Selected Bibliography for Eugene F. Fama
Robert R. McCormick Distinguished Service Professor of Finance
Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel, 2013
Eugene F. Fama profile at Scopus
Published Works
"The Value Premium." Eugene F. Fama and Kenneth R. French; The Review of Asset Pricing Studies, 2021, 11(1), pp. 105-21.
"Contract Costs, Stakeholder Capitalism, and Esg." Eugene F. Fama; European Financial Management, 2021, 27(2), pp. 189-95.
"Taxes." Eugene F. Fama; European Financial Management, 2021, 27(1), pp. 3-11.
"Comparing Cross-Section and Time-Series Factor Models." Eugene F. Fama and Kenneth R. French; The Review of Financial Studies, 2020, 33(5), pp. 1891-926.
"Long-Horizon Returns." Eugene F. Fama and Kenneth R. French; The Review of Asset Pricing Studies, 2018, 8(2), pp. 232-52.
"Choosing Factors." Eugene F. Fama and Kenneth R. French; Journal of Financial Economics, 2018, 128(2), pp. 234-52.
"Volatility Lessons." Eugene F. Fama and Kenneth R. French; Financial Analysts Journal, 2018, 74(3), pp. 42-53.
"Finance at the University of Chicago." Eugene F. Fama; Journal of Political Economy, 2017, 125(6), pp. 1790-99.
"International Tests of a Five-Factor Asset Pricing Model." Eugene F. Fama and Kenneth R. French; Journal of Financial Economics, 2017, 123(3), pp. 441-63.
"Dissecting Anomalies with a Five-Factor Model." Eugene F. Fama and Kenneth R. French; The Review of Financial Studies, 2016, 29(1), pp. 69-103.
"Incremental Variables and the Investment Opportunity Set." Eugene F. Fama and Kenneth R. French; Journal of Financial Economics, 2015, 117(3), pp. 470-88.
"A Five-Factor Asset Pricing Model." Eugene F. Fama and Kenneth R. French; Journal of Financial Economics, 2015, 116(1), pp. 1-22.
"Two Pillars of Asset Pricing." Eugene F. Fama; American Economic Review, 2014, 104(6), pp. 1467-85.
"Was There Ever a Lending Channel?" Eugene F. Fama; European Financial Management, 2013, 19(5), pp. 837-51.
"Does the Fed Control Interest Rates?" Eugene F. Fama; Review of Asset Pricing Studies, 2013, 3(2), pp. 180-99.
"Size, Value, and Momentum in International Stock Returns." Eugene F. Fama and Kenneth R. French; Journal of Financial Economics, 2012, 105(3), pp. 457-72.
"My Life in Finance." Eugene F. Fama; Annual Review of Financial Economics, 2011, 3(1), pp. 1-15.
"In Memory of Lawrence Fisher: Gene Fama's Comments." Eugene F. Fama; Review of Quantitative Finance and Accounting, 2010, 35(2), pp. 125-26.
"Luck Versus Skill in the Cross-Section of Mutual Fund Returns." Eugene F. Fama and Kenneth R. French; The Journal of Finance, 2010, 65(5), pp. 1915-47.
"Average Returns, B/M, and Share Issues." Eugene F. Fama and Kenneth R. French; The Journal of Finance, 2008, 63(6), pp. 2971-95.
"Dissecting Anomalies." Eugene F. Fama and Kenneth R. French; The Journal of Finance, 2008, 63(4), pp. 1653-78.
"The Anatomy of Value and Growth Stock Returns." Eugene F. Fama and Kenneth R. French; Financial Analysts Journal, 2007, 63(6), pp. 44.
"Migration." Eugene F. Fama and Kenneth R. French; Financial Analysts Journal, 2007, 63(3), pp. 48-58.
"Disagreement, Tastes, and Asset Prices." Eugene F. Fama and Kenneth R. French; Journal of Financial Economics, 2007, 83(3), pp. 667-89.
"Profitability, Investment and Average Returns." Eugene F. Fama and Kenneth R. French; Journal of Financial Economics, 2006, 82(3), pp. 491-518.
