Nov 9, 2012
Links
EFF: I shared with CNNMoney a piece of advice I received from a statistics professor that has guided my research for 50 years.
Jun 18, 2012
Links
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.
Jun 7, 2012
Links
EFF: I talked with Client Insights host Dan Richards about the problems with the Capital Asset Pricing Model (CAPM) and the development of the Fama/French three-factor model as a more accurate way of determining how average returns differ from one another. I also explain why higher expected returns for small and value stocks should persist.
May 31, 2012
Links
EFF: I spoke with Client Insights host Dan Richards about the importance of effectively communicating the risks associated with equity investing. Also, I discuss how Warren Buffett's success is more properly viewed in the context of business ownership than equity investment.
May 15, 2012
Links
EFF: Last week I was interviewed by James Mackintosh from the Financial Times. We discussed the relevance of market efficiency for investors, the definition of market "bubbles," and measurements of active manager outcomes. Watch the seven-minute interview here: Defending efficient markets (Financial Times).
Feb 13, 2012
Links
EFF: I spoke with EconTalk host Russ Roberts about how the efficient market hypothesis relates to macroeconomic events of the past few years, with some additional thoughts on behavioral finance and the evolving nature of financial academic research.
Nov 14, 2011
Links
Professor Eugene Fama discusses the connections between the financial crisis of 2008 and efficient markets, economic growth, and market volatility with students from the Chicago Booth Finance Club on October 15 at the Gleacher Center.
Oct 25, 2010
Links
This podcast features David Booth, MBA '71, and professor Eugene Fama of Chicago Booth. The discussion, moderated by Dean Edward Snyder, looks at Mr. Booth's co-founding of Dimensional Fund Advisors, which pioneered small cap investing, as well as the continuing contribution professor Fama and his research have made to the firm.
(Listen to the audio)
Jun 22, 2010
Links
KRF: The Squam Lake Group recently published "The Squam Lake Report: Fixing the Financial System". We launched the book with a conference in New York.
Aug 6, 2009
Links
KRF: Professor Robert Lucas of the University of Chicago has an interesting guest article in The Economist, "In defense of the dismal science."
Aug 3, 2009
Links
EFF/KRF: For an interesting and colorful economic analysis of the proposed U.S. Healthcare Bill we recommend "Health Care Mythology" by Cliff Asness, a Chicago Booth Ph.D.
Mar 26, 2009
Links
EFF/KRF: Our new paper, Luck versus Skill in the Cross Section of Mutual Fund Alpha Estimates, takes another look at the performance of mutual funds. Bootstrap simulations produce no evidence that any managers have enough skill to cover the costs they impose on investors. If there are managers with sufficient skill to cover costs, they are hidden among the mass of managers with insufficient skill.
Mar 25, 2009
Links
KRF: If you are looking for historical returns on our three factors and many other interesting portfolios, you can find them on my web site.
Jan 9, 2009
Links
EFF/KRF: The Economist provides unusually clear and accurate analysis of economic and financial issues. You can download podcasts from The Economist on iTunes.
Dec 30, 2008
Links
EFF/KRF: There is often a two or three year gap between the first draft of a paper and publication in a top finance journal. Most financial economists post their working papers on SSRN.com and, because the publication process is so slow, that is where they look for the latest research. Most papers on SSRN are available for free.
Ours are available here:
- Papers by Fama (SSRN)
- Papers by French (SSRN)
Dec 19, 2008
Links
EFF/KRF: Gary Becker (University of Chicago faculty member in economics and business and a Nobel Prize winner in economics) and Richard Posner (University of Chicago Law School professor and a US Appellate Judge) are intellectual giants of economics and law. Whatever they have to say is worth a read.
Dec 10, 2008
Links
EFF/KRF: The IGM (Initiative on Global Markets of the University of Chicago Booth School of Business) web site has lots of good stuff from op eds to links to serious academic papers of the business school faculty.
ABOUT FAMA AND FRENCH
Eugene F. Fama
The Robert R.
McCormick Distinguished
Service Professor of
Finance at the University
of Chicago Booth School
of Business
Kenneth R. French
The Roth Family Distinguished Professor of
Finance at the Tuck
School of Business at
Dartmouth College
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This article is distributed for educational purposes and should not be considered investment advice or an offer of any security for sale. This article contains the opinions of the author but not necessarily Dimensional Fund Advisors and does not represent a recommendation of any particular security, strategy or investment product. Dimensional Fund Advisors is an investment advisor registered with the Securities and Exchange Commission. Information contained herein has been obtained from sources believed to be reliable, but is not guaranteed. Past performance is not indicative of future results and no representation is made that the stated results will be replicated.
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Dimensional Fund Advisors Ltd. is authorised and regulated in the United Kingdom by the Financial Services Authority (FRN: 150100), is registered in England and Wales under Company No. 02569601 and VAT No. 577327607. The registered office address of Dimensional Fund Advisors Ltd. is 7 Down Street, London, W1J 7AJ, United Kingdom. Dimensional Fund Advisors Ltd. is a subsidiary of Dimensional Fund Advisors.