Eugene Fama

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Eugene Fama is often referred to as the father of modern finance .

Eugene Francis Fama (born February 14, 1939 in Boston ) is an American economist who has made influential contributions to portfolio theory and capital market theory . In 2013 he was awarded the Alfred Nobel Memorial Prize for Economics , together with Robert J. Shiller and Lars Peter Hansen .

life and work

Fama studied Romance Studies and graduated from Tufts University in 1960 with a bachelor's degree . He then moved to the Graduate School of Business at the University of Chicago , where he did his MBA in 1963 and in 1964 with his thesis The Behavior of Stock Market Prices to Ph.D. received his doctorate . His doctoral supervisor was Benoît Mandelbrot . Fama was Assistant Professor (1963-65), Associate Professor (1966-68), Professor (1968-73), Theodore-O.-Yntema-Professor (1973-84), Theodore-O.-Yntema-Distinguished-Service -Professor (1984–93) and has been Robert R. McCormick Distinguished Service Professor of Economics since 1993. His time in Chicago was only interrupted by visiting professorships at the Katholieke Universiteit Leuven (1975–76) and the University of California, Los Angeles (1982–95, always in winter).

In his dissertation , Fama tried to show that share prices are not predictable, but are subject to random movements . He later worked both theoretically and empirically in the areas of portfolio theory and pricing . In 1970 he coined the term market efficiency hypothesis .

In the 1990s, he and Kenneth French wrote a series of articles that questioned the validity of the Capital Asset Pricing Model (CAPM). This model states that only the beta, as a stock-specific variable, has an influence on the expected return on the stock. In their essays, the two authors describe that in addition to the beta of the share, factors such as market capitalization and the ratio of book and market value of equity also have an influence on the expected return on the share. These results lead to an extension of the capital asset pricing model to the Fama-French three-factor model .

Fama is an opponent of the economic concept of speculative bubbles . He thinks the concept is misleading. Fama explained his criticism of speculative bubbles in the Nobel Lecture held in 2014. According to his argument, a bubble only exists if market participants can reliably predict the price slide. Otherwise it is just an opinion that deviates from the market. Furthermore, there is no reputable research that provides an empirically reliable test for bubbles that would be able to predict when prices would fall again after rising. Therefore, all statements about bubbles are mere anecdotes and have no empirical-scientific evidence. Fama also asks which part of the bubble is actually irrational, the price increase or the subsequent drop. In most bubbles, the price decline would be made up for by price gains after a short time.

He once canceled the business magazine Economist because he used the word "bubble" too often.

Fama comes from a family of Italian immigrants, is married and has four children.

Publications

Fama published around 100 essays and two books:

Prices

Memberships

literature

  • Mark Blaug (Ed.): Who's who in economics . 4th edition, Elgar, Cheltenham [u. a.] 1999, ISBN 1-85898-886-1 , pp. 242-243
  • Eugene Fama's Efficient Market Hypothesis. In: Colin Read: The Efficient Market Hypothesists. Bachelier, Samuelson, Fama, Ross, Tobin and Shiller. Palgrave Macmillan, 2013, ISBN 978-0-230-27421-1 , pp. 91-118 ( books.google.de ).

Web links

Commons : Eugene Fama  - collection of pictures, videos and audio files

Individual evidence

  1. ↑ Eugene F Fama. Accessed August 2, 2020 .
  2. ^ A b Eugene F. Fama: The Behavior of Stock Market Prices. In: Journal of Business. January 1965, pp. 34-105. A simplified version can be found as: Random Walks in Stock Market Prices (PDF; 603 kB). In: The Financial Analysts Journal . September / October 1965, pp. 55-59.
  3. ^ Eugene Fama: Efficient Capital Markets. A Review of Theory and Empirical Work . In: The Journal of Finance . Volume 25, Issue 2, 1970, pp. 383-417;
    Eugene Fama: Efficient Capital Markets II. In. Journal of Finance. Volume 46, Issue 5, 1991, pp. 1575-1617.
    Eugene Fama: Market efficiency, long-term returns, and behavioral finance. In: Journal of Financial Economics . Volume 49, 1998, pp. 283-306.
  4. ^ Eugene F. Fama, Kenneth R. French: The Cross-Section of Expected Stock Returns . In: Journal of Finance . 47, No. 2, 1992, pp. 427-465. doi : 10.2307 / 2329112 .
  5. ^ Eugene F. Fama, Kenneth R. French: Common Risk Factors in the Returns on Stocks and Bonds . In: Journal of Financial Economics . 33, No. 1, 1993, pp. 3-56. doi : 10.1016 / 0304-405X (93) 90023-5 .
  6. ^ Eugene F. Fama: Two Pillars of Asset Pricing . In: American Economic Review . tape 104 , no. 6 , June 1, 2014, ISSN  0002-8282 , p. 1467–1485 , doi : 10.1257 / aer.104.6.1467 .
  7. ↑ Patrick Bernau: Eugene Fama: The market knows everything . In: Frankfurter Allgemeine Zeitung , August 9, 2014. Retrieved November 4, 2014. 
personal data
SURNAME Fama, Eugene
ALTERNATIVE NAMES Fama, Eugene F .; Fama, Eugene Francis (full name)
BRIEF DESCRIPTION American economist
DATE OF BIRTH February 14, 1939
PLACE OF BIRTH Boston