在《与投资大师谈价值投资》系列节目中，Tano Santos和Michael Mauboussin邀请了哥伦比亚商学院金融学教授Kent Daniel，探讨他从加州理工学院物理学家到行为金融学与量化投资研究领导者的历程。Kent分享了其学术成果和在高盛的经历，包括对法玛-弗伦奇模型的批评、无形信息在资产价格中的作用以及短期售出限制的影响。对话跨越了数十年的市场演变、实证挑战以及持续塑造金融理论与实践的行为模式。

📚 Kent Daniel的学术与职业背景：作为哥伦比亚商学院的金融学教授，Kent拥有加州理工学院物理学学位和加州大学洛杉矶分校MBA学位，并在高盛积累了丰富的经验。他的研究跨越了从物理学到金融学的转变，以及行为金融学与量化投资的交叉领域。

🔍 对法玛-弗伦奇模型的批评：Kent质疑了传统资产定价模型的有效性，特别是通过其关于特征与协方差的论文挑战了该模型。他认为市场并非完全有效，并强调了无形信息的重要性。

🧠 行为金融学的洞察：Kent深入探讨了过度反应和反应不足等心理现象对资产价格的影响，揭示了投资者情绪如何影响市场效率。他认为理解这些行为模式对于投资策略至关重要。

💡 无形信息的重要性：Kent强调无形信息（如公司治理、管理层质量）在资产定价中的作用，认为这些因素传统模型未能充分捕捉。他主张将无形因素纳入投资分析框架。

📈 短期售出限制的影响：Kent分析了短期售出限制如何导致市场效率降低，并影响资产价格。他通过实证研究揭示了这些限制对市场流动性和定价的影响，为投资者提供了新的视角。

In this episode of Value Investing with Legends, Tano Santos and Michael Mauboussin sit down with Kent Daniel, Professor of Finance at Columbia Business School, to discuss his journey from physics at Caltech to leading research in behavioral finance and quantitative investing. Kent shares insights from his academic work and his years at Goldman Sachs, including his critiques of the Fama-French model, the role of intangible information in asset prices, and the implications of short selling constraints. The conversation spans decades of market evolution, empirical challenges, and the behavioral patterns that continue to shape financial theory and practice.

 

 

Key Topics:

● Introduction by Tano Santos and Michael Mauboussin (0:00)

● Introduction of guest Kent Daniel and his academic and professional background (0:48)

● Kent shares his early life, education at Caltech, and influences like Richard Feynman (3:31)

● Transition from physics to finance, MBA at UCLA, and entry into PhD program (5:46)

● Kent's dissertation on time variation in asset returns and statistical test power (8:02)

● Discussion on behavioral vs. rational explanations for return predictability (11:51)

● Kent's time at University of Chicago during the rise of behavioral finance (15:18)

● Challenge to the Fama-French three-factor model with characteristics vs. covariances paper (22:40)

● Behavioral finance classic: Overreaction and underreaction explained through psychology (27:31)

● Discussion on tangible vs. intangible information in financial markets (36:04)

● Current research on short selling, borrow costs, and market inefficiencies (41:40)

● Kent's experience at Goldman Sachs and practical application of academic research (50:02)

● Reflections on the quant crisis and build-up of leverage pre-2008 (56:26)

● Discussion on value investing post-2008 and limitations of book-to-market (57:00)

● Kent’s nuanced view on market efficiency and the role of frictions (1:02:16)

● Views on indexing, ETFs, and financial market design (1:06:11) 

● Kent shares what excites and worries him about the future of markets (1:08:09)

● Kent's current reading and listening recommendations (1:10:07) And much more!

 

Thanks for Listening!

 

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