The Fama Portfolio
The Fama Portfolio, is a new book from the University of Chicago Press. This is a collection of Gene Fama's papers, edited by Toby Moskowitz and me. It includes introductory essays by a group of Gene's distinguished colleagues, Ken French, Bill Schwert, René Stulz, Cliff Asness, John Liew, Campbell Harvey, Jan Liu, Amit Seru, and ...
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, is a new book from the University of Chicago Press. This is a collection of Gene Fama's papers, edited by Toby Moskowitz and me. It includes introductory essays by a group of Gene's distinguished colleagues, Ken French, Bill Schwert, René Stulz, Cliff Asness, John Liew, Campbell Harvey, Jan Liu, Amit Seru, and Amir Sufi.
The essays explain the ideas in modern terms, tell you why the papers are important, explain how the papers influenced subsequent thinking, update you on where our understanding on each point is today, and speculate about where new ideas may go. The continuing vitality of this work, even parts decades old, is impressive.
The task was hard. Which Fama papers should one read? Well, all of them! but we nonetheless had to pick. We typically chose a famous one from early in one of Gene's many research programs, and then a less known later one that really sums it up clearly. Gene's ideas get clearer over time, just like the rest of ours do.
The press lets us post our essays. Here are mine (most joint with Toby):
- Efficient Markets and Empirical Finance;
- Luck vs. Skill;
- Risk and Return;
- Return Forecasts and Time Varying Risk Premiums;
- Our Colleague.
Other authors may post their essays on their webpages. Otherwise, you'll just have to buy the book!
The contents:Preface, by John H. Cochrane and Tobias J. MoskowitzI. IntroductionsMy Life in Finance
Eugene F. FamaThings I’ve Learned from Gene Fama
Kenneth R. FrenchGene Fama’s Impact: A Quantitative Analysis
G. William Schwert and René M. StulzII. Efficient MarketsEfficient Markets and Empirical Finance
John H. Cochrane and Tobias J. MoskowitzThe Great Divide
Clifford Asness and John LiewEfficient Capital Markets: A Review of Theory and Empirical Work
Eugene F. FamaEfficient Capital Markets: II
Eugene F. FamaMarket Efficiency, Long-Term Returns, and Behavioral Finance
Eugene F. FamaIII. Efficiency Applied: Event Studies and SkillFama, Fisher, Jensen, and Roll (1969): Retrospective Comments
Ray BallEugene Fama and Industrial Organization
Dennis W. CarltonThe Adjustment of Stock Prices to New Information
Eugene F. Fama, Lawrence Fisher, Michael C. Jensen, and Richard RollLuck versus Skill
John H. Cochrane and Tobias J. MoskowitzLuck vs. Skill and Factor Selection
Campbell R. Harvey and Yan LiuLuck versus Skill in the Cross-Section of Mutual Fund Returns
Eugene F. Fama and Kenneth R. FrenchIV. Risk and ReturnRisk and Return
John H. Cochrane and Tobias J. MoskowitzRisk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama and James D. MacBethThe Cross-Section of Expected Stock Returns
Eugene F. Fama and Kenneth R. FrenchCommon Risk Factors in the Returns on Stocks and Bonds
Eugene F. Fama and Kenneth R. FrenchMultifactor Explanations of Asset Pricing Anomalies
Eugene F. Fama and Kenneth R. FrenchV. Return Forecasts and Time-Varying Risk PremiumsReturn Forecasts and Time Varying Risk Premiums
John H. CochraneShort-Term Interest Rates as Predictors of Inflation
Eugene F. FamaForward Rates as Predictors of Future Spot Rates
Eugene F. FamaForward and Spot Exchange Rates
Eugene F. FamaDividend Yields and Expected Stock Returns
Eugene F. Fama and Kenneth R. FrenchThe Information in Long-Maturity Forward Rates
Eugene F. Fama and Robert R. BlissVI. Corporate Finance and BankingCorporate Finance
Amit Seru and Amir SufiAgency Problems and the Theory of the Firm
Eugene F. FamaSeparation of Ownership and Control
Eugene F. Fama and Michael C. JensenDividend Policy: An Empirical Analysis
Eugene F. Fama and Harvey BabiakDisappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?
Eugene F. Fama and Kenneth R. FrenchFinancing Decisions: Who Issues Stock?
Eugene F. Fama and Kenneth R. FrenchBanking in the Theory of Finance
Eugene F. FamaConclusion: Our Colleague, by John H. Cochrane and Tobias J. MoskowitzContributors