EFF: Promarket, a publication of the Stigler Center at the University of Chicago Booth School of Business, asked a range of experts to reflect on the 50th anniversary of Milton Friedman’s influential New York Times article on the social responsibility of business. I shared my thoughts on market forces, stakeholder capitalism, and ESG. You can read the full article here.
EFF: I was honored to be the recipient of the American Enterprise Institute's 2014 Irving Kristol Award at their annual dinner May 6. The institute has posted a video of the dinner, which includes an interview with me conducted by Paul Gigot of the Wall Street Journal at the 20 minute mark.
EFF: My undergraduate alma mater, Tufts University, features my life and academic career in their Winter 2014 magazine.
EFF: In an interview for Nobel Media, Adam Smith and I spoke on many topics, including the pros and cons of having research debated in the public sphere and the unique research environment at Chicago. You can find the podcast here.
EFF: I shared with CNNMoney a piece of advice I received from a statistics professor that has guided my research for 50 years.
EFF: In an interview with Client Insights host Dan Richards, I explain the key findings of the paper "Luck vs. Skill in Mutual Fund Performance" that Ken French and I published in 2010. Looking at funds over their entire lifetimes, only 3% demonstrate skill after accounting for their fees, and that's what you would expect purely based on chance. Even the active funds that have generated extraordinary returns are unlikely to do better than a low-cost passive fund in the future.
EFF: I talked with Client Insights host Dan Richards about the problems with the Capital Asset Pricing Model (CAPM) and the development of the Fama/French three-factor model as a more accurate way of determining how average returns differ from one another. I also explain why higher expected returns for small and value stocks should persist.
EFF: I spoke with Client Insights host Dan Richards about the importance of effectively communicating the risks associated with equity investing. Also, I discuss how Warren Buffett's success is more properly viewed in the context of business ownership than equity investment.
EFF: Last week I was interviewed by James Mackintosh from the Financial Times. We discussed the relevance of market efficiency for investors, the definition of market "bubbles," and measurements of active manager outcomes. Watch the seven-minute interview here: Defending efficient markets (Financial Times).
EFF: I spoke with EconTalk host Russ Roberts about how the efficient market hypothesis relates to macroeconomic events of the past few years, with some additional thoughts on behavioral finance and the evolving nature of financial academic research.
Professor Eugene Fama discusses the connections between the financial crisis of 2008 and efficient markets, economic growth, and market volatility with students from the Chicago Booth Finance Club on October 15 at the Gleacher Center.
KRF: The Squam Lake Group recently published "The Squam Lake Report: Fixing the Financial System". We launched the book with a conference in New York.
KRF: Professor Robert Lucas of the University of Chicago has an interesting guest article in The Economist, "In defense of the dismal science."
EFF/KRF: For an interesting and colorful economic analysis of the proposed U.S. Healthcare Bill we recommend "Health Care Mythology" by Cliff Asness, a Chicago Booth Ph.D.
EFF/KRF: Our new paper, Luck versus Skill in the Cross Section of Mutual Fund Alpha Estimates, takes another look at the performance of mutual funds. Bootstrap simulations produce no evidence that any managers have enough skill to cover the costs they impose on investors. If there are managers with sufficient skill to cover costs, they are hidden among the mass of managers with insufficient skill.
KRF: If you are looking for historical returns on our three factors and many other interesting portfolios, you can find them on my web site.
EFF/KRF: The Economist provides unusually clear and accurate analysis of economic and financial issues. You can download podcasts from The Economist on iTunes.
EFF/KRF: There is often a two or three year gap between the first draft of a paper and publication in a top finance journal. Most financial economists post their working papers on SSRN.com and, because the publication process is so slow, that is where they look for the latest research. Most papers on SSRN are available for free.
Ours are available here:
- Papers by Fama (SSRN)
- Papers by French (SSRN)
EFF/KRF: Gary Becker (University of Chicago faculty member in economics and business and a Nobel Prize winner in economics) and Richard Posner (University of Chicago Law School professor and a US Appellate Judge) are intellectual giants of economics and law. Whatever they have to say is worth a read.
EFF/KRF: The IGM (Initiative on Global Markets of the University of Chicago Booth School of Business) web site has lots of good stuff from op eds to links to serious academic papers of the business school faculty.
Behavioral Finance (1)
Economic Policy (4)
Financial Markets (2)
Hedge Funds (2)
Market Efficiency (5)
Eugene Fama and Ken French are members of the Board of Directors of the general partner of, and provide consulting services to Dimensional Fund Advisors LP.