Who can introduce the life of Eugene Fama?

Eugene F. Fama: Eugene F. Fama is one of the most cited economists in the world and a thinker in the field of financial economics.

Introduction of Eugene Fama

In the history of human thought development, a great thinker is always ahead of the times, that is, his thoughts are always ahead of his times. His thought may not be so sensational at first, but as time goes on, it will show its influence and far-reaching significance more and more, and it has been proved to be a classic theory by practice.

Professor Eugene F.Fama is a thinker in the field of financial economics. Professor Fama was born in Boston, Massachusetts, USA on February 1939. He is a third-generation Italian immigrant. 1960 graduated from Tufts University in Massachusetts with a bachelor's degree in French. This is the beginning of a future that doesn't look like a master of finance. 1960- 1963 studied for an MBA at Booth School of Business, University of Chicago, 1963 began to study for a doctorate, and 1964 obtained a doctorate. His doctoral thesis is "Price Trends in the Stock Market". From 65438 to 0995, Fama was awarded an honorary doctorate by the University of Leuven, Belgium. Eugene Fama participated in many academic groups while studying at Tufts University and University of Chicago.

[Editor] Professor Fama's main work experience

His main work experience is as follows:

1963- 1965 financial assistant, graduate school, booth school of business, university of Chicago.

1966- 1968 associate professor of finance, booth school of business, university of Chicago.

Professor of Finance, University of Chicago Booth School of Business Graduate School

1975- 1976 Visiting Professor of Catholic University

1982- 1995 Visiting Professor, Anderson Graduate School, University of California.

1982- research director, member and fund consultant of the market and investment Committee

Professor Eugene Fama is a member of the American Economic Association, a member of the American Financial Association, the deputy editor-in-chief of Finance magazine (197 1- 1973, 1977- 1980) and the consultant editor-in-chief of Financial Economics magazine (.

[Editor] Professor Fama's Academic Research and Contribution

Professor Fama has a wide range of research interests, including investment theory and empirical analysis, the price formation of capital market, and the economics of corporate finance and organizational form survival. He has made important contributions in several fields of economics, and he is a well-deserved pioneer in the process of making finance an independent discipline and an independent field in economics. Its main research fields run through economics, business and finance. He not only studied the price trend of financial securities and the asset allocation relationship determined by individuals and enterprises, but also studied the information structure of capital market, companies and competition, risk management, inflation and economic activities, prices of different currencies, and currencies and banks. Professor Fama's thesis is characterized by rigorous theory, application of empirical methods, based on statistics and economic analysis, and proof of well-defined abstract problems with actual data and specific investigations.

Professor Fama's main contribution is to put forward the famous Efficient Market Hypothesis (EMH). This assumption holds that if the relevant information is not distorted and fully reflected in the securities price, then the market is efficient. One of the most important inferences of the efficient market hypothesis is that any attempt to beat the market is futile, because the stock price has fully reflected all possible information, including all public and private information. Under the rapid reaction of stock price to information, it is impossible to have a higher chance of normal income.

The concise EMH embodies what economists have always dreamed of, that is, market equilibrium. EMH is actually an extension of Adam Smith's "invisible hand" in the financial market. The establishment of EMH ensures the applicability of financial theory and is the basis of classical financial economics. Since EMH was formally put forward, the debate around it has never stopped for more than 30 years. These arguments not only improve the theoretical and empirical research of EMH, but also promote the vigorous development of many other sciences. Professor Fama is a master of efficient market theory, and he has made outstanding contributions to the final formation and perfection of this theory. 1970, he published an influential first-class classic paper on EMH in Finance, the most prestigious professional financial magazine, Effective Capital Market: A Summary of Theoretical and Empirical Research. This paper not only systematically summarizes the previous research on EMH, but also puts forward a complete theoretical framework for EMH research. After that, EMH flourished, its connotation deepened and its extension expanded, and finally became one of the pillar theories of modern financial economics. As the name implies, this anthology focuses on the theory and empirical evidence of efficient capital market, which embodies the idea that the interaction of market participants and the distortion of information dissemination prevent individual investors from obtaining the established income in the competitive capital market. Some important points in this article are based on Professor Fama's own research. Including his famous paper "Price Trends in the Stock Market" published in business magazines from 65438 to 0965, in which he put forward mandatory statistical evidence based on the random walk model of price trends under the efficient market hypothesis. This paper is indexed by a large number of literatures when it proves the validity of efficient market hypothesis and the root cause of its potential failure.

2 1 year later, that is, 199 1 year, Professor Fama published a series of follow-up research results related to this article on the 50th anniversary of Finance Journal. In these results, he evaluated the literatures indexing his articles and his own related research.