"The Value Premium and the Capm." Eugene F. Fama and Kenneth R. French; The Journal of Finance, 2006, 61(5), pp. 2163-85.
"The Behavior of Interest Rates." Eugene F. Fama; The Review of Financial Studies, 2006, 19(2), pp. 359-79.
"Financing Decisions: Who Issues Stock?" Eugene F Fama and Kenneth R French; Journal of Financial Economics, 2005, 76(3), pp. 549.
"The Capital Asset Pricing Model: Theory and Evidence." Eugene F. Fama and Kenneth R. French; Journal of Economic Perspectives, 2004, 18(3), pp. 25.
"New Lists: Fundamentals and Survival Rates." Eugene F. Fama and Kenneth R. French; Journal of Financial Economics, 2004, 73(2), pp. 229-69.
"Testing Trade-Off and Pecking Order Predictions About Dividends and Debt." Eugene F. Fama and Kenneth R. French; Review of Financial Studies, 2002, 15(1), pp. 1-33.
"The Equity Premium." Eugene F. Fama and Kenneth R. French; Journal of Finance, 2002, 57(2), pp. 637-59.
"Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?" Eugene F Fama and Kenneth R French; The Bank of America Journal of Applied Corporate Finance, 2001, 14(1), pp. 67.
"Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?" Eugene F. Fama and Kenneth R. French; Journal of Financial Economics, 2001, 60(1), pp. 3-43.
"Separation of Ownership and Control," Eugene F. Fama and Michael C. Jensen, in Corporate Governance: Values, Ethics and Leadership. R. I. Tricker, London: Gower, 2000, pp. 163 - 88.
"Short-Term Interest Rates as Predictors of Inflation," Eugene F. Fama, in The Debt Market. S. Ross, Cheltenham, U.K. and Northampton, Mass.: Elgar;, 2000, pp. 271-84.
"Characteristics, Covariances, and Average Returns: 1929 to 1997." James L. Davis, Eugene F. Fama and Kenneth R. French; Journal of Finance, 2000, 55(1), pp. 389-406.
"Forecasting Profitability and Earnings." Eugene F. Fama and Kenneth R. French; Journal of Business, 2000, 73(2), pp. 161-75.
"The Corporate Cost of Capital and the Return on Corporate Investment." Eugene F. Fama and Kenneth R. French; Journal of Finance, 1999, 54(6), pp. 1939-67.
"Market Efficiency, Long-Term Returns, and Behavioral Finance." Eugene F. Fama; Journal of Financial Economics, 1998, 49(3), pp. 283-306.
"Taxes, Financing Decisions, and Firm Value." Eugene F. Fama and Kenneth R. French; Journal of Finance, 1998, 53(3), pp. 819-43.
"Determining the Number of Priced State Variables in the Icapm." Eugene F. Fama; Journal of Financial and Quantitative Analysis, 1998, 33(2), pp. 217-31.
"Value Versus Growth: The International Evidence." Eugene F. Fama and Kenneth R. French; Journal of Finance, 1998, 53(6), pp. 1975-99.
"Industry Costs of Equity." Eugene F. Fama and Kenneth R. French; Journal of Financial Economics, 1997, 43(2), pp. 153-93.
"Multifactor Explanations of Asset Pricing Anomalies." Eugene F. Fama and Kenneth R. French; Journal of Finance, 1996, 51(1), pp. 55-84.
"Discounting under Uncertainty." Eugene F. Fama; Journal of Business, 1996, 69(4), pp. 415-28.
"The Capm Is Wanted, Dead or Alive." Eugene F. Fama and Kenneth R. French; Journal of Finance, 1996, 51(5), pp. 1947-58.
"Multifactor Portfolio Efficiency and Multifactor Asset Pricing." Eugene F. Fama; Journal of Financial and Quantitative Analysis, 1996, 31(4), pp. 441-65.
"Random Walks in Stock Market Prices." Eugene F. Fama; Financial Analysts Journal, 1995, 51(1), pp. 75.
"Size and Book-to-Market Factors in Earnings and Returns." Eugene F. Fama and Kenneth R. French; Journal of Finance, 1995, 50(1), pp. 131-55.
