Q&A: Cap Weighting or GDP Weighting?
What is the merit, if any, in using a country weighting scheme based on Gross Domestic Product (GDP) rather than market capitalization?(Read the full entry)
View ArticleQ&A: Why Use Book Value to Sort Stocks?
Data from Ken French's website shows that sorting stocks on E/P or CF/P data produces a bigger spread than BtM over the last 55 years. Wouldn't it make sense to use these other factors in addition to...
View ArticleEfficient Markets, Economic Growth, and Market Volatility
Professor Eugene Fama discusses the connections between the financial crisis of 2008 and efficient markets, economic growth, and market volatility with students from the Chicago Booth Finance Club on...
View ArticleQ&A: Seeking the Inefficient Asset Class
We often hear the claim that some markets are less efficient than others—small company stocks, emerging markets, foreign exchange, and so on. Is there any evidence to support this assertion?(Read the...
View ArticleQ&A: Do Low-Volatility Strategies Produce High Returns?
Baker, Bradley and Wurgler (FAJ 2011) find that low-volatility stocks in the US outperform high-volatility stocks and attribute this apparent anomaly to investor behavioral biases as well as limits to...
View ArticleQ&A: Small Stocks for the Long Run
In addressing a previous question ("Has the Equity Premium Puzzle Gone Away?"), you suggested that it requires 35 years or more to be reasonably confident of achieving a positive equity premium. Is...
View ArticleQ&A: Are Stock Returns Normally Distributed?
What is the best way to describe the distribution of stock returns—a normal distribution, lognormal, or something else? What should investors do with this information?(Read the full entry)
View ArticleFama on EconTalk Podcast
EFF: I spoke with EconTalk host Russ Roberts about how the efficient market hypothesis relates to marcoeconomic events of the past few years, with some additional thoughts on behavioral finance and...
View ArticleVolatility and Premiums
By Eugene F. Fama and Kenneth R. French Understanding volatility is crucial for informed investment decisions. Our paper explores the volatility of the market, size, and value premiums of the...
View ArticleFinancial Times Interview
EFF: Last week I was interviewed by James Mackintosh from the Financial Times. We discussed the relevance of market efficiency for investors, the definition of market "bubbles," and measurements of...
View ArticleFama: Is Warren Buffett Lucky or Skilled?
EFF: I spoke with Client Insights host Dan Richards about the importance of effectively communicating the risks associated with equity investing. Also, I discuss how Warren Buffett's success is more...
View ArticleFama: Why Small and Value Stocks Outperform
EFF: I talked with Client Insights host Dan Richards about the problems with the Capital Asset Pricing Model (CAPM) and the development of the Fama/French three-factor model as a more accurate way of...
View ArticleFama: Do Active Managers Earn Their Fees?
EFF: In an interview with Client Insights host Dan Richards, I explain the key findings of the paper "Luck vs. Skill in Mutual Fund Performance" that Ken French and I published in 2010. Looking at...
View ArticleDoes the Fed Control Interest Rates?
EFF: I have a new paper, "Does the Fed Control Interest Rates?". In it, I find that The Federal funds rate, FF, moves strongly toward the Fed's target, TF, but other rates show little day-to-day...
View ArticleFama: The Best Advice I Ever Got
EFF: I shared with CNNMoney a piece of advice I received from a statistics professor that has guided my research for 50 years.
View ArticleCongratulations, Gene
KRF: It is a privilege to congratulate my colleague Gene Fama for his well-deserved Nobel Prize. Although Gene's research has transformed our understanding of finance, his contributions to the...
View ArticleCochrane: Fama's Nobel Prize
John Cochrane explains Gene Fama's many contributions to finance. UPDATE, November 8: Professor Cochrane added to and refined his commentary on Gene's Efficient Markets work here.
View ArticleFama: What's a Bubble?
EFF: Robert Shiller and I talked with NPR about the definition of market "bubbles."
View ArticleFama: Nobel Prize Talks podcast
In an interview for Nobel Media, Adam Smith and I spoke on many topics, including the pros and cons of having research debated in the public sphere and the unique research environment at Chicago. You...
View ArticleFama's Market
EFF: My undergraduate alma mater, Tufts University, features my life and academic career in their Winter 2014 magazine.
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