【大师系列】金融学大牛John Campbell：Empirical Asset Pricing 附带10篇经典文献

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Shiller’s view is that people can’t know the true model and then become excessively influenced by social forces, and can get into a herd mentality. In Lars’s world people don’t have the true model, but they know that they don’t have the true model and they react by being very conservative. Lars’s guys are irrational in a level-headed way, and Bob Shiller’s guys are irrational in a way that is subject to these social fads and fashions.

What we often find is that asset allocation is something the clients themselves want to manage. The results take years to play out and it’s hard to set up a contract with an asset manager to hire them to do this because it takes so long to see if they’re right or not.

As we think about the stability of the financial system, large swings in asset prices and big changes in risk premia can be very important, and relatively hard to arbitrage away.

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