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He has worked on asset pricing with Eugene Fama. They wrote a series of papers that cast doubt on the validity of the Capital Asset Pricing Model (CAPM) , which posits that a stock's beta alone should explain its average return.
Kenneth R. French - Data Library. Current Research Returns. In this paper Fama and French explain how they produce the U.S. factor returns in their Data Library and they estimate the effect of the two changes in their process and five major CRSP data-improvement projects on the average values of SMB and HML.
Jan 10, 2022 · Eugene F. Fama and Kenneth R. French introduced their three-factor model augmenting the capital asset pricing model (CAPM) nearly three decades ago.
Eugene Francis "Gene" Fama (/ ˈ f ɑː m ə /; born February 14, 1939) is an American economist, best known for his empirical work on portfolio theory, asset pricing, and the efficient-market hypothesis.
In asset pricing and portfolio management the Fama–French three-factor model is a statistical model designed in 1992 by Eugene Fama and Kenneth French to describe stock returns. Fama and French were colleagues at the University of Chicago Booth School of Business, where Fama still works.
Smith-Breeden Prize (with co-author Kenneth R. French) for the best paper in the Journal of Finance in 1992, “The Cross-Section of Expected Stock Returns.” Fama-DFA Prize for the best paper published in 1998 in the Journal of Financial Economics in the areas of capital markets and asset pricing, “Market Efficiency Long-Term Returns and ...
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Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market β, size, leverage, book-to-market equity, and earnings-price ratios.
