本期节目邀请到哥伦比亚商学院金融学教授Kent Daniel，与Tano Santos和Michael Mauboussin一同探讨其从物理学到行为金融学与量化投资的学术及职业生涯。Kent教授分享了他关于资产定价、市场效率、以及行为模式如何影响金融理论和实践的深刻见解。他回顾了多年的市场变迁，包括对Fama-French模型的挑战、无形信息在资产价格中的作用，以及卖空限制的含义。内容涵盖了从早期教育经历、学术研究到在华尔街的实践经验，为听众呈现了一场关于金融市场深度洞察的对话。

🔹 **跨界探索与学术奠基**：Kent Daniel教授的职业生涯始于加州理工学院的物理学研究，受物理学巨匠如Richard Feynman的影响，后转向金融领域，并在UCLA获得MBA学位，最终进入博士项目。他早期研究聚焦于资产回报的时间变异性及其统计检验能力，为后续在金融学领域的深入研究奠定了坚实基础。

🔹 **挑战传统模型与行为金融学视角**：Kent教授以其对Fama-French三因素模型的挑战性研究而闻名，该研究通过特征而非协方差来解释资产回报。他深入阐述了行为金融学如何解释市场中的过度反应和反应不足现象，并强调了心理学在金融决策中的关键作用，为理解市场非理性行为提供了重要框架。

🔹 **无形信息与卖空限制的影响**：文章探讨了无形信息在金融市场定价中的重要性，以及卖空限制如何导致市场效率低下。Kent教授的研究揭示了这些因素如何影响资产价格的形成和市场的运作机制，为理解更深层次的市场动态提供了视角。

🔹 **实践与理论的融合**：Kent教授在哥伦比亚商学院的教学与研究，以及在 Goldman Sachs 的工作经历，体现了学术理论与金融市场实践的紧密结合。他分享了如何将学术研究应用于实际市场分析，并反思了量化危机和2008年之前的杠杆积累问题，以及后2008时代价值投资的局限性。

🔹 **对市场效率与未来发展的思考**：Kent教授对市场效率持 nuanced 观点，并强调了市场摩擦的作用。他对于指数化、ETF及金融市场设计有着独到见解，并对未来市场的兴奋点和担忧之处进行了展望，为投资者和研究者提供了前瞻性的思考方向。

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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