Profile Major Works Resources

Eugene F. Fama, 1939-

Leading financial economist at the University of Chicago, perhaps most famous for articulating the "efficient markets hypothesis" (1970).

Eugene Fama won the Nobel Memorial Prize in 2013, together with Lars Peter Hansen and Robert J. Shiller.



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Major Works of Eugene F. Fama

  • "Mandlebrot and the Stable Paretian Hypothesis", 1963, J of Business
  • "Tomorrow on the New York Stock Exchange", 1965, J of Business
  • "The Behavior of Stock Market Prices", 1965, J of Business
  • "Portfolio Analysis in a Stable Paretian Market", 1965, Management Science
  • "Filter Rules and Stock-Market Trading", with M.E. Blume, 1966,J of Business
  • "Dividend Policy: an empirical analysis", with H. Babiak, 1968, JASA
  • "Risk, Return and Equilibrium: Some clarifying comments", 1968, J of Finance
  • "The Adjustment of Stock Prices to New Information", with L. Fisher, M.C. Jensen and R. Roll, 1969, IER.
  • "Multiperiod Consumption-Investment Decisions", 1970, AER
  • "Efficient Capital Markets: a review of theory and empirical work", 1970, J of Finance 
  • "Some Properties of Stable Symmetric Distributions", with R. Roll, 1971 JASA
  • "Risk, Return and Equilibrium", 1971, JPE
  • The Theory of Finance, with M.H. Miller, 1972.
  • "Ordinal and Measurable Utility", 1972, in Jensen, editor, Studies in the Theory of Capital Markets.
  • "Risk, Return and Equilibrium: empirical tests", with J. MacBeth, 1973, JPE
  • "Inflation, Uncertainty and the Expected Returns on Treasury Bills", 1976, JPE
  • Foundations of Finance, 1976.
  • "Forward Rates as Predictors of Future Spot Rates", 1976, J of Financial Econ
  • "The Effects of a Firm's Investment and Financing Decisions on the Welfare of its Securityholders", 1978, AER
  • "Banking in the Theory of Finance", 1980, JME
  • "Agency Problems and the Theory of the Firm", 1980, JPE
  • "Agency Problems and Residual Claims", with M. Jensen, 1983, J Law Econ
  • "Separation of Ownership and Control", with M. Jensen, 1983, J Law Econ
  • "Term Premium in Bond Returns", 1984, J of Financial Econ
  • "The Information in the Term Structure", 1984, J of Financial Econ
  • "Term Premiums and Default Premiums in Money Markets", 1986, J of Fnancial Econ
  • "The Information in Long-Maturity Forward Rates", with R.R. Bliss, 1987, AER
  • "Permanent and Temporary Components of Stock Prices", with K. French, 1988, JPE
  • "Common Factors in the Serial Correlation of Stock Returns", with K. French,
  • "Two Pillars of Asset Pricing", 2013 [nobel]




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Resources on Eugene Fama

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