Eugene F. Fama

University of Chicago - Finance

Robert R. McCormick Distinguished Service Professor of Finance

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

View CV
SCHOLARLY PAPERS

45

DOWNLOADS
Rank 3

SSRN RANKINGS

Top 3

in Total Papers Downloads

474,625

CITATIONS
Rank 17

SSRN RANKINGS

Top 17

in Total Papers Citations

5,928

Scholarly Papers (45)

1.

Market Efficiency, Long-Term Returns, and Behavioral Finance

Number of pages: 31 Posted: 30 Apr 1997
Eugene F. Fama
University of Chicago - Finance
Downloads 83,458 (5)
Citation 789

Abstract:

2.

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 Tuck School of Business at Dartmouth
Downloads 35,325 (28)
Citation 364

Abstract:

3.

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 Tuck School of Business at Dartmouth
Downloads 34,523 (26)
Citation 110

Abstract:

4.

Separation of Ownership and Control

Michael C. Jensen, FOUNDATIONS OF ORGANIZATIONAL STRATEGY, Harvard University Press, 1998, and Journal of Law and Economics, Vol. 26, June 1983
Number of pages: 32 Posted: 29 Nov 1998
Eugene F. Fama and Michael C. Jensen
University of Chicago - Finance and Social Science Electronic Publishing (SSEP), Inc.
Downloads 33,953 (34)
Citation 1,360

Abstract:

5.
Downloads 25,846 ( 49)
Citation 140

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 Tuck School of Business at Dartmouth
Downloads 25,846 (49)
Citation 140

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 Tuck School of Business at Dartmouth

Abstract:

6.

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 Tuck School of Business at Dartmouth
Downloads 21,386 (31)
Citation 8

Abstract:

7.

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 Tuck School of Business at Dartmouth
Downloads 18,768 (75)
Citation 95

Abstract:

8.
Downloads 18,380 ( 87)
Citation 254

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 Tuck School of Business at Dartmouth
Downloads 18,380 (84)
Citation 254

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 Tuck School of Business at Dartmouth

Abstract:

9.

The Adjustment of Stock Prices to New Information

International Economic Review, Vol. 10, February 1969, STRATEGIC ISSUES IN FINANCE, Keith Wand, ed., Butterworth Heinemann, 1993, INVESTMENT MANAGEMENT: SOME READINGS, J. Lorie, R. Brealey, eds., Praeger Publishers, 1972
Number of pages: 28 Posted: 08 Feb 2003 Last Revised: 15 Feb 2011
University of Chicago - Finance, Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics, Social Science Electronic Publishing (SSEP), Inc. and California Institute of Technology
Downloads 15,385 (102)
Citation 300

Abstract:

efficient markets, effect of information on stock prices, stock splits, dividend increases, market conditions, rate of return, effect of split(s) on return(s), residuals, average dividends, dividend increases, and dividend decreases

10.

Agency Problems and Residual Claims

Michael C. Jensen, FOUNDATIONS OF ORGANIZATIONAL STRATEGY, Harvard University Press, 1998; Journal of Law & Economics, Vol. 26, June 1983
Number of pages: 30 Posted: 29 Nov 1998
Eugene F. Fama and Michael C. Jensen
University of Chicago - Finance and Social Science Electronic Publishing (SSEP), Inc.
Downloads 12,862 (173)
Citation 339

Abstract:

11.

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 Tuck School of Business at Dartmouth
Downloads 9,791 (254)
Citation 427

Abstract:

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 Tuck School of Business at Dartmouth
Downloads 9,471 (321)
Citation 246

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 Tuck School of Business at Dartmouth

Abstract:

13.

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 Tuck School of Business at Dartmouth
Downloads 8,500 (269)
Citation 30

Abstract:

14.
Downloads 7,639 ( 497)
Citation 145

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 Tuck School of Business at Dartmouth
Downloads 7,639 (489)
Citation 145

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 Tuck School of Business at Dartmouth

Abstract:

15.

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 Tuck School of Business at Dartmouth
Downloads 7,511 (479)
Citation 32

Abstract:

16.

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 Tuck School of Business at Dartmouth
Downloads 7,406 (449)
Citation 84

Abstract:

17.