"Differences in the Risks and Returns of Nyse and Nasd Stocks." Eugene F. Fama, Kenneth R. French, David G. Booth and Rex Sinquefield; Financial Analysts Journal, 1993, 49(1), pp. 37.
"Common Risk Factors in the Returns on Stock and Bonds." Eugene F. Fama and Kenneth R. French; Journal of Financial Economics, 1993, 33(1), pp. 3-56.
"Diversification Returns and Asset Contributions." David G. Booth and Eugene F. Fama; Financial Analysts Journal, 1992, 48(3), pp. 26.
"Transitory Variation in Investment and Output." Eugene F. Fama; Journal of Monetary Economics, 1992, 30(3), pp. 467-80.
"The Cross-Section of Expected Stock Returns." Eugene F. Fama and Kenneth R. French; Journal of Finance, 1992, 47(2), pp. 427-65.
"Time, Salary, and Incentive Payoffs in Labor Contracts." Eugene F. Fama; Journal of Labor Economics, 1991, 9(1), pp. 25-44.
"Efficient Capital Markets: Ii." Eugene F. Fama; Journal of Finance, 1991, 46(5), pp. 1575-617.
"Term-Structure Forecasts of Interest Rates, Inflation, and Real Returns." Eugene F. Fama; Journal of Monetary Economics, 1990, 25(1), pp. 59-76.
"Contract Costs and Financing Decisions." Eugene F. Fama; Journal of Business, 1990, 63(1), pp. S71-S91.
"Stock Returns, Expected Returns, and Real Activity." Eugene F. Fama; Journal of Finance, 1990, 45(4), pp. 1089-108.
"Editorial: Clinical Papers and Their Role in the Development of Financial Economics." Michael C. Jensen, Eugene F. Fama, John B. Long Jr, Richard S. Ruback, G. William Schwert, Clifford W. Smith Jr and Jerold Warner; Journal of Financial Economics, 1989, 24( 1), pp. 3.
"Business Conditions and Expected Returns on Stocks and Bonds." Eugene F. Fama and Kenneth R. French; Journal of Financial Economics, 1989, 25(1), pp. 23-49.
"Dividend Yields and Expected Stock Returns." Eugene F. Fama and Kenneth R. French; Journal of Financial Economics, 1988, 22(1), pp. 3-25.
"Permanent and Temporary Components of Stock Prices." Eugene F. Fama and Kenneth R. French; Journal of Political Economy, 1988, 96(2), pp. 246-73.
"Business Cycles and the Behavior of Metals Prices." Eugene F. Fama and Kenneth R. French; Journal of Finance, 1988, 43(5), pp. 1075-93.
"Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage." Eugene F. Fama and Kenneth R. French; Journal of Business, 1987, 60(1), pp. 55-73.
"The Information in Long-Maturity Forward Rates." Eugene F. Fama and Robert R. Bliss; American Economic Review, 1987, 77(4), pp. 680-92.
"Term Premiums and Default Premiums in Money Markets." Eugene F. Fama; Journal of Financial Economics, 1986, 17(1), pp. 175-96.
"Organizational Forms and Investment Decisions." Eugene F. Fama and Michael C. Jensen; Journal of Financial Economics, 1985, 14(1), pp. 101-19.
"What's Different About Banks?" Eugene F. Fama; Journal of Monetary Economics, 1985, 15(1), pp. 29-39.
"The Information in the Term Structure." Eugene F. Fama; Journal of Financial Economics, 1984, 13(4), pp. 509-28.
"Term Premiums in Bond Returns." Eugene F. Fama; Journal of Financial Economics, 1984, 13(4), pp. 529-46.
"A Comparison of Inflation Forecasts." Eugene F. Fama and Michael R. Gibbons; Journal of Monetary Economics, 1984, 13(3), pp. 327-48.
"Forward and Spot Exchange Rates." Eugene F. Fama; Journal of Monetary Economics, 1984, 14(3), pp. 319-38.
"Financial Intermediation and Price Level Control." Eugene F. Fama; Journal of Monetary Economics, 1983, 12(1), pp. 7-28.
