Pustaka Keuangan

 

Fama & French Papers

 

Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics33(1), 3-56.

Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance47(2), 427-465.

Fama, E. F. (1980). Agency Problems and the Theory of the Firm. The journal of political economy, 288-307.

Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. The Journal of Political Economy, 607-636.

Fama, E. F., & French, K. R. (1989). Business conditions and expected returns on stocks and bonds. Journal of financial economics25(1), 23-49.

Fama, E. F. (1965). The behavior of stock-market prices. Journal of business, 34-105.

Fama, E. F., & French, K. R. (1988). Dividend yields and expected stock returns. Journal of financial economics22(1), 3-25.

Fama, E. F., & Schwert, G. W. (1977). Asset returns and inflation. Journal of financial economics5(2), 115-146.

Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. The journal of finance51(1), 55-84.

Fama, E. F. (1991). Efficient capital markets: II. The journal of finance,46(5), 1575-1617.

Fama, E. F., & Jensen, M. C. (1983). Agency problems and residual claims. Journal of law and Economics, 327-349.

Fama, E. F. (1998). Market efficiency, long-term returns, and behavioral finance. Journal of financial economics49(3), 283-306.

Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The adjustment of stock prices to new information. International economic review10(1), 1-21.

Fama, E. F., & French, K. R. (1988). Permanent and temporary components of stock prices. The Journal of Political Economy, 246-273.

Fama, E. F., & French, K. R. (1995). Size and book‐to‐market factors in earnings and returns. The Journal of Finance50(1), 131-155.

Fama, E. F., & French, K. R. (2002). Testing trade‐off and pecking order predictions about dividends and debt. Review of financial studies15(1), 1-33.

Fama, E. F., & French, K. R. (2001). Disappearing dividends: changing firm characteristics or lower propensity to pay?. Journal of Financial economics,60(1), 3-43.

Fama, E. F., & French, K. R. (2004). The capital asset pricing model: Theory and evidence. Journal of Economic Perspectives18, 25-46.

Fama, E. F., & Bliss, R. R. (1987). The information in long-maturity forward rates. The American Economic Review, 680-692.

Fama, E. F. (1990). Stock returns, expected returns, and real activity. The Journal of Finance45(4), 1089-1108.

Fama, E. F. (1975). Short-term interest rates as predictors of inflation. The American Economic Review, 269-282.

Fama, E. F. (1995). Random walks in stock market prices. Financial analysts journal51(1), 75-80.

Fama, E. F., & Jensen, M. C. (1985). Organizational forms and investment decisions. Journal of financial Economics14(1), 101-119.

Fama, E. F., & French, K. R. (2002). The equity premium. The Journal of Finance57(2), 637-659.

Fama, E. F., & Blume, M. E. (1966). Filter rules and stock-market trading.Journal of business, 226-241.

Fama, E. F. (1963). Mandelbrot and the stable Paretian hypothesis. Journal of Business, 420-429.

Fama, E. F., & French, K. R. (2008). Dissecting anomalies. The Journal of Finance63(4), 1653-1678.

Fama, E. F., & French, K. R. (1998). Taxes, financing decisions, and firm value. The Journal of Finance53(3), 819-843.

Fama, E. F. (1977). Risk-adjusted discount rates and capital budgeting under uncertainty. Journal of Financial Economics5(1), 3-24.

Fama, E. F., & Gibbons, M. R. (1984). A comparison of inflation forecasts.Journal of Monetary Economics13(3), 327-348.

Fama, E. F. (1990). Term-structure forecasts of interest rates, inflation and real returns. Journal of Monetary Economics25(1), 59-76.

Fama, E. F., & French, K. R. (2005). Financing decisions: who issues stock?. Journal of financial economics76(3), 549-582.

Fama, E. F., & French, K. R. (2000). Forecasting Profitability and Earnings*.The Journal of Business73(2), 161-175.

Fama, E. F., & French, K. R. (2010). Luck versus skill in the cross‐section of mutual fund returns. The Journal of Finance65(5), 1915-1947.

Fama, E. F., & Roll, R. (1968). Some properties of symmetric stable distributions. Journal of the American Statistical Association63(323), 817-836.

Fama, E. F., & French, K. R. (2006). The value premium and the CAPM.The Journal of Finance61(5), 2163-2185.

Fama, E. F. (1978). The effects of a firm’s investment and financing decisions on the welfare of its security holders. The American Economic Review, 272-284.

