자료: http://en.wikipedia.org/wiki/Eugene_Fama
Eugene F. "Gene" Fama (born February 14, 1939) is an American economist, known for his work on portfolio theory and asset pricing, both theoretical and empirical.
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[edit]Career
He earned his undergraduate degree in French from Tufts University in 1960 and his MBA and Ph.D. from the Graduate School of Business at the University of Chicago ineconomics and finance. He has spent all of his teaching career at the University of Chicago.
His Ph.D. thesis, which concluded that stock price movements are unpredictable and follow a random walk, was published in January, 1965 issue of the Journal of Business, entitled "The Behavior of Stock Market Prices" (Page 34-105). That work was subsequently rewritten into a less technical article, "Random Walks In Stock Market Prices",[1] which was published in the Financial Analysts Journal in 1965 andInstitutional Investor in 1968.
His article "The Adjustment of Stock Prices to New Information" in the International Economic Review, 1969 (with several co-authors) was the first event study that sought to analyze how stock prices respond to an event, using price data from the newly available CRSP database. This was the first of literally hundreds of such published studies.
[edit]Efficient market hypothesis
Fama is most often thought of as the father of efficient market hypothesis, beginning with his Ph.D. thesis. In a ground-breaking article in the May, 1970 issue of the Journal of Finance, entitled "Efficient Capital Markets: A Review of Theory and Empirical Work," Fama proposed two crucial concepts that have defined the conversation on efficient markets ever since. First, Fama proposed three types of efficiency: (1) strong-form; (ii) semi-strong form; and (iii) weak efficiency. Second, Fama demonstrated that the notion of market efficiency could not be rejected without an accompanying rejection of the model of market equilibrium (e.g. the price setting mechanism). This concept, known as the "joint hypothesis problem," has ever since vexed researchers.
[edit]Fama-French three-factor model
In recent years, Fama has become controversial again, for a series of papers, co-written with Kenneth French, 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. These papers describe two factors above and beyond a stock's market beta which can explain differences in stock returns: market capitalization and "value". They also offer evidence that a variety of patterns in average returns, often labeled as "anomalies" in past work, can be explained with their 3 factor model.
[edit]Other work
Additionally, Fama co-authored the textbook The Theory of Finance with Nobel Memorial Prize in Economics winner Merton H. Miller. He is also the director of research of Dimensional Fund Advisors, Inc., an investment advising firm with $126 billion under management (as of 2006). One of his children, Eugene F. Fama Jr., is a vice president of the company.
[edit]Awards
In 2005, Fama was the first winner of the newly established Deutsche Bank Prize in Financial Economics.[2]
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