From Marginal Revolution: Tyler Cowen:
I wish we could somehow turn this prize into an opportunity to advance the ball with respect to public knowledge of the financial sector and how it works in the economy. Somehow I don't think we will.
There are two big questions:
Suppose you had some kind of societal calculating mechanism to produce co-state variables for assets, enterprises, and extra resources in various states of the world in order to aid in decentralized social planning, and you fed that calculating mechanism up-to-date information on tastes, technologies, the distribution of wealth, and the social welfare function consistent with that distribution of wealth. Would the values such a societal calculating mechanism would come up with if it were efficient be close to the values produced by our financial markets? Answer: NO!
If the market efficient in the sense that it is very hard to beat? Answer: YES! You can beat the market--consistently attain surplus over-and-above what you would get from a simple buy-and-hold portfolio calibrated to your risk tolerance--only to the extent that you (a) have different liquidity needs than the market, (b) have a different time preference slope than the market, or (c ) know more than the market in the sense of having better information either about fundamentals or about future market psychology than the investment-weighted average of others' opinions that are the market's prices.
Of the three prize recipients, Shiller understands both (1) and (2). It's pretty clear to me that Fama doesn't. I'm unsure about Hansen…