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