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 Tuck School of Business at Dartmouth
Downloads 7,178 (516)
Citation 421

Abstract:

18.
Downloads 7,067 ( 576)
Citation 15

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 Tuck School of Business at Dartmouth
Downloads 7,067 (569)
Citation 15

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 Tuck School of Business at Dartmouth

Abstract:

Portfolio Management: Equity Strategies

19.

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 Tuck School of Business at Dartmouth
Downloads 6,820 (488)
Citation 159

Abstract:

Anomalies

20.
Downloads 6,742 ( 617)
Citation 4

My Life in Finance

Annual Review of Financial Economics, Forthcoming
Number of pages: 27 Posted: 15 Feb 2010 Last Revised: 10 Mar 2010
Eugene F. Fama
University of Chicago - Finance
Downloads 6,742 (610)
Citation 4

Abstract:

My Life in Finance

Annual Review of Financial Economics, Vol. 3, pp. 1-15, 2011
Posted: 10 Jan 2012
Eugene F. Fama
University of Chicago - Finance

Abstract:

21.

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 Tuck School of Business at Dartmouth
Downloads 5,148 (890)
Citation 64

Abstract:

22.

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 Tuck School of Business at Dartmouth
Downloads 5,137 (931)
Citation 148

Abstract:

23.

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 Tuck School of Business at Dartmouth
Downloads 5,109 (948)
Citation 48

Abstract:

24.

Organizational Forms and Investment Decisions

A THEORY OF THE FIRM: GOVERNANCE, RESIDUAL CLAIMS AND ORGANIZATIONAL FORMS, Harvard University Press, December 2000, (Book)
Number of pages: 30 Posted: 24 Oct 2000
Eugene F. Fama and Michael C. Jensen
University of Chicago - Finance and Social Science Electronic Publishing (SSEP), Inc.
Downloads 4,970 (1,018)
Citation 50

Abstract:

organizational forms, investment, proprietorships, partnerships, closed corporations, market value rule, residual claims, open corporations

25.
Downloads 4,804 ( 1,139)
Citation 23

The Behavior of Interest Rates

CRSP Working Paper No. 553
Number of pages: 30 Posted: 25 May 2004
Eugene F. Fama
University of Chicago - Finance
Downloads 4,804 (1,122)
Citation 23

Abstract:

The Behavior of Interest Rates

The Review of Financial Studies, Vol. 19, Issue 2, pp. 359-379, 2006
Posted: 29 Feb 2008
Eugene F. Fama
University of Chicago - Finance

Abstract:

26.

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 Tuck School of Business at Dartmouth
Downloads 4,374 (1,302)
Citation 117

Abstract:

27.

Does the Fed Control Interest Rates?

The Review of Asset Pricing Studies, Forthcoming, Chicago Booth Research Paper No. 12-23, Fama-Miller Working Paper
Number of pages: 31 Posted: 05 Aug 2012 Last Revised: 02 Jul 2013
Eugene F. Fama
University of Chicago - Finance
Downloads 3,993 (1,557)
Citation 3

Abstract:

28.
Downloads 3,842 ( 1,656)
Citation 62

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 Tuck School of Business at Dartmouth
Downloads 3,842 (1,629)
Citation 62

Abstract:

Size premium, value premium, average returns

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 Tuck School of Business at Dartmouth

Abstract:

Portfolio Management: Equity Strategies, Asset Allocation

Determining the Number of Priced State Variables in the ICAPM

Journal of Financial and Quantitative Analysis, Vol. 33, No. 2 (June, 1998), 217-231, Fama-Miller Working Paper, Chicago Booth Research Paper
Number of pages: 12 Posted: 05 Mar 1997 Last Revised: 20 Jan 2017
Eugene F. Fama
University of Chicago - Finance
Downloads 3,201 (2,259)
Citation 17

Abstract:

Determining the Number of Priced State Variables in the ICAPM

Journal of Financial and Quantitative Analysis (JFQA), Vol. 33, No. 2, 1998
Number of pages: 12 Posted: 26 Nov 2015
Eugene F. Fama
University of Chicago - Finance
Downloads 85 (239,897)
Citation 17

Abstract:

Determining the Number of Priced State Variables in the ICAPM

Journal of Financial and Quantitative Analysis, June 1998
Posted: 15 Jun 1998
Eugene F. Fama
University of Chicago - Finance

Abstract:

30.
Downloads 3,196 ( 2,331)

Choosing Factors

Fama-Miller Working Paper , Tuck School of Business Working Paper No. 2668236, Chicago Booth Research Paper No. 16-17
Number of pages: 32 Posted: 02 Oct 2015 Last Revised: 06 Nov 2016
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 2,879 (2,761)

Abstract:

Five-factor model

Choosing Factors

Number of pages: 33 Posted: 06 Sep 2016
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 317 (75,093)

Abstract:

31.