The empirical research on EMH can be divided into three categories: weak test, semi-strong test and strong test. The reason for this division is to show that the market efficiency hypothesis is not supported at any information level. This classification was first put forward by Roberts in May 1967, and was later popularized by Professor Fama. The object of strength test is the rate of return of professional investors or insiders. Professional investors have the ability to fund long-term research on a company, an industry or even an economy-this is the so-called basic analysis in economics. If we can find that an investor has repeatedly surpassed the performance, it shows that he has the ability to predict. And his research results, that is, the information he has, have not been absorbed by market prices. The research on insider trading has become one of the important topics in financial economics, political economics and legal research, and this research has made considerable progress abroad.

[Editor] Working with Miller

In the1970s, Professor Fama's two works had a lasting impact on his independent discipline in the financial field. 1972 The Financial Theory co-authored by Professor merton miller, the winner of the Nobel Prize in Economics, and the Basic Finance written by Professor 1976 became milestones in the development of financial management, which was widely circulated in universities all over the world, marking the maturity of western financial management theory.

Financial management used to be an essential part of the course of economics department, based on the natural overlap with more traditional fields, such as macroeconomics, microeconomics and economic analysis. Professor Fama has done a lot of work in combining modern financial management with traditional economic disciplines. In "Banking in Financial Theory" published by the famous Monetary Economy magazine 1980, he put forward the famous concepts of traditional monetary unit and banking, as well as the modern financial management concept and the risk understanding of securities prices in financial markets.

[Editor] Professor Fama's academic research achievements in portfolio and asset pricing.

Professor Fama has written a lot of papers on portfolio and asset pricing, among which the important ones are:

Theoretical research on (1);

1, Random Walk of Stock Market Price, Selected Papers Series of University of Chicago Booth School of Business Graduate School.

2. With Gray Eppen, Business Magazine, 1968, 1.

3. "Risk, Return and General Equilibrium: Some Clarifications", Financial Journal, March 1968.

4. Risk and Performance Evaluation of Pension Fund Investment Strategy, Journal of Bank Management Association, 1968.

5. "Cash Balance and Simple Power Combination at Appropriate Cost", International Economic Review, June, 1969.

6. "Intertemporal Consumption-Investment Decision", American Economic Review, March 1970.

7. Effective Capital Market: A Summary of Theoretical and Empirical Research, Financial Journal, 1970 May.

8. Feng, Risk, Benefit and Balance, Journal of Political Economy, 197 1 year1-February.

9. Information and Capital Market, Business Journal, July 197 1.

10, Notes on Market Model and Two-parameter Model, Financial Journal,1973,65438+February.

1 1, "Cash, Securities and Exchange Transactions", American Economic Review,1September 979.

12, Efficient Market II, Financial Journal, 199 1 year 1 1 month.

13, Different Income and Asset Contribution, Journal of Financial Analysis, 1992 May.

14, Market Efficiency, Long-term Return and Behavioral Finance, Journal of Financial Economics,1September, 998.

15, Multi-factor Portfolio Efficiency and Multi-factor Asset Pricing, Journal of Finance and Quantitative Analysis, 1996 12.

(2) Empirical research:

1, Stock Market Price Trend, Business Magazine, 1965 1.

2. Tomorrow of new york Stock Exchange, Business Magazine, July 1965.

3. Overconsideration Principle and Trading Profit in the Stock Market (co-authored with Marshall Bloom), Business Journal, 1966, 1.

4. "Stock price adjustment under new information", International Economic Review (co-authored with L. Fisher, M. Jensen and R. Roll),1February 969.

5. "Risk, Return and Equilibrium: Empirical Test", (co-authored with J. Macbeth), Journal of Political Economy,1May-June, 973.

6. "Proof of intertemporal two-parameter model", (co-authored with J.Macbeth), Journal of Financial Economics,1March 974.

7. "Long-term growth in short-term market", (co-authored with J. Macbeth), Financial Journal,1June 974.

8. "Short-term interest rate under inflation expectation", American Economic Review, June 1975.

9. Inflation Uncertainty and Expected Return of National Debt, Journal of Political Economy, June 1976.

10, Human Capital and Capital Market Equilibrium, (co-authored with G.William Schwert), Journal of Financial Economics, 1977, 1.

1 1, Return on Assets and Inflation (co-authored with G.William Schwert), Business Journal, 1979, 1 1.

12, "Inflation, Interest and Relative Prices", (co-authored with G.William Schwert), Business Journal,1April 979.

13, Stock Repurchase, Real Performance, Inflation and Money, American Economic Review, 198 1 September.

14, periodic structure information, Journal of Financial Economics,1984,65438+February.

