Nemmers Prize lecturer focuses on asset valuation
Lars Peter Hansen, the Homer J. Livingston Distinguished Service Professor at the University of Chicago, delivered the Erwin Plein Nemmers Prize Lecture on Oct. 25 in the McCormick Tribune Center at Northwestern University. Widely recognized as one of the foremost empirical economists, Hanson was awarded the 2006 Nemmers Prize in Economics, a biennial distinction that carries an award of $150,000.
His lecture was titled “Toward a Term Structure of Macroeconomic Risk: Pricing Unexpected Growth Fluctuations.”
In his address, Hansen explored an understanding of statistical and economic inputs in value calculations, including how martingale methods — a tool of probability theory used by Hansen and his co-authors — have presented challenges for statistical measurement. This work has implications for asset valuation, the estimation of which represents a central problem in finance and asset pricing. Hansen’s research has focused on the dynamic properties of financial markets and how these reflect uncertainties present in the larger macroeconomic environment.
He and Kellogg School Finance Professor Ravi Jagannathan have collaborated on the influential “Implications of Security Market Data for Models of Dynamic Economies,” published in the Journal of Political Economy in 1991. The research gave rise to the term “Hansen-Jagannathan bounds,” a technical framework used by scholars whose work involves asset-pricing models.
The lecture was part of a series made possible through gifts to Northwestern University. In 1994, Erwin Esser Nemmers and his brother, Frederic E. Nemmers, donated $14 million to establish four endowed professorships in the Kellogg School of Management, along with biennial prizes in economics, mathematics and, more recently, musical composition. Among the previous six winners of the Nemmers Prize in Economics have been Robert Aumann (1998), Daniel McFadden (2000) and Edward Prescott (2002), all of whom have won Nobel Prizes in economic science.
Erwin Nemmers was a member of the Kellogg School faculty from 1957 until his retirement in 1986. The Nemmers Prize endowment was designed to honor “work of lasting significance” in a variety of academic areas, from economics and mathematics to fields such as geology, engineering and music.