The Fama Portfolio

Eugene F. Fama

Published by University of Chicago Press 2017

The Fama Portfolio

Selected Papers of Eugene F. Fama

Eugene F. Fama

With contributions by: John H. Cochrane and Tobias J. Moskowitz
Edited by: John H. Cochrane and Tobias J. Moskowitz

https://doi.org/10.7208/9780226426983

Overview
Contents

About this book

Few scholars have been as influential in finance and economics as University of Chicago professor Eugene F. Fama. Over the course of a brilliant and productive career, Fama has published more than one hundred papers, filled with diverse, highly innovative contributions.

Published soon after the fiftieth anniversary of Fama’s appointment to the University of Chicago and his receipt of the Nobel Prize in Economics, The Fama Portfolio offers an authoritative compilation of Fama’s central papers. Many are classics, including his now-famous essay on efficient capital markets. Others, though less famous, are even better statements of the central ideas. Fama’s research considers key questions in finance, both as an academic field and an industry: How is information reflected in asset prices? What is the nature of risk that scares people away from larger returns? Does lots of buying and selling by active managers produce value for their clients? The Fama Portfolio provides for the first time a comprehensive collection of his work and includes introductions and commentary by the book’s editors, John H. Cochrane and Tobias Moskowitz, as well as by Fama’s colleagues, themselves top scholars and successful practitioners in finance. These essays emphasize how the ideas presented in Fama’s papers have influenced later thinking in financial economics, often for decades.

Author information

John H. Cochrane is a distinguished senior fellow at both the University of Chicago Booth School of Business and the Becker Friedman Institute at the University of Chicago. He is also a senior fellow of the Hoover Institution at Stanford University, an adjunct scholar of the Cato Institute, and a research associate of the NBER. He is the author of Asset Pricing.Tobias J. Moskowitz is the Fama Family Professor of Finance at the University of Chicago Booth School of Business, a principal and consultant at AQR Capital Management, and a research associate of the NBER.

Reviews

“Fama is among the most important and influential thinkers in economics and finance, and the exceptional essays found in The Fama Portfolio reflect the wide range and depth of scholarship that has long been associated with his work. The papers are thoughtfully chosen and carefully organized by John H. Cochrane and Tobias J. Moskowitz.”

— John Y. Campbell, Harvard University

“Fama is responsible for shaping the development of financial economics from its beginnings to the present day. The Fama Portfolio helps us understand how that happened. The volume is a testament to the staggering impact and diversity of his research.”

— Darrell Duffie, Stanford University

“Fama’s ideas have influenced a generation of thinkers without most reading the original source material. This comprehensive collection of his work seeks to right that wrong.”

