Author Page for Kenneth R. French

1.

A Five-Factor Asset Pricing Model

Fama-Miller Working Paper

Number of pages: 52 Posted: 30 Jun 2013 Last Revised: 23 Sep 2014

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 64,137 (19)

Citation 181

Abstract:

2.

The Capital Asset Pricing Model: Theory and Evidence

Number of pages: 35 Posted: 16 Sep 2003

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 47,003 (35)

Citation 152

Abstract:

3.

Value Versus Growth: The International Evidence

Number of pages: 30 Posted: 01 May 1997

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 40,685 (46)

Citation 55

Abstract:

4.

Taxes, Financing Decisions, and Firm Value

Downloads 27,055 ( 99)

Citation 35

2

Taxes, Financing Decisions, and Firm Value

Center for Research in Security Prices (CRSP) Working Paper No.

Number of pages: 34 Posted: 01 Feb 1997

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 27,055 (97)

Citation 35

Abstract:

Taxes, Financing Decisions, and Firm Value

Posted: 28 Jul 1998

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Abstract:

5.

Luck Versus Skill in the Cross Section of Mutual Fund Returns

Tuck School of Business Working Paper No. 2009-56 , Chicago Booth School of Business Research Paper, Journal of Finance, Forthcoming

Number of pages: 43 Posted: 10 Mar 2009 Last Revised: 08 Feb 2010

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 24,414 (119)

Citation 254

Abstract:

6.

The Equity Premium

Number of pages: 29 Posted: 20 Jul 2000

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 19,640 (165)

Citation 98

Abstract:

The Equity Premium

Posted: 28 Nov 2003

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Abstract:

7.

Size, Value, and Momentum in International Stock Returns

Fama-Miller Working Paper, Tuck School of Business Working Paper No. 2011-85, Chicago Booth Research Paper No. 11-10

Number of pages: 36 Posted: 05 Dec 2010 Last Revised: 23 Jun 2011

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 14,823 (296)

Citation 149

Abstract:

8.

Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?

Number of pages: 53 Posted: 03 Feb 2000

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 11,960 (449)

Citation 133

Abstract:

9.

The Cost of Active Investing

Number of pages: 50 Posted: 16 Mar 2008 Last Revised: 12 Apr 2008

Kenneth R. French

Dartmouth College - Tuck School of Business

Downloads 10,921 (538)

Citation 39

Abstract:

10.

Characteristics, Covariances, and Average Returns: 1929-1997

Downloads 10,661 ( 562)

Citation 86

2

Characteristics, Covariances, and Average Returns: 1929-1997

Number of pages: 24 Posted: 12 Aug 1998

James L. Davis, Eugene F. Fama and Kenneth R. French

affiliation not provided to SSRN, University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 10,661 (553)

Citation 86

Abstract:

Characteristics, Covariances, and Average Returns: 1929-1997

Posted: 13 Feb 2001

James L. Davis, Eugene F. Fama and Kenneth R. French

affiliation not provided to SSRN, University of Chicago - Finance and Dartmouth College - Tuck School of Business

Abstract:

11.

The Value Premium and the CAPM

Number of pages: 30 Posted: 16 Mar 2005

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 9,443 (691)

Citation 45

Abstract:

12.

Choosing Factors

Fama-Miller Working Paper , Tuck School of Business Working Paper No. 2668236, Chicago Booth Research Paper No. 16-17

Number of pages: 54 Posted: 02 Oct 2015 Last Revised: 28 Mar 2017

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 7,931 (924)

Citation 79

Abstract:

Choosing Factors

Number of pages: 33 Posted: 06 Sep 2016

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 1,402 (16,928)

Citation 10

Abstract:

13.

Dissecting Anomalies

CRSP Working Paper No. 610

Number of pages: 37 Posted: 26 Jun 2006

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 9,208 (722)

Citation 42

Abstract:

14.

Dissecting Anomalies with a Five-Factor Model

Fama-Miller Working Paper

Number of pages: 49 Posted: 01 Oct 2014 Last Revised: 26 Jun 2015

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 8,449 (835)

Citation 244

Abstract:

15.

Forecasting Profitability and Earnings

Downloads 8,415 ( 845)

2

Forecasting Profitability and Earnings

Number of pages: 18 Posted: 13 Nov 1997

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 8,415 (836)

Citation 55

Abstract:

Forecasting Profitability and Earnings

Posted: 10 Mar 2000

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Abstract:

16.

The Corporate Cost of Capital and the Return on Corporate Investment

CRSP Working Paper

Number of pages: 31 Posted: 11 Aug 1998

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 8,367 (855)

Citation 14

Abstract:

17.

