Como é que as grandes questões económicas são discutidas entre académicos de topo? Com dúvidas, humor e muitos smiles. Pelo menos, é o que se depreende de uma troca de e-mails – que agora foi tornada pública – entre o teórico dos mercados eficientes, Eugene Fama, e alguns ex-alunos.

 

Tudo começou com um “reparo” feito por Fama, na sequência de uma apresentação pública, em que este questionava o porquê de os economistas fazerem referência a uma suposta “bolha de activos” no sector das comunicações no início do século XX. As respostas sucederam-se a partir daí – John Cochrane entrou a meio na conversa -, com Fama e os seus ex-alunos a trocarem opiniões acerca da definição de bolha, preços de activos e análise fundamental.

 

A troca de e-mails pode ser consultada neste site (ligeiramente editada). Em baixo, citamos apenas a primeira parte.

 

Fama:

 

I enjoyed your review of the IPO literature in the August JF.  But I think
it's spoiled by repeated unsubstantiated use of the term “internet bubble.”
What exactly do you mean by a “bubble” and what is the scientific evidence
that this was one?  I'm surprised that this term didn't ring a bell with the
editor as a blatant example of loose talk that shouldn't be allowed in a
scientific journal.  Except on this point, you are clear when you are
stating personal opinions, and I have no quarrel with that.

Resposta:

 

hi Gene: Thanks for your comments.  I think you are correct, in that we
should have stated once that we are using the term bubble just loosely. The
justification is that the reader (public+profession) already has the
appropriate association.  Even you knew what we meant (plus, it seemed to
have kept you awake! 😉 ), and it must have been easier reading “during the
Internet bubble” than a constant reiteration of “slowly beginning with the
Netscape IPO of 1995, happening mostly in the tech sector, Nasdaq increasing
from about 1000 in 1995 to 4600 in March 2000, and then descending back down
to 1200 today.”

However, I am curious myself now:

 

• What sort of evidence would it take for you to conclude that a bubble
  exist(ed)?
• (And, vica-versa, what sort of evidence would it take for you to
  conclude that no bubble exist(ed)?)

PS: Mind you, I believe that there are no bubbles where money-making is
easy.  We are talking about prices deviating from underlying fundamentals,
and exploitation being difficult due to the long-run nature, high
volatility, and high transaction costs.  As one of your former students, may
I suggest that we adopt a different taxonomy of Market Efficiency now?

   – believer:    prices are always equal to fundamentals <– Gene Fama  😉
   – mild believer:   prices sometimes deviate, but exploitation is very difficult.  <– Ivo Welch
   – unbeliever: prices are often so far off that great bets or even arbitrage pop up all the time.  <– Richard Thaler 😉