— Bloomberg

Topics

Frontmatter Publicly Available Download PDF	i
Contents Publicly Available Download PDF	v
Preface John H. Cochrane and Tobias J. Moskowitz Publicly Available Download PDF	ix
I. Introductions
My Life in Finance Eugene F. Fama Requires Authentication Unlicensed Licensed Download PDF	3
Things I’ve Learned from Gene Fama Kenneth R. French Requires Authentication Unlicensed Licensed Download PDF	24
Gene Fama’s Impact A Quantitative Analysis G. William Schwert and René M. Stulz Requires Authentication Unlicensed Licensed Download PDF	30
II. Efficient Markets
Efficient Markets and Empirical Finance John H. Cochrane and Tobias J. Moskowitz Requires Authentication Unlicensed Licensed Download PDF	53
The Great Divide Clifford Asness and John Liew Requires Authentication Unlicensed Licensed Download PDF	63
Efficient Capital Markets A Review of Theory and Empirical Work Eugene F. Fama Requires Authentication Unlicensed Licensed Download PDF	76
Efficient Capital Markets II Eugene F. Fama Requires Authentication Unlicensed Licensed Download PDF	122
Market Efficiency, Long- Term Returns, and Behavioral Finance Eugene F. Fama Requires Authentication Unlicensed Licensed Download PDF	174
III. Efficiency Applied Event Studies and Skill
Fama, Fisher, Jensen, and Roll (1969) Retrospective Comments Ray Ball Requires Authentication Unlicensed Licensed Download PDF	203
Eugene Fama and Industrial Organization Dennis W. Carlton Requires Authentication Unlicensed Licensed Download PDF	213
Luck versus Skill John H. Cochrane and Tobias J. Moskowitz Requires Authentication Unlicensed Licensed Download PDF	243
Luck versus Skill and Factor Selection Campbell R. Harvey and Yan Liu Requires Authentication Unlicensed Licensed Download PDF	250
Luck versus Skill in the Cross- Section of Mutual Fund Returns Eugene F. Fama and Kenneth R. French Requires Authentication Unlicensed Licensed Download PDF	261
IV. Risk and Return
Risk and Return John H. Cochrane and Tobias J. Moskowitz Requires Authentication Unlicensed Licensed Download PDF	303
Risk, Return, and Equilibrium Empirical Tests Eugene F. Fama and James D. MacBeth Requires Authentication Unlicensed Licensed Download PDF	315
The Cross- Section of Expected Stock Returns Eugene F. Fama and Kenneth R. French Requires Authentication Unlicensed Licensed Download PDF	349
Common Risk Factors in the Returns on Stocks and Bonds Eugene F. Fama and Kenneth R. French Requires Authentication Unlicensed Licensed Download PDF	392
Multifactor Explanations of Asset Pricing Anomalies Eugene F. Fama and Kenneth R. French Requires Authentication Unlicensed Licensed Download PDF	450
V. Return Forecasts and Time- Varying Risk Premiums
Return Forecasts and Time- Varying Risk Premiums John H. Cochrane Requires Authentication Unlicensed Licensed Download PDF	487
Short- Term Interest Rates as Predictors of Inflation Eugene F. Fama Requires Authentication Unlicensed Licensed Download PDF	502
Forward Rates as Predictors of Future Spot Rates Eugene F. Fama Requires Authentication Unlicensed Licensed Download PDF	524
Forward and Spot Exchange Rates Eugene F. Fama Requires Authentication Unlicensed Licensed Download PDF	544
Dividend Yields and Expected Stock Returns Eugene F. Fama and Kenneth R. French Requires Authentication Unlicensed Licensed Download PDF	568
The Information in Long- Maturity Forward Rates Eugene F. Fama and Robert R. Bliss Requires Authentication Unlicensed Licensed Download PDF	596
VI. Corporate Finance and Banking
Corporate Finance Amit Seru and Amir Sufi Requires Authentication Unlicensed Licensed Download PDF	617
Agency Problems and the Theory of the Firm Eugene F. Fama Requires Authentication Unlicensed Licensed Download PDF	624
Separation of Ownership and Control Eugene F. Fama and Michael C. Jensen Requires Authentication Unlicensed Licensed Download PDF	645
Dividend Policy An Empirical Analysis Eugene F. Fama and Harvey Babiak Requires Authentication Unlicensed Licensed Download PDF	671
Disappearing Dividends Changing Firm Characteristics or Lower Propensity to Pay? Eugene F. Fama and Kenneth R. French Requires Authentication Unlicensed Licensed Download PDF	707
Financing Decisions Who Issues Stock? Eugene F. Fama and Kenneth R. French Requires Authentication Unlicensed Licensed Download PDF	750
Banking in the Theory of Finance Eugene F. Fama Requires Authentication Unlicensed Licensed Download PDF	789
Our Colleague John H. Cochrane and Tobias J. Moskowitz Requires Authentication Unlicensed Licensed Download PDF	809
Contributors Requires Authentication Unlicensed Licensed Download PDF	815

Language: English
Publisher: University of Chicago Press
Audience: Professional and scholarly;
Pages
- Main content: 584
Illustrations
- Other: 2 halftones
Keywords: selected works; scholar; scholarly; academic; university; college; thinker; economics; economy; finance; financial; postmortem; chicago; professor; career; life work; innovative; nobel prize; classics; capital; markets; marketplace; capitalism; united states; america; american; usa; prices; assets; textbook; lectures; seminar; stocks; stock market; rate of return; returns; clients; clientele; success; buying; selling; money; premiums; risk; banking; corporate

eBook

Published: January 20, 2021
ISBN: 9780226426983