Author Page for Eugene F. Fama

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 94,974 (16)

Citation 797

Abstract:

2.

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 77,945 (25)

Citation 181

Abstract:

3.

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 49,994 (49)

Citation 174

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4.

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 42,211 (69)

Citation 105

Abstract:

5.

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 Harvard Business School

Downloads 41,604 (72)

Citation 2,547

Abstract:

6.

Taxes, Financing Decisions, and Firm Value

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Citation 67

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 27,433 (146)

Citation 67

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:

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 Dartmouth College - Tuck School of Business

Downloads 25,619 (167)

Citation 401

Abstract:

8.

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 20,126 (248)

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:

9.

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 16,590 (374)

Citation 262

Abstract:

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 Harvard Business School

Downloads 16,055 (396)

Citation 615

Abstract:

11.

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 12,342 (631)

Citation 133

Abstract:

12.

Characteristics, Covariances, and Average Returns: 1929-1997

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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 11,134 (758)

Citation 120

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:

13.

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 9,153 (1,062)

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 1,644 (18,128)

Citation 12

Abstract:

14.

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 10,073 (920)

Citation 51

Abstract:

15.

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 9,880 (951)

Citation 45

Abstract:

16.

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 9,746 (974)

Citation 415

Abstract:

17.

Forecasting Profitability and Earnings

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Citation 75

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 8,771 (1,145)

Citation 75

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:

18.

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 8,755 (1,158)

Citation 42

Abstract:

19.

The Anatomy of Value and Growth Stock Returns

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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 8,621 (1,192)

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:

20.

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 8,531 (1,216)

Citation 24

Abstract:

21.

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 8,326 (1,264)

Citation 231

Abstract:

22.

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 8,226 (1,291)

Citation 3

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:

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 Dartmouth College - Tuck School of Business

Downloads 7,017 (1,709)

Citation 115

Abstract:

24.

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 6,815 (1,785)

Citation 59

Abstract:

25.

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 6,627 (1,877)

Citation 973

Abstract:

26.

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 6,032 (2,191)

Citation 118

Abstract:

27.

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 Harvard Business School

Downloads 5,542 (2,541)

Citation 11

Abstract:

28.

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: 6 Posted: 05 Aug 2012 Last Revised: 27 Oct 2022

Eugene F. Fama

University of Chicago - Finance

Downloads 5,527 (2,551)

Citation 2

Abstract:

29.

The Behavior of Interest Rates

Downloads 5,345 ( 2,721)

Citation 21

2

The Behavior of Interest Rates

Number of pages: 30 Posted: 25 May 2004

Eugene F. Fama

University of Chicago - Finance

Downloads 5,345 (2,683)

Citation 21

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:

30.

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 4,948 (3,066)

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:

31.

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 4,838 (3,210)

Citation 47

Abstract:

32.

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 4,402 (3,772)

Citation 11

Abstract:

33.

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 3,729 (4,989)

Citation 15

Abstract:

34.

Determining the Number of Priced State Variables in the ICAPM

Downloads 3,603 ( 5,310)

Citation 26

3

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 3,384 (5,781)

Citation 2

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 219 (230,586)

Citation 1

Abstract:

Determining the Number of Priced State Variables in the Icapm

Posted: 15 Jun 1998

Eugene F. Fama

University of Chicago - Finance

Abstract:

35.

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 3,568 (5,392)

Citation 4

Abstract:

36.

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 3,415 (5,794)

Citation 29

Abstract:

37.

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 3,302 (6,140)

Citation 7

Abstract:

38.

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 2,956 (7,316)

Citation 9

Abstract:

39.

Incremental Variables and the Investment Opportunity Set

Downloads 2,104 (12,555)

Citation 9

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 1,609 (18,700)

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 495 (95,158)

Abstract:

40.

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 2,029 (13,277)

Abstract:

41.

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

Number of pages: 4 Posted: 28 Nov 2003

Eugene F. Fama, Michael C. Jensen, John B. Long, Richard S. Ruback, G. William Schwert, Clifford W. Smith and Jerold B. Warner

University of Chicago - Finance, Harvard Business School, 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 1,916 (14,539)

Citation 8

Abstract:

42.

