Thursday, March 8, 2018

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 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):

  1. Preface;
  2. Efficient Markets and Empirical Finance
  3. Luck vs. Skill;
  4. Risk and Return
  5. Return Forecasts and Time Varying Risk Premiums
  6. 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. Moskowitz
I. Introductions
My Life in Finance
Eugene F. Fama
Things I’ve Learned from Gene Fama
Kenneth R. French
Gene Fama’s Impact: A Quantitative Analysis
G. William Schwert and René M. Stulz
II. Efficient Markets
Efficient Markets and Empirical Finance
John H. Cochrane and Tobias J. Moskowitz
The Great Divide
Clifford Asness and John Liew
Efficient Capital Markets: A Review of Theory and Empirical Work
Eugene F. Fama
Efficient Capital Markets: II
Eugene F. Fama
Market Efficiency, Long-Term Returns, and Behavioral Finance
Eugene F. Fama
III. Efficiency Applied: Event Studies and Skill
Fama, Fisher, Jensen, and Roll (1969): Retrospective Comments
Ray Ball
Eugene Fama and Industrial Organization
Dennis W. Carlton
The Adjustment of Stock Prices to New Information
Eugene F. Fama, Lawrence Fisher, Michael C. Jensen, and Richard Roll
Luck versus Skill
John H. Cochrane and Tobias J. Moskowitz
Luck vs. Skill and Factor Selection
Campbell R. Harvey and Yan Liu
Luck versus Skill in the Cross-Section of Mutual Fund Returns
Eugene F. Fama and Kenneth R. French
IV. Risk and Return
Risk and Return
John H. Cochrane and Tobias J. Moskowitz
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama and James D. MacBeth
The Cross-Section of Expected Stock Returns
Eugene F. Fama and Kenneth R. French
Common Risk Factors in the Returns on Stocks and Bonds
Eugene F. Fama and Kenneth R. French
Multifactor Explanations of Asset Pricing Anomalies
Eugene F. Fama and Kenneth R. French
V. Return Forecasts and Time-Varying Risk Premiums
Return Forecasts and Time Varying Risk Premiums
John H. Cochrane
Short-Term Interest Rates as Predictors of Inflation
Eugene F. Fama
Forward Rates as Predictors of Future Spot Rates
Eugene F. Fama
Forward and Spot Exchange Rates
Eugene F. Fama
Dividend Yields and Expected Stock Returns
Eugene F. Fama and Kenneth R. French
The Information in Long-Maturity Forward Rates
Eugene F. Fama and Robert R. Bliss
VI. Corporate Finance and Banking
Corporate Finance
Amit Seru and Amir Sufi
Agency Problems and the Theory of the Firm
Eugene F. Fama
Separation of Ownership and Control
Eugene F. Fama and Michael C. Jensen
Dividend Policy: An Empirical Analysis
Eugene F. Fama and Harvey Babiak
Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?
Eugene F. Fama and Kenneth R. French
Financing Decisions: Who Issues Stock?
Eugene F. Fama and Kenneth R. French
Banking in the Theory of Finance
Eugene F. Fama
Conclusion: Our Colleague, by John H. Cochrane and Tobias J. Moskowitz


  1. Keeping the trading queues short says it all.

  2. I just got this through Inter Library Loan.

  3. I left the GSB in 1972 armed with Fama's work. I went to the CBOE in 1977 and subsequently managed risk, traders and hedge funds. In every circumstance, we used Gene's work, as it evolved, with considerable success. That the Nobel Committee took nearly fifty years to recognize Fama's towering body of research is astonishing.

  4. Thanks from Brazil, Professor. It is in my wishlist


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