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
Contributors