well, economists are arrogant people. And because they can’t explain something, it becomes irrational. The way I look at it, there were two crashes in the last century. One turned out to be too small. The ’29 crash was too small; the market went down subsequently. The ’87 crash turned out to be too big; the market went up afterwards. So you have two cases: One was an underreaction; the other was an overreaction. That’s exactly what you’d expect if the market’s efficient.

FINANCE/MACRO

Region: It seems to me that macroeconomists are paying more attention these days to the work of financial economists, especially in trying to understand asset pricing. Do financial economists find equal value in the macro theory work being done these days?

Fama: I think those two areas have always been pretty closely joined. I, in fact, wrote a lot of macro-related stuff in the ’80s or even earlier. For example, rational expectations stuff is basically efficient markets; they’re pretty much the same thing. If you’re talking about the macroeconomy, I don’t see how you can avoid financial markets. That’s a big part of the game. Nobody talks about money and bonds anymore the way they did when I was taking macroeconomics. Now people realize it is a lot more complicated. Finance and macro are joined. Our finance faculty has several people who were trained as macroeconomists, especially on the asset pricing side