Entries tagged with Academics
Dec 21, 2016
Videos

In this video, Andrew Lo—Professor of Finance at MIT Sloan—speaks with Eugene Fama about the arc of Gene’s empirical and theoretical research. The topics covered in this interview range from Gene’s PhD dissertation on The Behavior of Stock Market Prices which laid the groundwork for the Efficient Markets Hypothesis, to tests of the Capital Asset Pricing Model that ultimately set the stage for the Fama-French Three Factor Model in 1993. Andrew and Gene also discuss the application of financial research at Dimensional. The interview concludes with a forward-looking discussion on whether a “perfect portfolio” can be constructed, as well as Gene’s reflections on the Fama-French Five Factor Model (2014).

Please do not quote. To accompany the forthcoming book, In Pursuit of the Perfect Portfolio by Steve Foerster (Ivey Business School at Western University) and Andrew W. Lo (MIT).

(View the video)

 
Nov 17, 2014
Essays

KRF: Gene Fama has taught us a lot over the last 50 years. In this essay, I describe some of the things Gene has taught me about doing research, writing papers, and life in general.

 
Nov 30, 2009
Essays

By Eugene F. Fama and Kenneth R. French

Our paper, "Luck versus Skill in the Cross Section of Mutual Fund Returns," examines the performance during 1984-2006 of actively managed US mutual funds that invest primarily in US equities.  It is an academic paper with lots of technical detail.  The purpose of this white paper is to provide a summary of the results that are relevant for investors.  We begin by examining the overall α for aggregate wealth invested in actively managed mutual funds.  We then turn to the performance of individual funds.

(Read the full entry)

 
Dec 30, 2008
Links

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:

 
Dec 19, 2008
Links

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.

 
Dec 10, 2008
Links

EFF/KRFThe 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.

 
ABOUT FAMA AND FRENCH
Eugene F. Fama
The Robert R. McCormick Distinguished Service Professor of Finance at the University of Chicago Booth School of Business
Kenneth R. French
The Roth Family Distinguished Professor of Finance at the Tuck School of Business at Dartmouth College
This information is distributed for educational purposes and should not be considered investment advice or an offer of any security for sale. This article contains the opinions of the author but not necessarily Dimensional Fund Advisors and does not represent a recommendation of any particular security, strategy or investment product. Dimensional Fund Advisors is an investment advisor registered with the Securities and Exchange Commission. Information contained herein has been obtained from sources believed to be reliable, but is not guaranteed. Past performance is not indicative of future results and no representation is made that the stated results will be replicated.

Eugene Fama and Ken French are members of the Board of Directors for and provide consulting services to Dimensional Fund Advisors LP.