Fama, Fisher, Jensen and Roll (1969): Retrospective Comments
14 Pages Posted: 16 Feb 2014 Last revised: 6 Dec 2021
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: Suggested Citation