"Stock Returns, Real Activity, Inflation, and Money: Reply." Eugene F. Fama; American Economic Review, 1983, 73(3), pp. 471-72.
"Separation of Ownership and Control." Eugene F. Fama and Michael C. Jensen; Journal of Law and Economics, 1983, 26(2), pp. 301-25.
"Agency Problems and Residual Claims." Eugene F. Fama and Michael C. Jensen; Journal of Law and Economics, 1983, 26(2), pp. 327-49.
"Inflation, Real Returns and Capital Investment." Eugene F. Fama and Michael R. Gibbons; Journal of Monetary Economics, 1982, 9(3), pp. 297-323.
"Inflation, Output, and Money." Eugene F. Fama; Journal of Business, 1982, 55(2), pp. 201-31.
"Stock Returns, Real Activity, Inflation, and Money." Eugene F. Fama; American Economic Review, 1981, 71(4), pp. 545-65.
"Banking in the Theory of Finance." Eugene F. Fama; Journal of Monetary Economics, 1980, 6(1), pp. 39-57.
"Agency Problems and the Theory of the Firm." Eugene F. Fama; Journal of Political Economy, 1980, 88(2), pp. 288-307.
"Inflation, Interest, and Relative Prices." Eugene F. Fama and G. William Schwert; Journal of Business, 1979, 52(2), pp. 183-209.
"Money, Bonds, and Foreign Exchange." Eugene F. Fama and Andre Farber; American Economic Review, 1979, 69(4), pp. 639-49.
"The Effects of a Firm's Investment and Financing Decisions on the Welfare of Its Security Holders." Eugene F. Fama; American Economic Review, 1978, 68(3), pp. 272-84.
"Asset Returns and Inflation." Eugene F. Fama and G. William Schwert; Journal of Financial Economics, 1977, 5(2), pp. 115-46.
"Risk-Adjusted Discount Rates and Capital Budgeting under Uncertainty." Eugene F. Fama; Journal of Financial Economics, 1977, 5(1), pp. 3-24.
"Human Capital and Capital Market Equilibrium." Eugene F. Fama and G. William Schwert; Journal of Financial Economics, 1977, 4(1), pp. 95-125.
"Interest Rates and Inflation: The Message in the Entrails." Eugene F. Fama; American Economic Review, 1977, 67(3), pp. 487-96.
Foundations of Finance : Portfolio Decisions and Securities Prices Eugene F. Fama; New York: Basic Books, 1976.
"Forward Rates as Predictors of Future Spot Rates." Eugene F. Fama; Journal of Financial Economics, 1976, 3(4), pp. 361-77.
"Efficient Capital Markets: Reply." Eugene F. Fama; Journal of Finance, 1976, 31(1), pp. 143-45.
"Inflation Uncertainty and Expected Returns on Treasury Bills." Eugene F. Fama; Journal of Political Economy, 1976, 84(3), pp. 427-48.
"Multiperiod Consumption-Investment Decisions: A Correction." Eugene F. Fama; American Economic Review, 1976, 66(4), pp. 723-24.
"Short-Term Interest Rates as Predictors of Inflation." Eugene F. Fama; American Economic Review, 1975, 65(3), pp. 269-82.
"Tests of the Multiperiod Two-Parameter Model." Eugene F. Fama and James D. MacBeth; Journal of Financial Economics, 1974, 1(1), pp. 43-66.
"The Empirical Relationships between the Dividend and Investment Decisions of Firms." Eugene F. Fama; American Economic Review, 1974, 64(3), pp. 304-18.
"Long-Term Growth in a Short-Term Market." Eugene F. Fama and James D. MacBeth; Journal of Finance, 1974, 29(3), pp. 857-85.
"The Number of Firms and Competition: Reply." Eugene F. Fama and Arthur B. Laffer; American Economic Review, 1974, 64(4), pp. 806.
"Risk, Return, and Portfolio Analysis: Reply." Eugene F. Fama; Journal of Political Economy, 1973, 81(3), pp. 753-55.
