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The Fama Portfolio
Selected Papers of Eugene F. Fama
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Eugene F. Fama
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Edited by:
John H. Cochrane
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With contributions by:
John H. Cochrane
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Preface by:
John H. Cochrane
Language:
English
Published/Copyright:
2017
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.
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 / Editor 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.”
— BloombergTopics
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Frontmatter
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Contents
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Preface
ix - I. Introductions
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My Life in Finance
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Things I’ve Learned from Gene Fama
24 -
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Gene Fama’s Impact A Quantitative Analysis
30 - II. Efficient Markets
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Efficient Markets and Empirical Finance
53 -
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The Great Divide
63 -
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Efficient Capital Markets A Review of Theory and Empirical Work
76 -
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Efficient Capital Markets II
122 -
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Market Efficiency, Long- Term Returns, and Behavioral Finance
174 - III. Efficiency Applied Event Studies and Skill
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Fama, Fisher, Jensen, and Roll (1969) Retrospective Comments
203 -
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Eugene Fama and Industrial Organization
213 -
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Luck versus Skill
243 -
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Luck versus Skill and Factor Selection
250 -
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Luck versus Skill in the Cross- Section of Mutual Fund Returns
261 - IV. Risk and Return
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Risk and Return
303 -
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Risk, Return, and Equilibrium Empirical Tests
315 -
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The Cross- Section of Expected Stock Returns
349 -
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Common Risk Factors in the Returns on Stocks and Bonds
392 -
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Multifactor Explanations of Asset Pricing Anomalies
450 - V. Return Forecasts and Time- Varying Risk Premiums
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Return Forecasts and Time- Varying Risk Premiums
487 -
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Short- Term Interest Rates as Predictors of Inflation
502 -
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Forward Rates as Predictors of Future Spot Rates
524 -
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Forward and Spot Exchange Rates
544 -
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Dividend Yields and Expected Stock Returns
568 -
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The Information in Long- Maturity Forward Rates
596 - VI. Corporate Finance and Banking
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Corporate Finance
617 -
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Agency Problems and the Theory of the Firm
624 -
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Separation of Ownership and Control
645 -
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Dividend Policy An Empirical Analysis
671 -
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Disappearing Dividends Changing Firm Characteristics or Lower Propensity to Pay?
707 -
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Financing Decisions Who Issues Stock?
750 -
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Banking in the Theory of Finance
789 -
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Our Colleague
809 -
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Contributors
815
Publishing information
Pages and Images/Illustrations in book
eBook published on:
January 20, 2021
eBook ISBN:
9780226426983
Pages and Images/Illustrations in book
eBook ISBN:
9780226426983
Keywords for this book
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
Audience(s) for this book
For an expert adult audience, including professional development and academic research
