Eugene F. Fama

University of Chicago - Finance

Robert R. McCormick Distinguished Service Professor of Finance

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

SCHOLARLY PAPERS

54

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Top 3

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559,048

SSRN CITATIONS
Rank 67

SSRN RANKINGS

Top 67

in Total Papers Citations

5,484

CROSSREF CITATIONS

604

Scholarly Papers (54)

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 91,167 (5)
Citation 797

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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 54,753 (17)
Citation 189

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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 Dartmouth College - Tuck School of Business
Downloads 44,946 (29)
Citation 127

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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 39,676 (37)
Citation 26

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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 36,845 (45)
Citation 2,197

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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 26,784 (77)
Citation 15

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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

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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 23,569 (100)
Citation 206

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8.

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, Harvard Business School and California Institute of Technology
Downloads 21,107 (122)
Citation 534

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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

9.
Downloads 19,331 ( 141)

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 19,331 (138)
Citation 79

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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

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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 14,837 (226)
Citation 523

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11.

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 13,592 (265)
Citation 101

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12.

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
Downloads 11,674 (362)
Citation 108

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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
affiliation not provided to SSRN, University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 10,317 (463)
Citation 61

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

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14.

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 9,133 (584)
Citation 41

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15.

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 8,691 (638)
Citation 37

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Anomalies

16.
Downloads 8,345 ( 693)
Citation 47

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 7,100 (884)
Citation 46

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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 Dartmouth College - Tuck School of Business
Downloads 1,245 (16,636)
Citation 3

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17.

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 8,240 (704)
Citation 9

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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 8,231 (696)
Citation 33

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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

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19.

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 7,946 (744)
Citation 102

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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 7,798 (756)
Citation 13

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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

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Portfolio Management: Equity Strategies

21.

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 7,662 (788)
Citation 160

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22.
Downloads 7,480 ( 824)
Citation 1

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 7,480 (815)
Citation 1

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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

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23.

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 6,161 (1,153)
Citation 36

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24.

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 5,917 (1,251)
Citation 48

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25.

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 5,699 (1,326)
Citation 100

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26.

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 5,340 (1,474)
Citation 9

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

27.

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 5,154 (1,567)
Citation 176

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28.
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Citation 16

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 5,094 (1,578)
Citation 16

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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

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29.

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 4,655 (1,901)
Citation 32

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30.

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 4,582 (1,965)
Citation 10

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31.
Downloads 4,247 ( 2,240)
Citation 8

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 4,247 (2,211)
Citation 8

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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 Dartmouth College - Tuck School of Business

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Portfolio Management: Equity Strategies, Asset Allocation

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 3,925 (2,548)
Citation 7

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Opportunistic Financing

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 3,304 (3,349)
Citation 2

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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 160 (199,218)
Citation 1

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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

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34.

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 3,209 (3,587)
Citation 24

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Average Returns, B/M, and Share Issues

35.

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 2,746 (4,687)
Citation 1

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36.

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 2,606 (5,097)
Citation 15

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37.

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 2,188 (6,831)
Citation 6

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38.

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 1,993 (8,037)
Citation 1

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39.

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 1,909 (8,647)

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Equity financing, pecking order, Q-theory

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 1,487 (12,624)
Citation 6

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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 Dartmouth College - Tuck School of Business
Downloads 414 (74,906)

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

41.

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 1,818 (9,351)
Citation 3

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42.

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

Number of pages: 4 Posted: 28 Nov 2003
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 1,784 (9,622)
Citation 6

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Clinical Papers, case studies, perfect and imperfect markets

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 620 (45,007)
Citation 46

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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

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44.
Downloads 519 ( 57,255)
Citation 1

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 519 (56,613)

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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
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45.

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 393 (80,231)

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46.

Wealth Taxes

Fama-Miller Working Paper
Number of pages: 4 Posted: 14 Jun 2019 Last Revised: 07 Feb 2020
Eugene F. Fama
University of Chicago - Finance
Downloads 385 (82,125)
Citation 1

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47.

Property Taxes

Fama-Miller Working Paper, Forthcoming
Number of pages: 2 Posted: 19 Aug 2019 Last Revised: 10 Feb 2020
Eugene F. Fama
University of Chicago - Finance
Downloads 291 (112,360)

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48.

Taxes: A Simple Scheme

Fama-Miller Working Paper
Number of pages: 3 Posted: 14 Jun 2019 Last Revised: 10 Feb 2020
Eugene F. Fama
University of Chicago - Finance
Downloads 164 (194,710)

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49.

Government and Nonprofits

Fama-Miller Working Paper
Number of pages: 3 Posted: 28 Jun 2019 Last Revised: 10 Feb 2020
Eugene F. Fama
University of Chicago - Finance
Downloads 138 (224,541)

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50.

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 22 (545,531)
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51.

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

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52.

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

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53.

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

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54.

Discounting Under Uncertainty

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

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