The Anatomy of Value and Growth Stock Returns

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Citation 16

2

The Anatomy of Value and Growth Stock Returns

CRSP Working Paper

Number of pages: 25 Posted: 28 Sep 2005

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 8,156 (887)

Citation 16

Abstract:

The Anatomy of Value and Growth Stock Returns

Financial Analysts Journal, Vol. 63, No. 6, 2007

Posted: 14 Dec 2007

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Abstract:

18.

Testing Tradeoff and Pecking Order Predictions About Dividends and Debt

Number of pages: 46 Posted: 15 Dec 1999

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 8,060 (908)

Citation 148

Abstract:

19.

Profitability, Growth, and Average Returns

Number of pages: 41 Posted: 30 Jul 2004

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 6,428 (1,361)

Citation 59

Abstract:

20.

Disagreement, Tastes, and Asset Prices

CRSP Working Paper No. 552, Tuck Business School Working Paper No. 2004-03

Number of pages: 35 Posted: 17 Nov 2005

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 6,376 (1,378)

Citation 80

Abstract:

21.

The Value Premium

Fama-Miller Working Paper No. 20-01

Number of pages: 20 Posted: 27 Jan 2020 Last Revised: 30 Jan 2020

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 6,316 (1,398)

Citation 13

Abstract:

22.

Financing Decisions: Who Issues Stock?

Number of pages: 39 Posted: 13 Aug 2003

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 5,808 (1,614)

Citation 118

Abstract:

23.

International Tests of a Five-Factor Asset Pricing Model

Fama-Miller Working Paper, Tuck School of Business Working Paper No. 2622782

Number of pages: 48 Posted: 26 Jun 2015 Last Revised: 31 Dec 2015

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 5,764 (1,635)

Citation 550

Abstract:

24.

New Lists: Fundamentals and Survival Rates

Number of pages: 57 Posted: 07 May 2003

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 4,726 (2,305)

Citation 47

Abstract:

25.

Migration

CRSP Working Paper No. 614

Number of pages: 24 Posted: 28 Aug 2006

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 4,567 (2,411)

Citation 10

Abstract:

Migration

Financial Analysts Journal, Vol. 63, No. 3, pp. 48-58, 2007

Posted: 11 Jun 2007

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Abstract:

26.

Capital Structure Choices

Number of pages: 42 Posted: 15 Apr 2008 Last Revised: 22 Sep 2011

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 4,059 (3,020)

Citation 11

Abstract:

27.

Average Returns, B/M, and Share Issues

CRSP Working Paper No. 619

Number of pages: 36 Posted: 20 May 2007 Last Revised: 22 Oct 2007

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 3,284 (4,343)

Citation 29

Abstract:

28.

Volatility Lessons

Chicago Booth Research Paper No. 17-33, Fama-Miller Working Paper

Number of pages: 20 Posted: 04 Dec 2017 Last Revised: 19 Oct 2018

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 2,643 (6,248)

Citation 4

Abstract:

29.

Long-Horizon Returns

Chicago Booth Research Paper No. 17-17, Fama-Miller Working Paper

Number of pages: 28 Posted: 24 May 2017 Last Revised: 21 Nov 2017

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 2,551 (6,622)

Citation 9

Abstract:

30.

Comparing Cross-Section and Time-Series Factor Models

Chicago Booth Research Paper No. 18-08, Fama-Miller Working Paper

Number of pages: 43 Posted: 16 Oct 2018 Last Revised: 15 Jun 2019

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 2,548 (6,634)

Citation 7

Abstract:

31.

Incremental Variables and the Investment Opportunity Set

Downloads 1,959 ( 10,158)

Citation 4

2

Incremental Variables and the Investment Opportunity Set

Chicago Booth Research Paper No. 14-35, Fama-Miller Working Paper

Number of pages: 47 Posted: 15 Oct 2014 Last Revised: 17 Apr 2015

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 1,532 (14,728)

Citation 4

Abstract:

Incremental Variables and the Investment Opportunity Set

Journal of Financial Economics (JFE), Forthcoming, Tuck School of Business Working Paper No. 2509517

Number of pages: 46 Posted: 09 Apr 2015

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 427 (85,407)

Abstract:

32.

The Profitability and Equity Financing of Style Groups: 1906-2006

Number of pages: 27 Posted: 15 Jul 2008

Kenneth R. French and Eugene F. Fama

Dartmouth College - Tuck School of Business and University of Chicago - Finance

Downloads 1,944 (10,286)

Abstract:

33.

Reforming Money Market Funds

Tuck School of Business Working Paper No. 2011-86, Rock Center for Corporate Governance at Stanford University Working Paper No. 109, Columbia Business School Research Paper No. 12-13

Number of pages: 10 Posted: 19 Jan 2011 Last Revised: 20 Feb 2012

Martin N. Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Kenneth R. French, Anil K. Kashyap, Frederic S. Mishkin, David S. Scharfstein, Robert J. Shiller, Matthew J. Slaughter, Hyun Song Shin, Jeremy C. Stein and René M. Stulz

Brookings Institution, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, Dartmouth College - Tuck School of Business, University of Chicago, Booth School of Business, Columbia Business School - Finance and Economics, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Dartmouth College - Tuck School of Business, Bank for International Settlements (BIS), Harvard University - Department of Economics and Ohio State University (OSU) - Department of Finance

Downloads 1,800 (11,649)

Citation 3

Abstract:

34.

