Eugene Fama showed in the 1960s how hard it is to predict markets in the short run, while Robert Shiller two decades later showed how it can be done in the long run. Lars Peter Hansen developed a statistical method to test theories of asset pricing.
For their separate research, the three economists shared the $1.2 million prize - the last of this year's Nobel awards to be announced.
"Their methods have shaped subsequent research in the field and their findings have been highly influential both academically and practically," the Royal Swedish Academy of Sciences said.
Fama, 74, and Hansen, 60, are associated with the University of Chicago. Shiller, 67, is a professor at Yale University.
Hansen said he received the phone call from Sweden when he was on his way to the gym. He said he's not sure how he'll celebrate but he's "still working on taking a deep breath."
Shiller, an economist famous for having warned against bubbles in technology stocks and housing, said he reacted with disbelief when he got the call.
"People told me they thought I might win. I discounted it. Probably hundreds have been told that," he said to The Associated Press.
Fama helped revolutionize the practice of investing by showing it was difficult to predict individual stock prices in the short run. That led to the emergence of index funds as a common investment.
Shiller showed that there's more predictability in stock and bond markets in the long run. That encouraged the creation of institutional investors, such as hedge funds, that take bets on market trends.
In the late 1990s, Shiller said the stock market was overvalued "and lo and behold he was proven right" when the dot-com bubble burst in 2000, said Nobel committee secretary Peter Englund.
"He also predicted for a long time that the housing market was overvalued and again he was proven right," Englund said. The U.S. property market suffered a crash in 2007 that helped fuel the global financial crisis.
Englund said he believes the three laureates agree on the findings for which they were awarded. However, Fama and Shiller have different "interpretations of the real world," he added.
"It's no secret that for Eugene Fama the sort of null hypothesis is that markets work well and he is willing to believe that until he is proven otherwise whereas for Robert Shiller, I think his null hypothesis is that there are periods of excessive optimism and pessimism," Englund said.
Shiller is known for developing the Case-Shiller index, a leading measure of U.S. residential real estate prices, with Karl Case, a Wellesley College economist.
Hansen in the 1980s developed a statistical method to better evaluate theories such as those of Fama and Shiller.
"These are three very different kinds of people and the thing that unites them all is asset pricing," says David Warsh, who tracks academic economists on his Economic Principals blog.
Fama said his work came at a time when computers were beginning to be used by statisticians and economists, many of whom were studying stock prices because they were the most easily available data to come by.
He was getting ready to teach his first class as a Nobel laureate Monday morning. Asked whether his students would get a break, he said: "We'll see, but they're going to get an exam tomorrow anyway. They paid their money, they're gonna get the full pill."
Shiller defended finance as a part of society, arguing that if regulated properly it is "at the core of our civilization."
"It seems to some people it's selfish and money-grubbing. It doesn't really have to be that way. The financial crisis we've been through is traumatic, but we're learning from it," Shiller said.
For example, he said many students from other countries are able to study in the United States because of financial aid made possible by financial investments. He also noted that the Consumer Financial Protection Bureau, established as a result of the recession, is holding finance to higher standards.
American researchers have dominated the economics awards in recent years; the last time there was no American among the winners was in 1999.
The Nobel committees have now announced all six of the annual $1.2 million awards for 2013.
The economics award is not a Nobel Prize in the same sense as the medicine, chemistry, physics, literature and peace prizes, which were created by Swedish industrialist Alfred Nobel in 1895. Sweden's central bank added the economics prize in 1968 as a memorial to Nobel.
This year's Nobel science prizes awarded ground-breaking research on how molecules move around inside a cell, particle physics and computer modeling of chemical reactions. Canadian short-story writer Alice Munro won the Nobel Prize in literature and the Organization for the Prohibition of Chemical Weapons was awarded the Nobel Peace Prize.
All awards will be presented to the winners amid royal pageantry on Dec. 10, the anniversary of Nobel's death in 1896.
Associated Press writers Stephen Singer in Hartford, Conn., Paul Wiseman in Washington and Don Babwin and Ashley Heher in Chicago, contributed to this report.