RR # 169 - John Cochrane: (Modern) Modern Portfolio Theory

Рет қаралды 20,533

Күн бұрын

Today's conversation is an extremely enlightened and highly detailed one, that you may want to return to, in order to accrue all of its value. We host John Cochrane, an economist specializing in financial economics and macroeconomics. John has a popular blog and podcast called The Grumpy Economist and also hosts the GoodFellows Podcast. He is a Rose-Marie and Jack Anderson Senior Fellow at the Hoover Institution and a senior fellow at Stanford Institute for Economic Policy Research, and was a Professor at the Booth School of Business at the University of Chicago. In this fascinating chat, John shares so much of his expertise, going in-depth on the subjects that we and our audience are constantly exploring and excited about. We discuss long-horizon stocks, market inefficiency and return predictability, classic portfolio theory, risk-less assets, and performance evaluation. John also shares his perspectives on the future of centralized finances, digital and cryptocurrencies, and where the business of financial advice is headed. So for all this and more from a leader in his field, be sure to join us for this great episode of the Rational Reminder.
Timestamps:
0:00 Welcome John Cochrane!
2:14 Is the volatility in valuation ratios, like dividends to price due to changes in discount rates, or changes in expected cash flows?
6:15 Return predictability
16:10 Expected return for financial planning purposes
24:39 Predictability changes classic portfolio theory?
27:00 Volatility in portfolios
33:20 Being enlightened by John Campbell’s paper
40:07 How does this whole framework change performance evaluation?
44:38 Wealth and inequality
48:50 The general equilibrium concept
1:07:43 Where the role of financial advice going forward
1:12:56 The fiscal theory and how it changes monetary theory
1:21:05 Will digital currencies, like Bitcoin, will maintain their value in the long run?
1:30:10 Gene Fama and How do you define success in your life?
Links From Today’s Episode:
Rational Reminder on iTunes - itunes.apple.com/ca/podcast/t....
Rational Reminder Website - rationalreminder.ca/
Shop Merch - shop.rationalreminder.ca/
Join the Community - community.rationalreminder.ca/
Follow us on Twitter - / rationalremind
Follow us on Instagram - @rationalreminder
Benjamin on Twitter - / benjaminwfelix
Cameron on Twitter - / cameronpassmore
John Cochrane - www.johnhcochrane.com/
John Cochrane on Twitter - / johnhcochrane
The Grumpy Economist - johnhcochrane.blogspot.com/
'Portfolios for Long-Term Investors' - papers.ssrn.com/sol3/papers.c...
'A Fiscal Theory of Monetary Policy with Partially-Repaid Long-Term Debt' - www.johnhcochrane.com/researc...
Ken French 'Current Research Returns' - mba.tuck.dartmouth.edu/pages/...

Пікірлер: 25

@dmoon9037 2 жыл бұрын

Halfway through and I already feel the need to relisten the first half, lol

@bb-vi9xh 2 жыл бұрын

Most enjoyable of the RR YT videos I've watched to date.

@Thewestslope 2 жыл бұрын

Phenomenal. Probably useful for undergrads and those starting grad programs. Perhaps a must listen for active investors seeking to attain some combination of positive sum and zero-sum outcomes?

@robertwright8844 2 жыл бұрын

For those who aren't familiar, when John says IID at 37:47, he's referring to independent and identically distributed (IID) random variables en.wikipedia.org/wiki/Independent_and_identically_distributed_random_variables

@flowersfrom7311 2 жыл бұрын

Love John and his refreshingly traditional views!

@Martin-qb2mw 2 жыл бұрын

Ben Felix Rolling his eyes at 59:06 is the best thing I've seen today.

@AAkCN1 2 жыл бұрын

Thx alot. Awesome episode again!!!

@lorenzom7237 2 жыл бұрын

wow , what a gem !

@adonisds 2 жыл бұрын

I wasn't expecting the Spanish Inquisition!

@CptLasia 2 жыл бұрын

Great interview, thanks for arranging it. Does anyone understand why either future cash flows/dividends are unpredictable, or the equity risk premium/discount rates, but not both?

@Tala-Ironside 2 жыл бұрын

You should join the rational reminder community, if you haven't already. Tons of great discussion and maybe an answer to your question in the episode discussion thread.

@tchevri Жыл бұрын

look for the "dogs that bark" and dogs that did not bark and return predictability literature. Names to look for Rui Ribeiro, john's student, Ivo Welch, another chicago grad, etc. etc. etc..

@ajrobbins368 2 жыл бұрын

I learned a lot. Thank you so much!

@dmoon9037 2 жыл бұрын

Which J Y Campbell paper was the “hit me like a ton of bricks” paper? 1999, 2001?

@nagesshar 2 жыл бұрын

I love it

@sheldonpetrie3706 2 жыл бұрын

The edit at 2:22 seems quite abrupt.

@rimservices 2 жыл бұрын

58:30 "Congratulations, you pass!"

@nemuritai 2 жыл бұрын

I hope he writes many more papers, they are awesome, it feels like Christmas when his papers comes out. He has mentioned in the past he is interested in studying the unusually large amount of trading as a potential topic, that would be interesting - rebalancing by active traders (active pensions etc) should not be more than 10-20% per year I imagine and their flows should net to near zero,so it is hard to explain the ~100% annual turnover in the NYSE. 'Pay for flow' likely not too large, buybacks are on the order of dividends, tax loss harvesting not too large, hard to imagine a purpose for 100% turnover. An interesting question is what is the average investor's holding period of equity in general.

@muffemod 2 жыл бұрын

I was here.

@austingonzalez1148 2 жыл бұрын

He ends on "If it feels icky don't do it", but earlier describes how there's a premium to invest in industries that people find damaging. Uses arugula being bad for the environment as a joke example. Maybe a better mantra should be, "if other people "feel icky", make money on that feeling"

@MichaelSaull 2 жыл бұрын

"Modern Modern" Portfolio Theory.... does that mean it's "Ultra Modern"?

@marikstongue5663 2 жыл бұрын

I think they mean it as "modern" modern portfolio theory

@dmoon9037 2 жыл бұрын

@@marikstongue5663 meta-MMT

@brock8232 Жыл бұрын

“If China invades Taiwan, and we do nothing about it, I would look for a decline in the stock market.” Um, so a larger war with a near-peer adversary is better for stocks..? I don’t totally follow what he’s getting at with the caveat of inaction.