15, Expected and Cash Exchange Rate, Journal of Monetary Economy, 1984 1 1.

16, "Permanent and Temporary Components of Stock Price", Journal of Political Economy (co-authored with Kenneth R.French),1April 988.

17, dividend return and expected stock return, (co-authored with Kenneth R.French), Journal of Financial Economics,1August 988.

18, Business Environment and Expected Returns of Stocks and Bonds, (co-authored with Kenneth R.French), Journal of Financial Economics, 1989, 1 1.

19, Interest Rate, Inflation and Expectation of Real Rate of Return in Period, Journal of Monetary Economy, 1990, 1.

20. Stock Returns, Expected Returns and Real Performance, Financial Journal,1September 990.

2 1, Cross Selection of Expected Stock Returns, (co-authored with Kenneth R.French), Financial Journal,1June 992.

22. "Differences between Risks and Returns of new york Stock Exchange and Nasdaq Stock", Journal of Financial Analysis (co-authored with Kenneth R.French, David G.Booth and Rex Sinquefield), 1993 1.2.

23. "General Risk Factors of Stock and Bond Returns", Journal of Financial Economics (co-authored with Kenneth R.French),1February 993.

24. "Multi-factor explanation of abnormal asset prices", (with Kenneth R.French) Financial Magazine,1March 996.

25. The Cost of Industrial Equity, Financial Journal, February 1997.

26. Value and Growth: International Proof (co-authored with Kenneth R. French), 19965438+ February.

27. Eigenvalue, Covariance and Average Return: 1929- 1997, Finance Journal, February 2000.

28. "Return on equity risk" (co-authored with Kenneth R.French), Financial Journal, April 2002.

[Editor] Professor Fama's outstanding contributions in other fields

In terms of company theory, Fama put forward the pioneering idea of "manager market competition" as an incentive mechanism at the end of 1970' s. Fama believed that even without internal incentives, managers would work hard under the pressure of external markets for their future career prospects. At present, the topic of manager's career consideration and manager's market competition has become a hot topic in company theory.

Another fruitful and encouraging research field of Professor Fama is the application of financial concepts and methods to the study of foreign exchange market. His paper "Expectation and Cash Exchange Rate" published in Journal of Monetary Economy 1984 has become a benchmark in a large number of literatures, aiming at empirically verifying the existence and dynamic characteristics of risk premium in foreign exchange market. Professor Fama's proof in this paper is called Fama's proof in the professional field, which has become an important academic resource in the fields of transnational economics, commerce and finance, and an important part of the course of applied economic analysis and financial economic analysis all over the world.

In the late 1980s and early 1990s, Professor Fama made important contributions in the field of stock return prediction and its relationship with economic activities. In particular, in a series of papers co-authored by Fama and Kenneth French, a professor at Massachusetts Institute of Technology, in the early 1990s of 1968+0990, he tested that several alternative financial data can improve the predictability of stock returns and economic activities. Their article examines these data from the macroeconomic level and the company level, such as the generation of dividends; In addition, the relationship between stock returns and business fluctuations is tested. He has made important contributions in the field of stock return forecast and its relationship with economic activities. In addition to considering the fluctuation of stock price relative index, they also considered the company's scale and the classification of price-to-book ratio, and constructed a three-factor model including market factor, scale factor and value factor.

After long-term verification, they proved that the three-factor model can explain most of the abnormal returns of US stocks. Similar empirical evidence has been found in other markets, including the emerging stock market in China. The three-factor model really explains the "anomaly" problem that CAPM model can't explain; The three-factor model can also be used to measure the performance of funds to examine the investment ability of fund managers.

In a series of articles, the paper entitled "Cross-selection of stock returns" won Fama and Frans the best paper award in Brayton of Finance magazine 1992.

In addition, Professor Fama is also prolific in other fields of economics. He wrote many influential papers and made important contributions. In his article entitled "Agency Problem and Company Theory" published in the Journal of Political Economy (65438-0980), he wrote an important note on the microeconomic theory of agency and incentive introduced by companies. In the thesis co-authored with Professor Michael Zhan Sen of Harvard Business School, the legal disputes related to the company's owners and management, the right to claim profit surplus and the optional organizational structure of the company were examined. These papers, including "Separation and Control of Owners" and "Agency Problems and Residual Claims", were published in Law and Economy of 1983. 199 1 year, he published a paper on incentive wages in labor contracts in the Journal of Labor Economics, that is, "Time, Wages and Incentive Wages in Labor Contracts" caused great repercussions in the field of labor economics.

Generally speaking, Professor Fama has made great contributions to the development of economics and finance as an independent discipline. The precious property he brought us will greatly stimulate our academic research enthusiasm and that of future generations.