2015, vol. 44, br. 4, str. 108-115
|
|
Efikasnost tržišta kapitala III
Capital market efficiency III
Sažetak
U 2013. godini Nobelovu nagradu iz ekonomije dobili su američki ekonomisti Judžin Fama, Lars Peter Hansen i Robert Šiler. Monetaristi Fama i Hansen sa Univerziteta u Čikagu i neokenzijanac Šiler sa Jejl univerziteta su, kako je saopštila Švedska kraljevska akademija, ovu prestižnu nagradu dobili za istraživanja koja matematičkim i ekonomskim modelima utvrduju (ne)pravilnosti u razvoju vrednosti akcija na berzama. Fama je sa kolegama šezdesetih godina ustanovio da je kratkoročno izuzetno teško predvideti cene akcija, pošto nove informacije brzo ulaze u cene. Šiler je, medutim, ustanovio da, iako skoro da nije moguće predvideti cene akcija za period od nekoliko dana, to ne važi za period od više godina. Utvrdio je da cene akcija fluktuiraju znatno više nego dividende korporacija i da odnos cena prema dividendama teži da pada kada je visok, a da raste kada je nizak. Taj obrazac ne važi samo za akcije, već i za obveznice i drugi kapital.
Abstract
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.
|