Robert R. McCormick Distinguished Service Professor of Finance
Eugene F. Fama is the central scholar whose groundbreaking work inspired the founding of the firm. The author of the efficient markets hypothesis that underlies all of Dimensional's products, Professor Fama helped develop the firm's process, continues to supply key research, and helps keep the firm abreast of research in academia. Widely perceived as the "father of modern finance," he has brought an empirical and scientific rigor to the field of investment management, transforming the way finance is viewed and conducted.
Far from being silent, Professor Fama remains actively involved in the day-to-day operations of the firm as director of research. In addition to serving on the board of directors of Dimensional Fund Advisors Inc., he is also a member of its investment committee, and in this capacity continues to develop many of the firm's strategies. He is also a frequent speaker at Dimensional conferences and seminars.
The author of two books and numerous articles, Professor Fama is among the most prolific and cited of America's researchers. He focuses much of his study on market prices and implications for portfolio management. He is also an advisory editor of the Journal of Financial Economics and a fellow of the Econometric Society in the American Academy of Arts and Sciences. Awarded the Chaire Francqui (Belgian National Science Prize) in 1982, Professor Fama was also granted honorary law degrees by the University of Rochester and DePaul University. An active windsurfer and mountain biker, he was recently inducted into the Malden (Mass.) Catholic High School Athletic Hall of Fame.
The Robert R. McCormick Distinguished Service Professor of Finance at the Graduate School of Business at the University of Chicago, Professor Fama received his Ph.D. degree from the University of Chicago in 1964. He also holds an MBA from the University of Chicago and a B.A. from Tufts University.
Curriculum vitae
Education
A.B. (French), Tufts University, 1960; Ph.D. (economics-finance), University of Chicago, 1964.
Research Activities
Theoretical and empirical work on investments; price formation in capital markets; corporate finance.
Selected Publications
With Kenneth R. French, "Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance (March 1995). "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance (March 1996). "Common Risk Factors in the Returns on Stocks and Bonds," Journal of Financial Economics (January 1993). "The Cross-Section of Expected Stock Returns," Journal of Finance (June 1992). "Efficient Capital Markets: II," Fiftieth Anniversary Invited Paper, Journal of Finance(December 1991).
Other Interests
Windsurfing, golf, tennis, biking, old movies, opera.
Major Works of Eugene F. Fama
"Mandlebrot and the Stable Paretian Hypothesis", 1963, J of Business
"Tomorrow on the New York Stock Exchange", 1965, J of Business
"The Behavior of Stock Market Prices", 1965, J of Business
"Portfolio Analysis in a Stable Paretian Market", 1965, Management Science
"Filter Rules and Stock-Market Trading", with M.E. Blume, 1966,J of Business
"Dividend Policy: an empirical analysis", with H. Babiak, 1968, JASA
"Risk, Return and Equilibrium: Some clarifying comments", 1968, J of Finance
"The Adjustment of Stock Prices to New Information", with L. Fisher, M.C. Jensen and R. Roll, 1969, IER.
"Multiperiod Consumption-Investment Decisions", 1970, AER
"Efficient Capital Markets: a review of theory and empirical work", 1970, J of Finance
"Some Properties of Stable Symmetric Distributions", with R. Roll, 1971 JASA
"Risk, Return and Equilibrium", 1971, JPE
The Theory of Finance, with M.H. Miller, 1972.
"Ordinal and Measurable Utility", 1972, in Jensen, editor, Studies in the Theory of Capital Markets.
"Risk, Return and Equilibrium: empirical tests", with J. MacBeth, 1973, JPE
"Inflation, Uncertainty and the Expected Returns on Treasury Bills", 1976, JPE
Foundations of Finance, 1976.
"Forward Rates as Predictors of Future Spot Rates", 1976, J of Financial Econ
"The Effects of a Firm's Investment and Financing Decisions on the Welfare of its Securityholders", 1978, AER
"Banking in the Theory of Finance", 1980, JME
"Agency Problems and the Theory of the Firm", 1980, JPE
"Agency Problems and Residual Claims", with M. Jensen, 1983, J Law Econ
"Separation of Ownership and Control", with M. Jensen, 1983, J Law Econ
"Term Premium in Bond Returns", 1984, J of Financial Econ
"The Information in the Term Structure", 1984, J of Financial Econ
"Term Premiums and Default Premiums in Money Markets", 1986, J of Fnancial Econ
"The Information in Long-Maturity Forward Rates", with R.R. Bliss, 1987, AER
"Permanent and Temporary Components of Stock Prices", with K. French, 1988, JPE
"Comon Factors in the Serial Correlation of Stock Returns", with K. French,
download location: http://gsbwww.uchicago.edu/fac/eugene.fama/research/
