THE JOURNAL OF FINANCE•VOL.LXIII,NO.1•FEBRUARY2008黄山奇松
Eugene F.Fama
Morgan Stanley—American Finance Association Award
for Excellence in Finance
2008
不讲规矩vi The Journal of Finance
Eugene F.Fama
The lection committee has chon Eugene F.Fama,the Robert McCormick Distinguished Service Professor of Finance at the University of Chicago,as the inaugural recipient of the Morgan Stanley—American Finance Association Award for Excellence in Finance.
Eugene Fama’s first publication,“The Behavior of Stock-Market Prices,”was also his Ph.D.disrtation at the University of Chicago.It appeared in the Journal of Business in January1965and studied the predictability of price changes.His most recent working paper,as of this writing,is“Discting Anomalies,”written with his frequent and long-time coauthor,Kenneth French. It
studies the abnormal returns,measured relative to the Fama–French three-factor model,attributable to firm characteristics such as accruals,net stock issues,ast growth,and profitability.
In the years parating the two papers,a great deal has happened in the field Eugene Fama helped to create,and throughout that time his contributions have been instrumental in shaping that evolution.In well over100published papers and two important books,Professor Fama has contributed to almost every subfield of finance.The empirical methods he has developed have be-come the starting points for every academic rearcher,and many practition-ers,working to bring coherence to financial data,and the substantive empirical findings in his papers have triggered tens of thousands of subquent papers attempting to extend,qualify,or refute them.Indeed,in studies of citation counts,his name invariably heads the list,and by most metrics he is parated from the field by a large margin.In addition,his many doctoral students and junior coauthors have,in their turns,gone on to become intellectual leaders of our field.Professor Fama’s past(and continuing)contributions to rearch in finance exemplify the criteria t forth for the Award:Their impact has been “fundamental,sustained,and broad.”
While over40years parate the two papers mentioned above,both illus-trate admirably the central characteristics of Professor Fama’s scholarship. His work shows a relentless determination to extrac
t interesting facts from fi-nancial data,an ability to summarize tho facts in the most provocative,fresh, and informative ways,and a willingness to take radical positions.He supports his positions with careful,logical economic reasoning,expresd in disciplined and efficient pro.He also shows an opportunistic ability to find,adapt,or develop statistical methods and theoretical arguments that solve the problems encountered along the way.The methods,in turn,have been widely adopted by other scholars becau his original work illustrates their utility so clearly. Professor Fama’s earliest papers developed what came to be called the Effi-cient Markets Hypothesis(EMH).His disrtation characterized the distri-bution of stock price changes,tested for rial dependence in returns,and anticipated subquent work on mutual fund performance.Fama,Fisher, Jenn,and Roll(1969)pioneered the methodology we know as the“event
American Finance Association Award vii study,”which has become an esntial empirical tool for rearchers in cor-poration finance and accounting.Professor Fama’s review paper on the EMH, published in the Journal of Finance in1970,was a critical turning point in the history of the field.It brought together the study of market efficiency with the insights about risk and return gained through the two-parameter equilib-rium model of ast prices.The paper made clear the dependence of tests for market efficiency on the assumed model for the determination of equilibrium returns.It also taxon
omized tests for market efficiency into weak,mi-strong, and strong forms bad on the type of information involved.
In the early1970s Professor Fama took on the task of testing the new equi-librium theories of risk and return.Of the veral competing methodologies ex-plored during this period,the“Fama–MacBeth regression”method(1973)sur-vives as the standard technique rearchers employ to test the cross-ctional restrictions impod by ast pricing models.
In the late1970s and1980s,Professor Fama turned his attention to other -curities markets,producing fundamental empirical findings on the term struc-ture,interest rates,inflation,and the forward premia in foreign exchange mar-kets.The results have become central concerns for macro and international, as well as financial,economists.皮包>乐就
Economists generally produce their most important work early in their ca-reers.Remarkably,Professor Fama’s most cited papers were written in the early 1990s,25years after his Ph.D.His papers with long-time coauthor Kenneth French on the rewards earned by holding value and small stocks have proved both methodologically and substantively central to the evolution of rearch on ast pricing.The“Fama–French factor model”(1992,1993)has become a workhor a
nd benchmark in a wide range of empirical applications.Explain-ing the value and size of the premia,as characterized in the papers,is a central challenge ast pricing models attempt to meet.
In the current decade,Professor Fama has continued to add fundamental insights to perhaps the most central question in ast pricing:Which stocks have high average returns and why?His recent papers with Professor French in this area explore such questions as whether the determinants of expected returns are consistent with simple prent value relations and clean surplus accounting,1and which of them are pervasive across size categories,as oppod to limited to micro-cap stocks that would be particularly difficult to trade.2 Fama and French have also turned to some of the central concerns of corporate finance,producing influential papers documenting the downward trends in dividend payments3and,more recently,arguing that equity issuance through non-SEO methods is pervasive,suggesting that adver lection is unlikely to explain the configuration of capital structures,even if it is important to choosing the method of issuance.4
1See Fama and French(2006).
两个人歌词2See Fama and French(2007).
3See Fama and French(2001).米芾书法作品欣赏
4See Fama and French(2005).
viii The Journal of Finance
The lection committee,the American Finance Association,and Morgan Stanley join in congratulating Eugene Fama on a career full of remarkable achievements.His rearch contributions have had a major impact on the the-ory,empirics,and practice of modern finance,and that impact will be enduring.
REFERENCES
Fama,Eugene F.,1965,The behavior of stock-market prices,Journal of Business38,34–105. Fama,Eugene F.,1970,Efficient capital markets—Review of theory and empirical work,Journal of Finance25,383–423.
Fama,Eugene F.,Lawrence Fisher,Michael Jenn,and Richard Roll,1969,The adjustment of stock prices to new information,International Economic Review10,1–21.
拍手歌教学反思Fama,Eugene F.,and Kenneth R.French,1992,The cross-ction of expected stock returns,Journal of Finance47,427–465.
Fama,Eugene F.,and Kenneth R.French,1993,Common risk factors in the returns on bonds and stocks,Journal of Financial Economics33,3–56.
Fama,Eugene F.,and Kenneth R.French,2001,Disappearing dividends,Journal of Financial Economics60,3–43.
Fama,Eugene F.,and Kenneth R.French,2005,Financing decisions:Who issues stock?Journal of Financial Economics76,549–582.
Fama,Eugene F.,and Kenneth R.French,2006,Profitability,investment,and average returns, Journal of Financial Economics82,491–518.
Fama,Eugene F.,and Kenneth R.French,2007,Discting anomalies,CRSP working paper,Uni-versity of Chicago.
Fama,Eugene F.,and James MacBeth,1973,Risk,return,and equilibrium:Empirical tests,Jour-nal of Political Economy81,607–636.
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