Contract Costs, Stakeholder Capitalism, and ESG

Chicago Booth Research Paper No. 20-46, Fama-Miller Working Paper

Number of pages: 9 Posted: 30 Oct 2020

Eugene F. Fama

University of Chicago - Finance

Downloads 1,107 (33,154)

Abstract:

43.

Multifactor Portfolio Efficiency and Multifactor Asset Pricing

Downloads 935 (42,106)

2

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 935 (41,484)

Citation 47

Abstract:

Multifactor Portfolio Efficiency and Multifactor Asset Pricing

J. OF FINANCIAL AND QUANTITATIVE ANALYSIS, December 1996

Posted: 09 Apr 1997 Last Revised: 10 May 2017

Eugene F. Fama

University of Chicago - Finance

Abstract:

44.

House Prices and Rents

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

Number of pages: 22 Posted: 09 Nov 2020 Last Revised: 06 Sep 2023

Eugene F. Fama and Kenneth R. French

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

Downloads 925 (42,722)

Citation 1

Abstract:

45.

Wealth Taxes

Fama-Miller Working Paper

Number of pages: 4 Posted: 14 Jun 2019 Last Revised: 30 Sep 2020

Eugene F. Fama

University of Chicago - Finance

Downloads 748 (57,019)

Citation 2

Abstract:

46.

Interest Rates and Inflation Revisited

Chicago Booth Research Paper No. 18-10, Fama-Miller Working Paper

Number of pages: 15 Posted: 18 Oct 2018 Last Revised: 29 Dec 2018

Eugene F. Fama

University of Chicago - Finance

Downloads 635 (70,616)

Citation 1

Abstract:

47.

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 579 (79,261)

Abstract:

48.

Stimulus and the Permanent Income Hypothesis

Chicago Booth Research Paper No. 21-08, Fama-Miller Working Paper

Number of pages: 11 Posted: 22 Feb 2021

Eugene F. Fama

University of Chicago - Finance

Downloads 479 (100,161)

Abstract:

49.

Property Taxes

Fama-Miller Working Paper, Forthcoming

Number of pages: 3 Posted: 19 Aug 2019 Last Revised: 30 Sep 2020

Eugene F. Fama

University of Chicago - Finance

Downloads 453 (106,973)

Abstract:

50.

Taxes

Chicago Booth Research Paper No. 20-32, Fama-Miller Working Paper

Number of pages: 11 Posted: 30 Sep 2020

Eugene F. Fama

University of Chicago - Finance

Downloads 376 (132,638)

Abstract:

51.

Taxes: A Simple Scheme

Fama-Miller Working Paper

Number of pages: 4 Posted: 14 Jun 2019 Last Revised: 30 Sep 2020

Eugene F. Fama

University of Chicago - Finance

Downloads 356 (140,948)

Citation 1

Abstract:

52.

Government and Nonprofits

Fama-Miller Working Paper

Number of pages: 4 Posted: 28 Jun 2019 Last Revised: 30 Sep 2020

Eugene F. Fama

University of Chicago - Finance

Downloads 274 (185,730)

Abstract:

53.

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: 01 Mar 2023

Eugene F. Fama and Joel M. Stern

University of Chicago - Finance and Columbia University - Columbia Business School

Downloads 200 (251,416)

Citation 1

Abstract:

54.

Business Income Taxes

Fama-Miller Working Paper, Chicago Booth Research Paper No. 20-33

Number of pages: 5 Posted: 30 Sep 2020

Eugene F. Fama

University of Chicago - Finance

Downloads 197 (254,785)

Abstract:

55.

Regional Prosperity and Its Spillovers

Chicago Booth Research Paper No. 23-16, Fama-Miller Working Paper

Number of pages: 34 Posted: 05 Sep 2023

Eugene F. Fama and Kenneth R. French

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

Downloads 30 (766,787)

Abstract:

56.

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:

57.

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:

58.

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

Abstract:

59.

Discounting Under Uncertainty

J. OF BUSINESS, Vol. 69 No. 4, October 1996

Posted: 18 Dec 1996

Eugene F. Fama

University of Chicago - Finance

Eugene F. Fama

University of Chicago - Finance

Robert R. McCormick Distinguished Service Professor of Finance

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Scholarly Papers (59)

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