"Risk, Return, and Equilibrium: Empirical Tests." Eugene F. Fama and James D. MacBeth; Journal of Political Economy, 1973, 81(3), pp. 607-36.
"A Note on the Market Model and the Two-Parameter Model." Eugene F. Fama; Journal of Finance, 1973, 28(5), pp. 1181-85.
The Theory of Finance Eugene F. Fama and Merton H. Miller; Hinsdale, Ill.: Dryden Press, 1972.
"Components of Investment Performance." Eugene F. Fama; Journal of Finance, 1972, 27(3), pp. 551-67.
"The Number of Firms and Competition." Eugene F. Fama and Arthur B. Laffer; American Economic Review, 1972, 62(4), pp. 670-74.
"Perfect Competition and Optimal Production Decisions under Uncertainty." Eugene F. Fama; The Bell Journal of Economics and Management Science, 1972, 3(2), pp. 509-30.
"Parameter Estimates for Symmetric Stable Distributions." Eugene F. Fama and Richard Roll; Journal of the American Statistical Association, 1971, 66(334), pp. 331-38.
"Three Asset Cash Balance and Dynamic Portfolio Problems." Gary D. Eppen and Eugene F. Fama; Management Science, 1971, 17(5), pp. 311-19.
"Risk, Return, and Equilibrium." Eugene F. Fama; Journal of Political Economy, 1971, 79(1), pp. 30-55.
"Information and Capital Markets." Eugene F. Fama and Arthur B. Laffer; Journal of Business, 1971, 44(3), pp. 289-98.
"Multiperiod Consumption-Investment Decisions." Eugene F. Fama; American Economic Review, 1970, 60(1), pp. 163-74.
"Efficient Capital Markets: A Review of Theory and Empirical Work." Eugene F. Fama; Journal of Finance, 1970, 25(2), pp. 383-417.
Risk and the Evaluation of Pension Fund Portfolio Performance Eugene F. Fama; Park Ridge, Ill: Bank Administration Institute, 1969.
"The Adjustment of Stock Prices to New Information." Eugene F. Fama, Lawrence Fisher, Michael C. Jensen and Richard Roll; International Economic Review, 1969, 10(1), pp. 1-21.
"Cash Balance and Simple Dynamic Portfolio Problems with Proportional Costs." Gary D. Eppen and Eugene F. Fama; International Economic Review, 1969, 10(2), pp. 119-33.
"Some Properties of Symmetric Stable Distributions." Eugene F. Fama and Richard Roll; Journal of the American Statistical Association, 1968, 63( 323), pp. 817.
"Dividend Policy: An Empirical Analysis." Eugene F. Fama and Harvey Babiak; Journal of the American Statistical Association, 1968, 63( 324), pp. 1132.
"Solutions for Cash-Balance and Simple Dynamic-Portfolio Problems." Gary D. Eppen and Eugene F. Fama; Journal of Business, 1968, 41(1), pp. 94-112.
"Risk, Return and Equilibrium: Some Clarifying Comments." Eugene F. Fama; Journal of Finance, 1968, 23(1), pp. 29-40.
"Filter Rules and Stock-Market Trading." Eugene F. Fama and Marshall E. Blume; Journal of Business, 1966, 39(1), pp. 226-41.
"The Behavior of Stock-Market Prices." Eugene F. Fama; Journal of Business, 1965, 38(1), pp. 34-105.
"Portfolio Analysis in a Stable Paretian Market." Eugene F. Fama; Management Science, 1965, 11(3), pp. 404-19.
"Tomorrow on the New York Stock Exchange." Eugene F. Fama; Journal of Business, 1965, 38(3), pp. 285-99.
The Distribution of the Daily Differences of the Logarithms of Stock Prices; Eugene F. Fama; Ph.D Dissertation, University Of Chicago, 1964.
"Review of 'Topics in Cost Accounting and Decisions'." Nicholas Dopuch and Eugene F. Fama; Accounting Review, 1964, 39(2), pp. 521.
"Mandelbrot and the Stable Paretian Hypothesis." Eugene F. Fama; Journal of Business, 1963, 36(4), pp. 420-29.