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 Tuck School of Business at Dartmouth
Downloads 2,892 (2,157)
Citation 2

Abstract:

Opportunistic Financing

32.

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 Tuck School of Business at Dartmouth
Downloads 2,757 (2,703)
Citation 16

Abstract:

Average Returns, B/M, and Share Issues

33.

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 Tuck School of Business at Dartmouth
Downloads 2,342 (1,113)
Citation 2

Abstract:

34.

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
Tuck School of Business at Dartmouth and University of Chicago - Finance
Downloads 1,685 (6,400)

Abstract:

Equity financing, pecking order, Q-theory

35.

Editorial: Clinical Papers and Their Role in the Development of Financial Economics

Number of pages: 4 Posted: 28 Nov 2003
University of Chicago - Finance, Social Science Electronic Publishing (SSEP), Inc., Simon Graduate School of Business, University of Rochester, Harvard Business School, University of Rochester - Simon Business School, Simon Graduate School of Business, University of Rochester and University of Rochester – Simon Business School
Downloads 1,532 (7,395)
Citation 4

Abstract:

Clinical Papers, case studies, perfect and imperfect markets

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 Tuck School of Business at Dartmouth
Downloads 1,252 (11,361)

Abstract:

Incremental variables, Investment opportunity set, Portfolio returns, Variable attenuation

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 Tuck School of Business at Dartmouth
Downloads 276 (86,843)

Abstract:

Incremental variables, Investment opportunity set, Portfolio returns, Variable attenuation

37.

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 Tuck School of Business at Dartmouth
Downloads 632 (2,283)
Citation 1

Abstract:

38.
Downloads 463 ( 47,692)

Was There Ever a Lending Channel?

Chicago Booth Research Paper, Fama-Miller Working Paper
Number of pages: 21 Posted: 20 Dec 2012 Last Revised: 16 Apr 2015
Eugene F. Fama
University of Chicago - Finance
Downloads 463 (47,134)

Abstract:

Was There Ever a Lending Channel?

European Financial Management, Vol. 19, Issue 5, pp. 837-851, 2013
Number of pages: 15 Posted: 11 Oct 2013
Eugene F. Fama
University of Chicago - Finance
Downloads 0
  • Add to Cart

Abstract:

Multifactor Portfolio Efficiency and Multifactor Asset Pricing

Journal of Financial and Quantitative Analysis (JFQA), Vol. 31, No. 4, 1996
Number of pages: 24 Posted: 26 Nov 2015
Eugene F. Fama
University of Chicago - Finance
Downloads 233 (104,411)
Citation 48

Abstract:

Multifactor Portfolio Efficiency and Multifactor Asset Pricing

J. OF FINANCIAL AND QUANTITATIVE ANALYSIS, December 1996
Posted: 09 Apr 1997 Last Revised: 27 Nov 2015
Eugene F. Fama
University of Chicago - Finance

Abstract:

40.

A Look Back at Modern Finance: Accomplishments and Limitations

Journal of Applied Corporate Finance, Vol. 28, Issue 4, pp. 10-16, 2016
Number of pages: 9 Posted: 20 Jan 2017
Eugene F. Fama and Joel M. Stern
University of Chicago - Finance and Columbia University - Columbia Business School
Downloads 0 (444,837)
  • Add to Cart

Abstract:

41.

Cross-Section Versus Time-Series Tests of Asset Pricing Models

Fama-Miller Working Paper
Number of pages: 11 Posted: 03 Nov 2015
Eugene F. Fama
University of Chicago - Finance
Downloads 0 (14,901)

Abstract:

42.

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 Tuck School of Business at Dartmouth

Abstract:

43.

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 Tuck School of Business at Dartmouth

Abstract:

44.

Investment Decisions, Financing Decisions, and Firm Value

Posted: 27 Jan 1997
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Tuck School of Business at Dartmouth

Abstract:

45.

Discounting under Uncertainty

J. OF BUSINESS, Vol. 69 No. 4, October 1996
Posted: 18 Dec 1996
Eugene F. Fama
University of Chicago - Finance

Abstract: