EFF/KRF: There is some confusion about the interpretation of the evidence in Fama and French (2014, “A Five-Factor Model of Expected Returns”) that HML is redundant for explaining average U.S. stock returns for 1963-2013.
KRF: Gene Fama has taught us a lot over the last 50 years. In this essay, I describe some of the things Gene has taught me about doing research, writing papers, and life in general.
EFF: My undergraduate alma mater, Tufts University, features my life and academic career in their Winter 2014 magazine.
EFF: In an interview for Nobel Media, Adam Smith and I spoke on many topics, including the pros and cons of having research debated in the public sphere and the unique research environment at Chicago. You can find the podcast here.
EFF: I shared with CNNMoney a piece of advice I received from a statistics professor that has guided my research for 50 years.
EFF: I have a new paper, "Does the Fed Control Interest Rates?". In it, I find that The Federal funds rate, FF, moves strongly toward the Fed's target, TF, but other rates show little day-to-day convergence to TF. When the Fed changes TF, it moves toward existing short rates. This suggests a passive Fed that follows the market, but it is also consistent with an active Fed that controls rates and rates adjust to reflect predictable changes in TF. When TF changes, short rates move toward the new TF. This is consistent with a Fed that controls short rates or a Fed that has no control but is an informed investor whose signals affect rates.
EFF: In an interview with Client Insights host Dan Richards, I explain the key findings of the paper "Luck vs. Skill in Mutual Fund Performance" that Ken French and I published in 2010. Looking at funds over their entire lifetimes, only 3% demonstrate skill after accounting for their fees, and that's what you would expect purely based on chance. Even the active funds that have generated extraordinary returns are unlikely to do better than a low-cost passive fund in the future.
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