Why Those Guys Won the Economics Nobels
Harvard Business Review
APRIL 2, 2014
Back in the ‘60s, people developed the capital asset pricing model [CAPM] as a way to do that. And the theory that was available then was CAPM. So when Fama started, the cross-sectional model was the CAPM, and for the time series people just said well let’s just assume that risks don’t change over time, so whatever risk adjustment there is it’s the same today, tomorrow, and thereafter. That is, potentially amazing technology if you can only figure out how it works.