We're sunsetting PodQuest on 2025-07-28. Thank you for your support!
Export Podcast Subscriptions
cover of episode Eugene Fama and David Booth on the Birth of Modern Finance

Eugene Fama and David Booth on the Birth of Modern Finance

2025/3/6
logo of podcast Odd Lots

Odd Lots
AI Deep Dive AI Chapters Transcript
People
D
David Booth
E
Eugene Fama
J
Joe Weisenthal
通过播客和新闻工作，提供深入的经济分析和市场趋势解读。
Topics
Eugene Fama: 我与David Booth合作多年，共同探索了现代金融理论，特别是有效市场假说。我的研究始于尝试战胜市场，但最终发现市场效率很高，大多数人无法持续战胜市场。有效市场假说并非绝对真理，它是一个近似值，但对大多数人来说都非常有效。金融行业的存在是因为人们相信能够挑选出拥有特殊信息的基金经理，但实际上，扣除费用后，主动型基金经理的表现通常不如被动型基金经理。关于泡沫，我认为只有在破裂后才能识别，预测泡沫的破裂时间点非常困难。市场效率与投资组合选择的风险维度是两个不同的概念，人们常常混淆两者。虽然存在风险溢价，但某些资产类别长期跑赢其他资产类别并非市场永久性特征，交易成本也是需要考虑的因素。指数化投资的普及并未对市场效率产生重大影响，因为交易量仍然很高。我们应该选择一个涵盖所有股票和债券的市场指数基金，因为这对于大多数人来说是一个不错的选择。所谓的被动投资管理实际上并不存在，因为指数基金的选择本身就包含了主动决策。关于因子投资，我们一直很谨慎，会进行时间和市场维度上的检验。我们相信，最终需要构建合理、多元化、低成本的投资组合。 David Booth: 我与Eugene Fama合作多年，共同探索了现代金融理论。我一直很欣赏Eugene Fama的公开研究，我们公司也广泛使用他的研究成果，我们不搞黑箱操作。指数基金增加新的股票会导致短期价格上涨，但这是一种暂时性影响，不会对长期投资者产生太大影响。尽管指数化投资的普及，交易量却大幅增加，这表明价格发现并非与交易量直接相关。如果主动型基金经理中表现不佳的经理退出市场，那么只需要较少的优秀主动型经理就能维持市场价格的合理性。我们公司成立之初就主张投资组合应该包含大盘股和小盘股，而不是只投资大盘股。长期持有股票并不意味着风险会降低，风险始终存在，退休时面临的风险尤其大。“聪明贝塔”只是一个营销术语，并没有实际意义。各种风险维度都具有不确定性，其表现可能长期低迷，也可能最终消失。人们获得补偿的风险并非市场永久性特征，交易成本也是需要考虑的因素。即使人工智能拥有大量数据，也无法反映所有可用的信息，因此市场价格仍然会反映一些未被AI算法捕捉到的信息。

Deep Dive

Chapters
This chapter introduces the documentary "Tune Out the Noise" which explores the origins of modern finance. It highlights the involvement of prominent figures like Eugene Fama and David Booth, emphasizing their decades-long collaboration and the visual storytelling approach of the film.
  • Documentary film about modern finance
  • "Tune Out the Noise"
  • Errol Morris's direction
  • Eugene Fama and David Booth's collaboration

Shownotes Transcript

The 1970s were a pretty eventful time in markets. There was high inflation, the end of the gold standard, and a stock market crash. There was also a bunch of ideas coming out of the University of Chicago that would go on to be famous and highly influential for investors. Perhaps the most prominent is the Efficient Market Hypothesis, posited by Nobel Laureate Eugene Fama, which says that markets are right and it's useless for investors to try to outguess them. Fama later teamed up with David Booth, the founder of Dimensional Fund Advisors, and has been a longtime collaborator with the firm, which now has $777 billion under management. Today, they're releasing a documentary directed by Errol Morris and called "Tune Out the Noise)," which chronicles this important time. We speak to both of these investment legends about the development of their theories, how they put them into practice, subsequent criticism, and what comes next. Read more:Wall Street Math Wizards Are Decoding Private-Market Returns)Upstarts Challenge a Foundation of Modern Investing)Cliff Asness Says Markets Are Less Efficient — And Social Media May Be to Blame )

Odd Lots is coming to Washington, DC! Get your tickets for our Jones Act debate here.)

 

See omnystudio.com/listener) for privacy information.