Rational Reminder EP 250: Prof. John Y. Campbell: Décisions financières pour les investisseurs à long terme

Naviguer dans le monde de la finance et de l’investissement est indéniablement compliqué. Et trop souvent, les personnes qui commettent les erreurs financières les plus coûteuses sont celles qui peuvent le moins se le permettre. Mais qu’est-ce qui doit changer exactement pour que davantage de personnes prennent des décisions financières judicieuses et bien informées ? Et comment mettre en œuvre ces changements ? John Y. Campbell, économiste anglo-américain, professeur d’économie à Harvard et associé fondateur d’Arrow Street Capital, une société de gestion systématique d’actifs basée à Boston, nous rejoint aujourd’hui pour nous aider à analyser ce sujet et les nombreuses décisions à prendre dans le monde de l’investissement. John a publié des centaines d’articles sur des sujets aussi variés que les revenus fixes, l’évaluation de l’égalité, les choix de portefeuille et les finances des ménages, que nous explorons aujourd’hui dans le cadre d’une conversation expansive. Nous commençons par discuter de la théorie de l’utilité, de son importance pour l’étude de la finance et de ce qu’elle peut nous apprendre sur l’aversion au risque, avant d’aborder la structure des portefeuilles, l’allocation d’actifs et les opérations de couverture. John développe également l’étude de la finance des ménages, les erreurs qu’ils commettent généralement, les raisons pour lesquelles leur comportement tend à s’écarter des prédictions théoriques et la manière d’aligner la théorie et le comportement. Pour conclure, nous discutons de la manière dont la culture financière, l’éducation et la réglementation peuvent améliorer les résultats pour les ménages, avant d’écouter les conseils de John sur la sélection d’un contrat hypothécaire optimal, ainsi qu’un aperçu du type de risque auquel les contrats hypothécaires vous exposent. L’épisode d’aujourd’hui regorge d’informations et de points de vue de la part d’une personnalité universitaire extrêmement compétente.

Key Points From This Episode:

• • An overview of asset pricing theory; unpacking the utility function in finance, what it teaches
  • us about being risk averse, and how it is used to determine the value we place on any
  • amount of money. (0:04:01)
  • The implications of using the Capital Asset Pricing Model (CAPM) for portfolio choice.
    (0:13:58)
  • The difference between arbitrage pricing theory and the Intertemporal Capital Asset Pricing
    Model (ICAPM). (0:18:15)
  • How predictability in stock returns affects portfolio advice for long-term investors and why
    John prefers the cyclically adjusted price-to-earnings (CAPE) ratio. (0:23:40)
  • Why a long-term inflation index bond is the ideal risk-free asset for a long-term investor, and
    how portfolio advice, concerning bonds, changes when inflation index bonds are not
    available. (0:28:32)
  • The impact that labour income should have on optimal portfolio choice and the relationship
    between human capital and financial assets as you age. (0:35:31)
  • © 2023 Rational Reminder Podcast 1
  • RRP 250 Show Notes
  • Learn about John’s 2003 paper entitled ‘Bad Beta, Good Beta’ and how intertemporal asset
    pricing explains differences in returns between value and growth stocks. (0:38:33)
  • The benefits and drawbacks of value investing: why historically they do well on average, but
    extremely poorly over certain periods. (0:41:12)
  • A breakdown of stochastic volatility and how it affects portfolio choice for long-term investors.
    (0:47:16)
  • How long-term equity investors should approach foreign currency hedging in their portfolios,
    and how fixed-income investors should deal with foreign currency exposure. (0:50:07)
  • The study of household finance, what it aims to answer, and the major challenges in this area
    of study. (0:53:54)
  • An overview of the mistakes that households typically make, how costly they can be, and why
    household behaviour tends to differ from theoretical predictions. (0:59:57)
  • Suggestions on how household behaviour and theoretical predictions can be brought into
    alignment and the methods that have the most potential to improve outcomes for households.
    (01:04:47)
  • What households should take into account when selecting an optimal mortgage contract and
    the different types of risk that mortgage contracts expose people to.[01:10:18]
  • How John’s definition of success has shifted over the years, the joy of academia, and why he
    is especially grateful for the opportunity to connect with students on their educational journey.
    (01:16:04)

Participate in our Community Discussion about this Episode:

https://community.rationalreminder.ca/t/episode-250-prof-john-y-campbell-financial-decisions-for-long-term-investors-discussion-thread/23202

Links From Today’s Episode:

Rational Reminder on iTunes — https://itunes.apple.com/ca/podcast/the-rational-reminder-podcast/id1426530582.
Rational Reminder Website — https://rationalreminder.ca/ 

Shop Merch — https://shop.rationalreminder.ca/

Join the Community — https://community.rationalreminder.ca/

Follow us on Twitter — https://twitter.com/RationalRemind

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Benjamin on Twitter — https://twitter.com/benjaminwfelix

Cameron on Twitter — https://twitter.com/CameronPassmore

John Y. Campbell — https://scholar.harvard.edu/campbell/home

‘Who Should Buy Long-Term Bonds’ — https://www.nber.org/system/files/working_papers/w6801/w6801.pdf

‘Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds’ — https://scholar.harvard.edu/files/campbell/files/campbellsunderamviceira_20160523.pdf

‘Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns’ — https://scholar.harvard.edu/sites/scholar.harvard.edu/files/campbell/files/gorg20090319_copyedited.pdf

‘Bad Beta, Good Beta’ — https://scholar.harvard.edu/sites/scholar.harvard.edu/files/campbell/files/bbgb_2004_nberw9509.pdf

‘An Intertemporal CAPM with Stochastic Volatility’ — https://scholar.harvard.edu/sites/scholar.harvard.edu/files/campbell/files/cgpt_volatilityrisk20170123final.pdf

‘Global Currency Hedging’ — https://scholar.harvard.edu/sites/scholar.harvard.edu/files/campbell/files/globalcurrencyhedging_20090128_manuscript.pdf

‘Biases in long-horizon predictive regressions’ — https://www.sciencedirect.com/science/article/abs/pii/S0304405X21004013

‘What Drives Booms and Busts in Value?’ — https://scholar.harvard.edu/sites/scholar.harvard.edu/files/campbell/files/cgp_valueboomsbusts_20230311.pdf

‘Household Finance’ — https://scholar.harvard.edu/sites/scholar.harvard.edu/files/campbell/files/householdfinance_jof_2006.pdf

‘The Cross-Section of Household Preferences’ — https://scholar.harvard.edu/sites/scholar.harvard.edu/files/campbell/files/calvetcampbellgomessodini_20221027.pdf

‘Restoring Rational Choice: The Challenge of Consumer Financial Regulation’ — https://scholar.harvard.edu/sites/scholar.harvard.edu/files/campbell/files/elylecture_march2016.pdf

‘Down or Out: Assessing the Welfare Costs of Household Investment Mistakes’ — https://www.journals.uchicago.edu/doi/abs/10.1086/524204

‘A Model of Mortgage Default’ — https://scholar.harvard.edu/sites/scholar.harvard.edu/files/campbell/files/mortdefault13022014.pdf

‘Household Risk Management and Optimal Mortgage Choice’ — https://scholar.harvard.edu/campbell/publications/household-risk-management-and-optimal-mortgage-choice

‘Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?’ — https://www.nber.org/papers/w11468

‘An Asset Allocation Puzzle’ — https://www.nber.org/papers/w4857