Economist Channel

The Fama Portfolio, is a new book from the University of Chicago Press. This is a collection of Gene Fama's papers, edited by Toby Moskowitz and me. It includes introductory essays by a group of Gene's distinguished colleagues, Ken French, Bill Schwert, René Stulz, Cliff Asness, John Liew, Campbell Harvey, Jan Liu, Amit Seru, and Amir Sufi.

The essays explain the ideas in modern terms, tell you why the papers are important, explain how the papers influenced subsequent thinking, update you on where our understanding on each point is today, and speculate about where new ideas may go. The continuing vitality of this work, even parts decades old, is impressive.

The task was hard. Which Fama papers should one read? Well, all of them! but we nonetheless had to pick. We typically chose a famous one from early in one of Gene's many research programs, and then a less known later one that really sums it up clearly. Gene's ideas get clearer over time, just like the rest of ours do.

The press lets us post our essays.  Here are mine (most joint with Toby):

1. Preface;
2. Efficient Markets and Empirical Finance; 
3. Luck vs. Skill;
4. Risk and Return; 
5. Return Forecasts and Time Varying Risk Premiums; 
6. Our Colleague.

Other authors may post their essays on their webpages. Otherwise, you'll just have to buy the book!

The contents:


Preface, by John H. Cochrane and Tobias J. Moskowitz
I. Introductions
My Life in Finance
Things I’ve Learned from Gene Fama
Gene Fama’s Impact: A Quantitative Analysis
II. Efficient Markets
Efficient Markets and Empirical Finance
The Great Divide
Efficient Capital Markets: A Review of Theory and Empirical Work
Efficient Capital Markets: II
Market Efficiency, Long-Term Returns, and Behavioral Finance
III. Efficiency Applied: Event Studies and Skill
Fama, Fisher, Jensen, and Roll (1969): Retrospective Comments
Eugene Fama and Industrial Organization
The Adjustment of Stock Prices to New Information
Luck versus Skill
Luck vs. Skill and Factor Selection
Luck versus Skill in the Cross-Section of Mutual Fund Returns
IV. Risk and Return
Risk and Return
Risk, Return, and Equilibrium: Empirical Tests
The Cross-Section of Expected Stock Returns
Common Risk Factors in the Returns on Stocks and Bonds
Multifactor Explanations of Asset Pricing Anomalies
V. Return Forecasts and Time-Varying Risk Premiums
Return Forecasts and Time Varying Risk Premiums
Short-Term Interest Rates as Predictors of Inflation
Forward Rates as Predictors of Future Spot Rates
Forward and Spot Exchange Rates
Dividend Yields and Expected Stock Returns
The Information in Long-Maturity Forward Rates
VI. Corporate Finance and Banking
Corporate Finance
Agency Problems and the Theory of the Firm
Separation of Ownership and Control
Dividend Policy: An Empirical Analysis
Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?
Financing Decisions: Who Issues Stock?
Banking in the Theory of Finance
Conclusion: Our Colleague, by John H. Cochrane and Tobias J. Moskowitz
Contributors