Eugene Fama
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:
- with Merton H. Miller : The Theory of Finance . Holt, Rinehart & Winston, New York [a. a.] 1972, ISBN 0-03-086732-0
- Foundations of Finance. Portfolio decisions and securities prices . Basic Books, New York 1976, ISBN 0-465-02499-8
Prices
- 1982 Chaire Francqui (Francqui Foundation, Belgium)
- 1987 Doctor of Law ( University of Rochester )
- 1989 Doctor of Law ( DePaul University )
- 1992 Smith-Breeden Prize (for the best work in the Journal of Finance 1992: with Kenneth French : The Cross-Section of Expected Stock Returns . In: Journal of Finance . Volume 47, June 1992, pp. 427-465.)
- 1995 honorary doctorate from the Catholic University of Leuven
- 1998 Fama-DFA-Preis (for the best publication on the topic of capital markets and pricing in the Journal of Financial Economics 1998: Market Efficiency Long-Term Returns and Behavioral Finance . In: Journal of Financial Economics . Volume 49, Issue 3, September 1998, p 283-306. The award is named after him because he is the editor of the magazine.)
- 2001 second place of the Jensen-Preis (for the best article on corporate finance and organizations in the Journal of Financial Economics 2001: with Kenneth R. French: Disappearing Dividends. Changing Firm Characteristics or Lower Propensity to Pay . In: Journal of Financial Economics . Volume 60, No. 3, April 2001, pp. 3–43.)
- 2002 Honorary Doctorate from Tufts University
- 2005 Deutsche Bank Prize in Financial Economics
- 2006 Nicholas Molodovsky Award ( CFA Institute )
- 2007 CME Fred Arditti Innovation Award ( Chicago Mercantile Exchange )
- 2008 Morgan Stanley-American Finance Association Award for Excellence in Finance
- 2009 Onassis Prize in Finance
- 2013 Alfred Nobel Memorial Prize for Economics (with Lars Peter Hansen and Robert J. Shiller )
Memberships
- Phi Beta Kappa , Tufts University
- Omicron Chi Epsilon, Tufts University
- Beta Gamma Sigma , University of Chicago
- 1989 Econometric Society
- 1989 American Academy of Arts and Sciences
- 2001 corresponding member of the Académie des sciences morales et politiques , section Économie, politique, statistique et finance.
- 2001 American Finance Association
- American Economic Association
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
- Eugene F. Fama on the Chicago Booth School of Business website
- Rational irrationality. Interview in The New Yorker. January 2010
- Eugene F. Fama on nobelprize.org
- Interview (December 2017)
Individual evidence
- ↑ Eugene F Fama. Accessed August 2, 2020 .
- ^ 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.
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^ 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. - ^ 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 .
- ^ 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 .
- ^ 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 .
- ↑ 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 |