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The Fama Portfolio

Selected Papers of Eugene F. Fama

Edited and with an Introduction by John H. Cochrane and Tobias J. Moskowitz
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.


“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.”


“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

Table of Contents

Preface, by John H. Cochrane and Tobias J. Moskowitz
I. Introductions
My Life in Finance
Eugene F. Fama
Things I’ve Learned from Gene Fama
Kenneth R. French
Gene Fama’s Impact: A Quantitative Analysis
G. William Schwert and René M. Stulz
II. Efficient Markets
Efficient Markets and Empirical Finance
John H. Cochrane and Tobias J. Moskowitz
The Great Divide
Clifford Asness and John Liew
Efficient Capital Markets: A Review of Theory and Empirical Work
Eugene F. Fama
Efficient Capital Markets: II
Eugene F. Fama
Market Efficiency, Long-Term Returns, and Behavioral Finance
Eugene F. Fama
III. Efficiency Applied: Event Studies and Skill
Fama, Fisher, Jensen, and Roll (1969): Retrospective Comments
Ray Ball
Eugene Fama and Industrial Organization
Dennis W. Carlton
The Adjustment of Stock Prices to New Information
Eugene F. Fama, Lawrence Fisher, Michael C. Jensen, and Richard Roll
Luck versus Skill
John H. Cochrane and Tobias J. Moskowitz
Luck vs. Skill and Factor Selection
Campbell R. Harvey and Yan Liu
Luck versus Skill in the Cross-Section of Mutual Fund Returns
Eugene F. Fama and Kenneth R. French
IV. Risk and Return
Risk and Return
John H. Cochrane and Tobias J. Moskowitz
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama and James D. MacBeth
The Cross-Section of Expected Stock Returns
Eugene F. Fama and Kenneth R. French
Common Risk Factors in the Returns on Stocks and Bonds
Eugene F. Fama and Kenneth R. French
Multifactor Explanations of Asset Pricing Anomalies
Eugene F. Fama and Kenneth R. French
V. Return Forecasts and Time-Varying Risk Premiums
Return Forecasts and Time Varying Risk Premiums
John H. Cochrane
Short-Term Interest Rates as Predictors of Inflation
Eugene F. Fama
Forward Rates as Predictors of Future Spot Rates
Eugene F. Fama
Forward and Spot Exchange Rates
Eugene F. Fama
Dividend Yields and Expected Stock Returns
Eugene F. Fama and Kenneth R. French
The Information in Long-Maturity Forward Rates
Eugene F. Fama and Robert R. Bliss
VI. Corporate Finance and Banking
Corporate Finance
Amit Seru and Amir Sufi
Agency Problems and the Theory of the Firm
Eugene F. Fama
Separation of Ownership and Control
Eugene F. Fama and Michael C. Jensen
Dividend Policy: An Empirical Analysis
Eugene 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 Finance
Eugene F. Fama
Conclusion: Our Colleague, by John H. Cochrane and Tobias J. Moskowitz

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