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 52,283 (15)

Citation 173

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2.

The Capital Asset Pricing Model: Theory and Evidence

CRSP Working Paper No. 550; Tuck Business School Working Paper No. 03-26

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 44,328 (26)

Citation 118

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 39,441 (33)

Citation 19

Abstract:

4.

Taxes, Financing Decisions, and Firm Value

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Citation 13

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 26,715 (71)

Citation 13

Abstract:

Taxes, Financing Decisions, and Firm Value

Journal of Finance, Vol. 53 No. 3, June 1998

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 23,365 (95)

Citation 193

Abstract:

6.

The Equity Premium

EFMA 2001 Lugano Meetings; CRSP Working Paper No. 522

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 19,232 (126)

Citation 57

Abstract:

The Equity Premium

Journal of Finance, Vol. 57, pp. 637-659, 2002

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 13,272 (259)

Citation 88

Abstract:

8.

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

AFA 2001 New Orleans; CRSP Working Paper No. 509

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

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Citation 73

Abstract:

9.

Characteristics, Covariances, and Average Returns: 1929-1997

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Citation 49

2

Characteristics, Covariances, and Average Returns: 1929-1997

Center for Research in Security Prices (CRSP) Working Paper No. 471

Number of pages: 24 Posted: 12 Aug 1998

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

Dimensional Fund Advisors Inc., University of Chicago - Finance and Dartmouth College - Tuck School of Business

Downloads 10,181 (439)

Citation 49

Abstract:

Characteristics, Covariances, and Average Returns: 1929-1997

Journal of Finance, Vol. 55, No. 1, February 2000

Posted: 13 Feb 2001

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

Dimensional Fund Advisors Inc., University of Chicago - Finance and Dartmouth College - Tuck School of Business

Abstract:

10.

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 10,151 (450)

Citation 38

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 9,018 (557)

Citation 39

Abstract:

12.

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 8,572 (603)

Citation 34

Abstract:

13.

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 8,207 (657)

Citation 6

Abstract:

14.

Forecasting Profitability and Earnings

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2

Forecasting Profitability and Earnings

CRSP Working Paper No. 456

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 8,167 (655)

Citation 24

Abstract:

Forecasting Profitability and Earnings

Journal of Business, Vol. 73, No. 2, April 2000

Posted: 10 Mar 2000

Eugene F. Fama and Kenneth R. French

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

Abstract:

15.

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 6,822 (901)

Citation 37

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 1,182 (17,123)

Citation 6

Abstract:

16.

Testing Tradeoff and Pecking Order Predictions About Dividends and Debt

CRSP Working Paper No. 506

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 7,892 (707)

Citation 75

Abstract:

17.

The Anatomy of Value and Growth Stock Returns

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Citation 12

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 7,720 (722)

Citation 12

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.

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 7,431 (789)

Citation 136

Abstract:

19.

Profitability, Growth, and Average Returns

CRSP Working Paper No. 558

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 6,083 (1,104)

Citation 26

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 5,822 (1,199)

Citation 37

Abstract:

21.

Financing Decisions: Who Issues Stock?

CRSP Working Paper No. 549

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 5,674 (1,255)

Citation 91

Abstract:

22.

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 4,959 (1,574)

Citation 66

Abstract:

23.

New Lists: Fundamentals and Survival Rates

CRSP Working Paper No. 530; Tuck Business School Working Paper No. 03-15

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 4,640 (1,777)

Citation 29

Abstract:

24.

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 4,193 (2,109)

Citation 8

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:

25.

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 3,860 (2,463)

Citation 6

Abstract:

26.

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 3,182 (3,443)

Citation 24

Abstract:

27.

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 2,075 (7,035)

Citation 3

Abstract:

28.

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 1,901 (8,221)

Abstract:

29.

Incremental Variables and the Investment Opportunity Set

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Citation 6

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 1,474 (12,126)

Citation 6

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 408 (72,864)

Abstract:

30.

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 1,726 (9,602)

Citation 1

Abstract:

31.

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 1,724 (9,625)

Citation 2

Abstract:

32.

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 1,478 (12,326)

Citation 1

Abstract:

33.

Investor Diversification and International Equity Markets

NBER Working Paper No. w3609

Number of pages: 15 Posted: 17 Oct 2007

Kenneth R. French and James M. Poterba

Dartmouth College - Tuck School of Business and National Bureau of Economic Research (NBER)

Downloads 706 (36,480)

Citation 11

Abstract:

34.

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 688 (37,816)

Abstract:

35.

Were Japanese Stock Prices Too High?

NBER Working Paper No. w3290

Number of pages: 44 Posted: 27 Apr 2000 Last Revised: 30 Jun 2010

Kenneth R. French and James M. Poterba

Dartmouth College - Tuck School of Business and National Bureau of Economic Research (NBER)

Downloads 263 (119,653)

Citation 3

Abstract:

36.

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

NBER Working Paper No. R1537

Number of pages: 18 Posted: 14 Jul 2000

Kenneth R. French and James M. Poterba

Dartmouth College - Tuck School of Business and National Bureau of Economic Research (NBER)

Downloads 177 (174,947)

Citation 7

Abstract:

37.

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 1

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38.

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 2

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39.

Size and Book to Market Factors in Earnings and Returns

JOURNAL OF FINANCE, Vol 50, No 1, March 1995

Posted: 10 May 2000

Eugene F. Fama and Kenneth R. French

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

Abstract:

40.

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:

41.

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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Scholarly Papers (41)

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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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