Fama, Fisher, Jensen and Roll (1969): Retrospective Comments

14 Pages Posted: 16 Feb 2014 Last revised: 13 Jan 2015

See all articles by Ray Ball

Ray Ball

University of Chicago - Booth School of Business

Date Written: January 9, 2015


This essay provides a retrospective view of one of Gene Fama’s many seminal papers, Fama, Fisher, Jensen, and Roll (1969). The paper was like none before it. Its contributions include (listed in what I regard as increasing order of importance): documenting share price behavior around the time of splits; implementing the first control for the market factor, hence creating the precursor to the influential Fama-French models; conducting the first event study; providing the first direct test of market efficiency; and demonstrating the wisdom and validity of Fama’s (1965) framing of stock price behavior in terms of information. The paper’s impact has been enormous, because at the time the research was conducted it was instrumental in reframing how we think about asset prices.

JEL Classification: B31, G14, M41

Suggested Citation

Ball, Ray, Fama, Fisher, Jensen and Roll (1969): Retrospective Comments (January 9, 2015). Available at SSRN: https://ssrn.com/abstract=2396585 or http://dx.doi.org/10.2139/ssrn.2396585

Ray Ball (Contact Author)

University of Chicago - Booth School of Business ( email )

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