This week, we look at some interesting research that took a unique approach to explaining the value and size premiums. We examine the paper “Migration” by Eugene Fama and Kenneth…
Tag: Eugene Fama
The Value Premium is Smaller, but Not Dead
Although the value factor is one of the longest standing for stocks, the value premium has shrunk. This according to a recent article in AAII. The article notes that since…
Ken French: We Can’t Tell if Value Premium Has Disappeared
In a paper published last month, the team of Eugene Fama and Ken French—credited with identifying the value premium back in 1992—analyzed how the value factor has fared over the…
Study Raises Questions About Factor Significance
A new study has found that most of the market anomalies academics have identified are not statistically significant, says a recent Wall Street Journal article. After analyzing 447 anomalies (the…
AQR's Asness on Fama, Momentum Investing and More
Clifford Asness, Managing and Founding Principle of AQR, writes in his “Cliff’s Perspective” blog about Nobel Laureate and Professor Eugene Fama’s views on momentum investing. Asness is a believer in…