Eugene Fama

Person · Open Library

Works

9

via Open Library + Wikidata

Music · MusicBrainz

Type

Group

Country

US

Active from

1989

via MusicBrainz · CC0

Listeners · Last.fm

Listeners

1

Total plays

1

<a href="https://www.last.fm/music/Eugene+Fama">Read more on Last.fm</a>

via Last.fm · Eugene Fama

Recent publications · Crossref

5 total works indexed

1. Basic local alignment search tool

   · 1990 · cited 80,810x

2. Common risk factors in the returns on stocks and bonds

   · 1993 · cited 20,497x

3. Initial sequencing and analysis of the human genome

   · 2001 · cited 18,612x

4. A global reference for human genetic variation

   · 2015 · cited 17,770x

5. Global burden of 369 diseases and injuries in 204 countries and territories, 1990–2019: a systematic analysis for the Global Burden of Disease Study 2019

   · 2020 · cited 15,951x

via Crossref · CC0

Quotes

• “The question is when is good? The answer is never.”
• “If active managers win, it has to be at the expense of other active managers. And when you add them all up, the returns of active managers have to be literally zero, before costs. Then after costs, it's a big negative sign”
• “If assets are priced rationally, variables that are related to average returns, such as size and book-to-market equity, must proxy for sensitivity to common (shared and thus undiversifiable) risk factors in returns. The time-series regressions give direct evidence on this issue. In particular, the slopes and R2 values show whether mimicking portfolios for risk factors related to size and [book-to-market] capture shared variation in stock and bond returns not explained by other factors.”
• “Although size and book to market equity seem like ad hoc variables for explaining average stock returns, we have reason to expect that they proxy for common risk factors in returns.”
• “Firms that have a high BE/ME (a low stock price relative to book value) tend to have low earnings on assets. Conversely, low BE/ME (a high stock price relative to book value) is associated with persistently high earnings.”
• “The empirical successes of [the three-factor model] suggest that it is an equilibrium pricing model, a three-factor version of Merton’s (1973) intertemporal CAPM (ICAPM) or Ross’s (1976) arbitrage pricing theory (APT). In this view, SMB and HML mimic combinations of two underlying risk factors or state variables of special hedging concern to investors.”

via Wikiquote · CC BY-SA

Key facts

Born

( 1939-02-14 ) February 14, 1939 (age 87) , Boston, Massachusetts , U.S.

Alma mater

Tufts University ( BA ), University of Chicago ( MBA , PhD )

Thesis

The Distribution of the Daily Differences of the Logarithms of Stock Prices (1964)

Doctoral advisor

Merton Miller , Harry V. Roberts

Discipline

Financial economics , Organizational economics , Macroeconomics

School or tradition

Chicago School of Economics

Institutions

University of Chicago

Doctoral students

Cliff Asness , Myron Scholes , Mark Carhart

Notable ideas

Fama–French three-factor model , Efficient-market hypothesis

Awards

2005 Deutsche Bank Prize in Financial Economics , 2008 Morgan Stanley-American Finance Association Award, Nobel Memorial Prize in Economics (2013)

Website

Information at IDEAS / RePEc

via Wikipedia infobox

🏅Nobel Prize

• The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel2013

  “for their empirical analysis of asset prices”

  Shared · 1/3 portion