Dober intervju z novim nobelovcem Robertom Shillerjem v Washington Postu, kjer razlaga, v čem se kot “behavioural economist”, kot nekdo, ki študira obnašanje ljudi, ne more strinjati s Famovo hipotezo učinkovitih trgov. In tudi, kakšna naj bi bila ekonomska znanost.

NI: I guess for a lot of people the surprise is not that you have won the prize but that you’ve won alongside Eugene Fama, where many view the two of you as coming to opposite schools of thought on efficient markets. How do you think of his work and the ways it informs or relates to yours?

RS: Eugene Fama was the person who really set the example for efficient markets. He wrote a survey article in 1969. “Efficient Capital Markets: A Review [of Theory and Empirical Work].” He put a slant on it. I think even in that article he found some contradictions in the efficient markets hypothesis. He put a slant on it that nothing important contradicts it. It’s a question of what you think is important. I had a sense that the contradictions were very important and could lead to financial crises. But we did disagree.

But I trust him to report what that data says honestly. That’s how research goes. I read a lot of his papers. It’s not like I disagree with him on everything. It’s more that I’m after a different thing. There’s a kind of idea that has been especially prevalent at [the University of Chicago]. The other two people in this prize are from Chicago, where the prevalent view is to find the rational side of human nature very compelling.

I guess it’s a different worldview than I have that I don’t find it quite so compelling. When I look around, I see a great deal of foolishness, and I can’t believe it’s not important economically.

NI: So, is the old view that Fama and some of the other founders invented modern finance with the [capital asset pricing model] and efficient markets, and you and the behavioralists smashed it to smithereens wrong?

RS: The capital asset pricing model is a view of how to form an optimal portfolio. That is an interesting model. People who do portfolios ought to study mean variance model as a first approximation to what they should be doing in terms of portfolio management. But they took a next step, which is saying that everybody already does that. That’s where I start to part company. They assume people are already doing that. That can’t be right, because nobody understood it when the model was first developed. There’s an element of absurdity that they refuse to acknowledge. They fell in love with the model too much.

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NI: So, what led you to make a career studying behavioral finance and market inefficiencies? What did you see as a grad student or young scholar that made you think it would be a fertile field for study?

RS: I married a psychologist. That’s part of it — Jenny, my wife. Also I think I have a basically cynical, maybe not cynical but skeptical, personality. When everyone else agrees that something is true, I don’t just jump in and assume the same.

I’ve always felt that people like to exaggerate their certainty about theories that their ego is involved with. I think something is suspect there when someone has such overwhelming certainty.

It’s also a philosophy of science. As a child I wanted to be a scientist. Maybe I’m trying to do that as as social scientist. I had a view that emerged as a child really that science is about respect for the facts, about really studying nature and trying to take into account all the facts. No legends or myths or self-serving stories. I wanted to know the real facts. I thought that’s what a scientist does. You devise an experiment if there’s any confusion.

When I was getting started I thought a lot of economics wasn’t in that mode. It was more storytelling. We have this model. We test it, but we’re really not testing it. We just love these models. We’ll lionize and publicize the facts that are consistent with the model, and anything that’s inconsistent with it, we’ll put in some ad hoc fix.

That has often bothered me about the economics profession.

Vir: Neil Irwin, Washington Post