The Fama Portfolio
Selected Papers of Eugene F. Fama
9780226426846
9780226426983
The Fama Portfolio
Selected Papers of Eugene F. Fama
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.
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.
584 pages | 2 halftones | 6 x 9 | © 2017
Economics and Business: Business--Business Economics and Management Studies, Economics--General Theory and Principles, Economics--Money and Banking
Reviews
Table of Contents
Preface, by John H. Cochrane and Tobias J. Moskowitz
I. Introductions
My Life in Finance
Efficient Markets and Empirical Finance
Fama, Fisher, Jensen, and Roll (1969): Retrospective Comments
Risk and Return
Return Forecasts and Time Varying Risk Premiums
Corporate Finance
Contributors
I. Introductions
My Life in Finance
Eugene F. Fama
Things I’ve Learned from Gene FamaKenneth R. French
Gene Fama’s Impact: A Quantitative AnalysisG. William Schwert and René M. Stulz
II. Efficient MarketsEfficient Markets and Empirical Finance
John H. Cochrane and Tobias J. Moskowitz
The Great DivideClifford Asness and John Liew
Efficient Capital Markets: A Review of Theory and Empirical WorkEugene F. Fama
Efficient Capital Markets: IIEugene F. Fama
Market Efficiency, Long-Term Returns, and Behavioral FinanceEugene F. Fama
III. Efficiency Applied: Event Studies and SkillFama, Fisher, Jensen, and Roll (1969): Retrospective Comments
Ray Ball
Eugene Fama and Industrial OrganizationDennis W. Carlton
The Adjustment of Stock Prices to New InformationEugene F. Fama, Lawrence Fisher, Michael C. Jensen, and Richard Roll
Luck versus SkillJohn H. Cochrane and Tobias J. Moskowitz
Luck vs. Skill and Factor SelectionCampbell R. Harvey and Yan Liu
Luck versus Skill in the Cross-Section of Mutual Fund ReturnsEugene F. Fama and Kenneth R. French
IV. Risk and ReturnRisk and Return
John H. Cochrane and Tobias J. Moskowitz
Risk, Return, and Equilibrium: Empirical TestsEugene F. Fama and James D. MacBeth
The Cross-Section of Expected Stock ReturnsEugene F. Fama and Kenneth R. French
Common Risk Factors in the Returns on Stocks and BondsEugene F. Fama and Kenneth R. French
Multifactor Explanations of Asset Pricing AnomaliesEugene F. Fama and Kenneth R. French
V. Return Forecasts and Time-Varying Risk PremiumsReturn Forecasts and Time Varying Risk Premiums
John H. Cochrane
Short-Term Interest Rates as Predictors of InflationEugene F. Fama
Forward Rates as Predictors of Future Spot RatesEugene F. Fama
Forward and Spot Exchange RatesEugene F. Fama
Dividend Yields and Expected Stock ReturnsEugene F. Fama and Kenneth R. French
The Information in Long-Maturity Forward RatesEugene F. Fama and Robert R. Bliss
VI. Corporate Finance and BankingCorporate Finance
Amit Seru and Amir Sufi
Agency Problems and the Theory of the FirmEugene F. Fama
Separation of Ownership and ControlEugene F. Fama and Michael C. Jensen
Dividend Policy: An Empirical AnalysisEugene F. Fama and Harvey Babiak
Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?Eugene F. Fama and Kenneth R. French
Financing Decisions: Who Issues Stock?Eugene F. Fama and Kenneth R. French
Banking in the Theory of FinanceEugene F. Fama
Conclusion: Our Colleague, by John H. Cochrane and Tobias J. MoskowitzContributors