Tuesday, March 16, 2010

A Two Month Old John Cochrane Interview

The New Yorker, 1/13/2010, "Interview with John Cochrane"

今天早上看到一位網友對 Prof. Fama 專訪內容有一些不同意見的留言,才發現我漏掉了 Cochrane 這一篇同樣在 The New Yorker 上面的相關議題專訪。

在 2008-09 之後,我仍然相信 EMH。在實證上面要檢驗這個觀念並不容易,甚至我們的數據常常會推翻這個假設,但這並不完全是 EMH 本身的問題,有一部份是我們在其他相關模型的假設跟現實世界差距太大的結果。舉例來說,CAPM 是我們在檢驗 EMH 時常用到的模型,但是任何一個財務甚或經濟學博士班一年級學生都知道 CAPM 依靠多少假設而這些假設跟現實世界是有出入的,更不用提在實證數據收集過程中又會有多少問題。討論某些假設放寬之後會如何影響結論的文章也已經有不少了,但是我們無法同時放寬所有的假設,那樣的模型會太過複雜而不再是『模型』。

Cochrane 這篇專訪不用實證分析和數學 (這兩項是他拿手的工具),而從基本的邏輯來討論。我們可以很清楚看得出來他的論證是有意義的,EMH 並沒有真正失敗。

這讓我想起去年暑假我跟幾個同事在晚餐上的討論,我跟他們說 "I still believe in the efficient market hypothesis, I just don't dare to say it out loud right now.":p


楊大寶 said...

Can I ask a slightly off-topic question? What is the major difference between University of Chicago's economics department and their business school? Why Professor Cochrane leave the department to enter business school?

CCLu said...

Why not?

I don't know many gossips about UChicago, but a switch from Econ to B-School seems a no brainer in general in the United States. An economist in B-School can do whatever he did in Econ with better pay, better benefits and even better Ph.D. students to teach. As long as the B-School wants him. Cochrane is a macro/asset pricing guy, so his service should be needed in B-School. Once he got a choice, I don't see why he wouldn't make such a move.

I don't know Prof. Cochrane in person, so he might have other reasons to do so which I have no knowledge of. However, I couldn't see any opportunity cost so big that could prevent him from making the decision he made.

楊大寶 said...

I see. I originally thought UChicago's econ department is more prestigious. Thanks for replying.