News & Views

Seneca: Active management and the predictability of markets #2: Robert Shiller

Investment News for Financial Advisers & Paraplanners

23 Sep 2019

Seneca: Active management and the predictability of markets #2: Robert Shiller

This is the second in a series of four of my investment letters dedicated to active management, focussing on some of the key figures involved in the study of market predictabilities. Having last month written about the “father of modern finance”, Eugene Fama, this month I take a look at Yale economist, Robert Shiller. 

Shiller was co-winner of the 2013 Economics Nobel Prize alongside Eugene Fama. To many, it seemed a mistake - or at least a contradiction - that these two should share the prize. Fama is best known for the finding that markets were efficient or, rather, that they were efficient once trading costs were accounted for. Shiller on the other hand found the opposite, namely that there existed market mis-pricings that were big enough to profit from net of costs.

Although Fama is known for his early work which labelled him as a believer in efficient markets, his later research uncovered patterns and mis-pricings that he nowadays seeks to profit from through his work with Dimensional Advisors. These patterns, among others, related to the size and valuation of stocks (he found that small caps tend to outperform large caps and high book-to-price stocks outperform low book-to-price ones).

Read more

Email this article Print Share on Twitter Share on LinkedIn Share on Facebook Share on Google+

Login

Not yet registered?

Please complete this form to join our community

Name
Email
Company
Select your role:
Password
Confirm Password

Visit the Seneca Investment Managers sponsor area

Read more Seneca Investment Managers articles and find out more about their Tools & Resources here..

Join the Panacea community

Join the Panacea community for free and recieve news, guides, whitepapers, event information, special offers and more!