Fama, E. F., & French, K. R. (1988). Business cycles and the behavior of metals prices. The Journal of Finance43(5), 1075-1093.

Fama, E. F., & French, K. R. (2012). Size, value, and momentum in international stock returns. Journal of financial economics105(3), 457-472.

Fama, E. F. (1984). Term premiums in bond returns. Journal of Financial economics13(4), 529-546.

Fama, E. F. (1986). Term premiums and default premiums in money markets. Journal of Financial Economics17(1), 175-196.

Fama, E. F., & French, K. R. (2006). Profitability, investment and average returns. Journal of Financial Economics82(3), 491-518.

Fama, E. F. (1997). Market efficiency, long-term returns, and behavioral finance. Long-Term Returns, and Behavioral Finance (February 1997).

Fama, E. F., & French, K. R. (2007). Disagreement, tastes, and asset prices. Journal of Financial Economics83(3), 667-689.

Fama, E. F. (1990). Contract costs and financing decisions. Journal of Business, S71-S91.

Fama, E. F., & French, K. R. (2007). The anatomy of value and growth stock returns. Financial Analysts Journal63(6), 44-54.

Fama, E. F. (2006). The behavior of interest rates. Review of Financial Studies19(2), 359-379.

Fama, E. F., & French, K. R. (2008). Average returns, B/M, and share issues. The Journal of Finance63(6), 2971-2995.

Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model.Journal of Financial Economics116(1), 1-22.

Fama, E. F., & MacBeth, J. D. (1974). LONG‐TERM GROWTH IN A SHORT‐TERM MARKET. The Journal of Finance29(3), 857-885.

Fama, E. F., & French, K. R. (1986). Common factors in the serial correlation of stock returns. Finance.

Fama, E. F., & French, K. (2008). Mutual fund performance. Journal of Finance63, 389-416.

French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of financial Economics19(1), 3-29.

Fama, E. F., & French, K. R. (1997). Dividends, debt, investment, and earnings. Center for Research in Security Prices, Graduate School of Business, University of Chicago.

Jorion, P., & Mishkin, F. (1991). A multicountry comparison of term-structure forecasts at long horizons. Journal of Financial Economics29(1), 59-80.

Fama, E. F., & French, K. R. (2009). Luck versus skill in the cross section of mutual fund returns. Tuck School of Business Working Paper, (2009-56).

Jensen, G. R., Mercer, J. M., & Johnson, R. R. (1996). Business conditions, monetary policy, and expected security returns. Journal of Financial Economics40(2), 213-237.

Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread.Journal of financial Economics17(2), 223-249.

Boudoukh, J., Richardson, M., & Smith, T. (1993). Is the ex ante risk premium always positive?: A new approach to testing conditional asset pricing models. Journal of Financial Economics34(3), 387-408.

Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of financial economics9(1), 3-18.

Haugen, R. A., & Baker, N. L. (1996). Commonality in the determinants of expected stock returns. Journal of Financial Economics41(3), 401-439.

Campbell, J. Y. (1987). Stock returns and the term structure. Journal of financial economics18(2), 373-399.

Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. The journal of political economy, 637-654.

Ikenberry, D., Lakonishok, J., & Vermaelen, T. (1995). Market underreaction to open market share repurchases. Journal of financial economics39(2), 181-208.

Black, F. (1972). Capital market equilibrium with restricted borrowing. Journal of business, 444-455.

Hamilton, J. D. (1988). Rational-expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates. Journal of Economic Dynamics and Control12(2), 385-423.

Fama, E. F. (2014). Two pillars of asset pricing. The American Economic Review104(6), 1467-1485.

Cochrane, J. H. (1991). Volatility tests and efficient markets: A review essay. Journal of Monetary Economics27(3), 463-485.

Poterba, J. M., & Summers, L. H. (1988). Mean reversion in stock prices: Evidence and implications. Journal of financial economics22(1), 27-59.

Chiang, I. H. E. (2015). Modern portfolio management with conditioning information. Journal of Empirical Finance.

French, K. R., & Roll, R. (1986). Stock return variances: The arrival of information and the reaction of traders. Journal of financial economics17(1), 5-26.

Ball, R., Kothari, S. P., & Shanken, J. (1995). Problems in measuring portfolio performance An application to contrarian investment strategies. Journal of Financial Economics38(1), 79-107.

Taylor, M. P. (1995). The economics of exchange rates. Journal of Economic literature, 13-47.

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