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Eugene Fama Quotes
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Firms that have a high BE/ME (a low stock price relative to book value) tend to have low earnings on assets. Conversely, low BE/ME (a high stock price relative to book value) is associated with persistently high earnings.
Eugene Fama
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The empirical successes of [the three-factor model] suggest that it is an equilibrium pricing model, a three-factor version of Merton's (1973) intertemporal CAPM (ICAPM) or Ross's (1976) arbitrage pricing theory (APT). In this view, SMB and HML mimic combinations of two underlying risk factors or state variables of special hedging concern to investors.
Eugene Fama
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If assets are priced rationally, variables that are related to average returns, such as size and book-to-market equity, must proxy for sensitivity to common (shared and thus undiversifiable) risk factors in returns. The time-series regressions give direct evidence on this issue. In particular, the slopes and R2 values show whether mimicking portfolios for risk factors related to size and [book-to-market] capture shared variation in stock and bond returns not explained by other factors.
Eugene Fama
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Although size and book to market equity seem like ad hoc variables for explaining average stock returns, we have reason to expect that they proxy for common risk factors in returns.
Eugene Fama
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The question is when is active management good? The answer is never.
Eugene Fama
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If active managers win, it has to be at the expense of other active managers. And when you add them all up, the returns of active managers have to be literally zero, before costs. Then after costs, it's a big negative sign
Eugene Fama
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Writing is conscience, scruple, and the farming of our ancestors.
Edward Dahlberg
Eugene Fama
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Born:
February 14, 1939
(age 86)
Bio:
Eugene Francis "Gene" Fama is an American economist and Nobel laureate in Economics, often referred to as "The Father of Finance", best known for his empirical work on portfolio theory, asset pricing and stock market behaviour.
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