NOBEL PRIZE FOR 2013 - LARS PETER HANSEN

Scientific review article
Autor: Svetlana Pantelić
JEL: B31, G14, P34
doi: 10.5937/bankarstvo1504108P
SCINDEX

Summary: In 2013 the Nobel Prize in Economic Sciences was awarded to the American economists, Eugene Fama, Lars Peter Hansen and Robert Shiller. The monetarists, Fama and Hansen, from the University of Chicago, and the Neo-Keynesian, Shiller, from the Yale University, according to the Swedish Royal Academy, won this prestigious prize for their research providing mathematical and economic models to determine (ir)regularities in the stock value trends at the stock exchanges. With his colleagues, in the 1960s Fama established that, in the short term, it is extremely difficult to forecast stock prices, given that new information gets embedded in the prices rather quickly. Shiller, however, determined that, although it is almost impossible to predict the stock prices for a period of few days, this is not true for a period of several years. He discovered that the stock prices fluctuate much more substantially than corporation dividents, and that the relationship between prices and dividends tends to decline when high, and to grow when low. This pattern does not apply only to stocks, but also to bonds and other forms of capital.

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