Eugene fama efficient market hypothesis pdf

American economist Date of Birth: Country: USA

Biography of Eugene F. Fama

Eugene Francis 'Gene' Fama, an American economist, is known for his work on portfolio theory and asset pricing, both in theoretical and empirical aspects.

He is currently the Robert R. McCormick Distinguished Service Professor at the University of Chicago Booth School of Business.

Eugene Francis Fama was born on January 14, , in Boston, Massachusetts. He received his Bachelor's degree in French from Tufts University in , and his Master of Business Administration and Doctor of Philosophy in Economics and Finance from the University of Chicago.

Fama started teaching at the University of Chicago in

During his doctoral dissertation, Fama was advised by Merton Miller and Harry Roberts, but he was also influenced by Benoit Mandelbrot.

Lars peter hansen Jensen, M. Jensen, 79— Portfolio selection: Efficient diversification of investments. Subsequently, hundreds of similar studies were published.

His dissertation, titled "The Behavior of Stock Market Prices," was published in January in the academic journal 'Journal of Business.' It was later rewritten in simpler language and published as "Random Walks in Stock Market Prices" in in the 'Financial Analysts Journal' and in in the 'Institutional Investor' publication.

Fama's article "The Adjustment of Stock Prices to New Information" in the 'International Economic Review' in , co-authored with other economists, became the first of its kind.

It analyzed how stock prices change with the introduction of new CRSP database on prices. Subsequently, hundreds of similar studies were published.

Fama is often referred to as the "father of the efficient market hypothesis" since the publication of his doctoral dissertation. In his groundbreaking article titled "Efficient Capital Markets: A Review of Theory and Empirical Work" in the 'Journal of Finance' in May , Fama introduced three forms of market efficiency: strong form, semi-strong form, and weak form efficiency.

The weak form of efficiency suggests that stock prices are independent of their past prices and cannot be used to predict future prices.

Efficient capital market eugene fama biography wikipedia Copy to clipboard. James M. Publisher Name : Palgrave Macmillan, London. Related topics Alter-globalization Anti-capitalism Anti-globalization Perspectives on capitalism.

The semi-strong form of the hypothesis includes the incorporation of all public information, such as company announcements or annual earnings reports, which are quickly reflected in the prices of stocks and bonds. The strong form of efficiency posits that prices fully reflect all possible information, whether it is available to everyone or only to company insiders.

Fama emphasized that the hypothesis of market efficiency should be tested in the context of expected returns, which is where the capital asset pricing model (CAPM) comes into play.

In recent years, Fama, in collaboration with Kenneth French, has challenged the CAPM model in a series of papers, questioning its ability to determine the volatility of portfolios or specific stocks based on the calculation of their beta.

In addition to his academic contributions, Fama co-authored the textbook "The Theory of Finance" with Nobel laureate Merton H.

Miller. He also serves as the head of research at Dimensional Fund Advisors, an investment advisory company.

Fama, along with James D. Macbeth, wrote the book "Risk, Return, and Equilibrium: Empirical Tests," which describes the widely-used Macbeth-Fama two-stage regression applied in estimating the parameters of asset pricing models.

In , Fama became the inaugural recipient of the newly established Deutsche Bank Prize in Financial Economics.

Fama has been married to his wife Sally for over 50 years.

They have four children and ten grandchildren. His daughter Elizabeth married economist John Cochrane from the University of Chicago Booth School of Business, who received an award for his book in his childhood.

In his free time, Eugene enjoys playing golf and tennis, as well as windsurfing, cycling, and swimming.