Eugene F. Fama and Lars Peter Hansen, both of the University of Chicago, and Robert J. Shiller, of Yale University, will share the $1.2-million prize.
“Disbelief, that’s the only way to put it,” Shiller, co-founder of the Case-Shiller housing price index, said by telephone from New Haven, Conn., describing his reaction to the news in an interview with the Royal Swedish Academy of Sciences, which announced the prize.
The academy said the three professors, who worked independently of each other, “laid the foundation for the current understanding of asset prices.”
Their work showed that though there is no way to predict prices of stocks and bonds in the short term, it is possible to foresee price trends in the long run, the Nobel committee said in a statement. “These findings, which might seem surprising and contradictory, were made and analyzed by this year’s laureates.”
The statement said their research has had important practical applications, influencing market practices in many ways, such as giving rise to the index funds, which collect all stocks in passively managed portfolios.
One key aspect of their work is the relationship between asset prices and the broader economy.