Nearly 30 years ago, Eugene Fama and Kenneth French introduced their three-factor model, augmenting the capital asset pricing model (CAPM) with small minus big (SMB) and high minus low (HML).…
Tag: Eugene Fama
Academic Research Spotlight: Migration by Eugene Fama and Kenneth French (Ep. 85)
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…
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…
Fama, French, Buffett & Value
In his latest column for Forbes.com, Validea CEO John Reese looks at the implications of new research from renowned finance professors Kenneth French and Eugene Fama that turns conventional thinking…
The Diversification Debate
In addition to the question of how many stocks they should own, another similar question many investors ask is how many funds or asset classes they should own. In a…
Hulbert: Small-Cap Value Stocks May Be Ripe for Impressive Gains
Small-cap value stocks are risky but they also historically produce jaw-dropping gains at the begining of bull markets, Mark Hulbert writes in the New York Times. Referencing academic research performed…