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Please do not quote.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).
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.