Eugene F. Fama
· Robert R. McCormick Distinguished Service Professor of FinanceUniversity of Chicago · Finance
Active 1963–2025
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About
Eugene F. Fama, 2013 Nobel laureate in economic sciences, is widely recognized as the "father of modern finance." His research is well known in both the academic and investment communities. He is strongly identified with research on markets, particularly the efficient markets hypothesis. He focuses much of his research on the relation between risk and expected return and its implications for portfolio management. His work has transformed the way finance is viewed and conducted.
Research topics
- Economics
- Physics
- Econometrics
- Law
- Market economy
- Accounting
- Financial economics
- Finance
- Microeconomics
- Mathematics
Selected publications
Short- Term Interest Rates as Predictors of Inflation
American Economic Review · 2021 · 885 citations
1st authorCorrespondingComparing Cross-Section and Time-Series Factor Models
Review of Financial Studies · 2019-08-15 · 228 citations
articleOpen access1st authorAbstract We use the cross-section regression approach of Fama and MacBeth (1973) to construct cross-section factors corresponding to the time-series factors of Fama and French (2015). Time-series models that use only cross-section factors provide better descriptions of average returns than time-series models that use time-series factors. This is true when we impose constant factor loadings and when we use time-varying loadings that are natural for time-series factors and time-varying loadings th…
Contract costs, stakeholder capitalism, and ESG
European Financial Management · 2020 · 90 citations
1st authorCorrespondingAbstract Observed contract structures are competitive solutions to the problem of maximizing stakeholder welfare when contracting is costly. Winning contract structures typically set fixed payoffs for most stakeholders, with residual risk borne by shareholders, who then get most of the decision rights. With rising interest in environmental, social, and governance (ESG) issues, there is sentiment for replacing the max shareholder wealth decision rule with max shareholder welfare. This view does n…
The Review of Asset Pricing Studies · 2020 · 76 citations
1st authorCorrespondingAbstract Value premiums, which we define as value portfolio returns in excess of market portfolio returns, are on average much lower in the second half of the July 1963–June 2019 period. But the high volatility of monthly premiums prevents us from rejecting the hypothesis that expected premiums are the same in both halves of the sample. Regressions that forecast value premiums with book-to-market ratios in excess of market (BM–BMM) produce more reliable evidence of second-half declines in expect…
SSRN Electronic Journal · 2020-01-01 · 13 citations
articleOpen access1st authorCorresponding
Frequent coauthors
- 134 shared
Kenneth R. French
Dartmouth College
- 24 shared
Michael C. Jensen
- 10 shared
Richard Roll
California Institute of Technology
- 6 shared
G. William Schwert
University of Rochester
- 5 shared
Merton H. Miller
University of Chicago
- 4 shared
James D. MacBeth
- 4 shared
Milton Friedman
- 3 shared
Gary D. Eppen
Education
- 1960
B.S.
Tufts University
- 1964
Other
University of Chicago Graduate School of Business
- 1964
Ph.D.
University of Chicago Graduate School of Business
Awards & honors
- First elected fellow of the American Finance Association (20…
- Fellow of the Econometric Society
- Fellow of the American Academy of Arts and Sciences
- Deutsche Bank Prize in Financial Economics (2005)
- Morgan Stanley American Finance Association Award for Excell…
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