Investor Diversification and International Equity Markets

NBER Working Paper No. w3609

Number of pages: 15 Posted: 17 Oct 2007 Last Revised: 14 May 2021

Kenneth R. French, James M. Poterba and James M. Poterba

Dartmouth College - Tuck School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Department of Economics

Downloads 825 (37,100)

Citation 27

Abstract:

35.

Aligning Incentives at Systemically Important Financial Institutions

Columbia Business School Research Paper No. 13-18, Fisher College of Business Working Paper

Number of pages: 7 Posted: 28 Mar 2013

Martin N. Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Kenneth R. French, Anil K. Kashyap, Frederic S. Mishkin, David S. Scharfstein, Robert J. Shiller, Matthew J. Slaughter, Hyun Song Shin and René M. Stulz

Brookings Institution, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, Dartmouth College - Tuck School of Business, University of Chicago, Booth School of Business, Columbia Business School - Finance and Economics, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Dartmouth College - Tuck School of Business, Bank for International Settlements (BIS) and Ohio State University (OSU) - Department of Finance

Downloads 723 (44,435)

Citation 1

Abstract:

36.

House Prices and Rents

Chicago Booth Research Paper No. 20-48, Fama-Miller Working Paper

Number of pages: 40 Posted: 09 Nov 2020

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 448 (81,845)

Citation 1

Abstract:

37.

Were Japanese Stock Prices Too High?

NBER Working Paper No. w3290

Number of pages: 44 Posted: 27 Apr 2000 Last Revised: 30 Jun 2021

Kenneth R. French, James M. Poterba and James M. Poterba

Dartmouth College - Tuck School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Department of Economics

Downloads 300 (127,902)

Citation 5

Abstract:

38.

Japanese and U.S. Cross-Border Common Stock Investments

Number of pages: 18 Posted: 14 Jul 2000

Kenneth R. French, James M. Poterba and James M. Poterba

Dartmouth College - Tuck School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Department of Economics

Downloads 200 (190,574)

Citation 4

Abstract:

39.

The Squam Lake Report: Fixing the Financial System

Journal of Applied Corporate Finance, Vol. 22, Issue 3, pp. 8-21, Summer 2010

Number of pages: 16 Posted: 04 Oct 2010

Kenneth R. French, Martin Neil Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Anil K. Kashyap, Frederic S. Mishkin, Raghuram G. Rajan, David S. Scharfstein, Robert J. Shiller, Hyun Song Shin, Matthew J. Slaughter, Jeremy C. Stein and René M. Stulz

Dartmouth College - Tuck School of Business, Institute for International Economics, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, University of Chicago, Booth School of Business, Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Bank for International Settlements (BIS), Dartmouth College - Tuck School of Business, Harvard University - Department of Economics and Ohio State University (OSU) - Department of Finance

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Citation 4

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Abstract:

40.

Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group

Journal of Applied Corporate Finance, Vol. 25, Issue 4, pp. 37-40, 2013

Number of pages: 6 Posted: 23 Dec 2013

Martin N. Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Kenneth R. French, Anil K. Kashyap, Frederic S. Mishkin, David S. Scharfstein, Robert J. Shiller, Matthew J. Slaughter, Hyun Song Shin and René M. Stulz

Brookings Institution, Harvard University - Department of Economics, Hoover Institution, University of Chicago - Booth School of Business, Stanford University - Graduate School of Business, Dartmouth College - Tuck School of Business, University of Chicago, Booth School of Business, Columbia Business School - Finance and Economics, Harvard Business School - Finance Unit, Yale University - Cowles Foundation, Dartmouth College - Tuck School of Business, Bank for International Settlements (BIS) and Ohio State University (OSU) - Department of Finance

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Citation 1

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Abstract:

41.

Size and Book to Market Factors in Earnings and Returns

Posted: 10 May 2000

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Abstract:

42.

Multifactor Explanations of Asset Pricing Anomalies

J. OF FINANCE, Vol. 51 No. 1, March 1996

Posted: 28 Jun 1998

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Abstract:

43.

Investment Decisions, Financing Decisions, and Firm Value

Posted: 27 Jan 1997

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Dartmouth College - Tuck School of Business

Kenneth R. French

Dartmouth College - Tuck School of Business

Roth Family Distinguished Professor in Finance

National Bureau of Economic Research (NBER)

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The Squam Lake Report: Fixing the Financial System

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Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group

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