Updated Charts of Historical Volatility PDF files available.
Updated Charts of Historical Volatility PDF files available.
"Stock Volatility during the Recent Financial Crisis" NBER Working Paper No. W16976, European Financial Management, 17 (2011) 789-805 PDF file available.
"The Variability of IPO Initial Returns", with Michelle B. Lowry and Micah Officer, Simon School Working Paper No. FR 06-06; NBER Working Paper No. W12295, Journal of Finance, 65 (April 2010) 425-465. PDF file available.
"Is the IPO Pricing Process Efficient?" with Michelle B. Lowry. Journal of Financial Economics, 71 (January 2004) 3-26. PDF file available.
"Anomalies and Market Efficiency." Chapter 15 in Handbook of the Economics of Finance, eds. George Constantinides, Milton Harris, and Rene M. Stulz, North-Holland (2003) 937-972. PDF file available.
"IPO Market Cycles: Bubbles or Sequential Learning?" with Michelle B. Lowry. Journal of Finance, 57 (June 2002) 1171-1200. PDF file available.
Data on IPOs available
"Stock Volatility in the New Millennium: How Wacky is Nasdaq?" Journal of Monetary Economics 49 (January 2002) 3-26. PDF file available.
"Hostility in Takeovers: In the Eyes of the Beholder?" Journal of Finance, 55 (December 2000) 2599-2640. PDF file available.
Data on takeovers available
"Stock Market Volatility: Ten Years After the Crash," Brookings-Wharton Papers on Financial Services, I (1998) 65-114. PDF file available.
"Markup Pricing in Mergers & Acquisitions," Journal of Financial Economics, 41 (June 1996) 153-192. Summarized in The C.F.A. Digest, 25 (Winter 1995) 83-84. PDF file available.
"Poison or Placebo? Evidence on the Deterrence and Wealth Effects of Modern Antitakeover Measures," with Robert Comment, Journal of Financial Economics, 39 (September 1995) 3-43. Reprinted in the Proceedings of the Seminar on the Analysis of Security Prices,
(November 1993). PDF file available.
Data on Poison Pills available
"Securities Transaction Taxes: An Overview of Costs, Benefits and Unresolved Questions," with Paul J. Seguin, Financial Analysts Journal, 49 (September/October 1993) 27-35. Reprinted in Securities Transaction Taxes: False Hopes and Unintended Consequences, Suzanne Hammond, ed., (Chicago: Catalyst Institute, 1995), 1-26. PDF file available.
"The Journal of Financial Economics: A Retrospective Evaluation, 1974-91," Journal of Financial Economics, 33 (June 1993) 369-424. PDF file available.
Empirical Research in Capital Markets, G. William Schwert and Clifford W. Smith, Jr., eds. (New York: McGraw-Hill, 1992).
"Heteroskedasticity in Stock Returns," Journal of Finance, 45 (September 1990) 1129-1155, with Paul J. Seguin. PDF file available.
"Stock Returns and Real Activity: A Century of Evidence," Journal of Finance, 45 (September 1990) 1237-1257. PDF file available.
"Stock Market Volatility," Financial Analysts Journal, 46 (May-June 1990) 23-34. Reprinted in Market Volatility and Investor Confidence, New York Stock Exchange, (June 7, 1990) C1-C24. Summarized in The C.F.A. Digest, 21 (Winter 1991) 51-53. PDF file available.
"Alternative Models for Conditional Stock Volatility," Journal of Econometrics, 45 (July 1990) 267-290, with Adrian R. Pagan. PDF file available.
"Indexes of United States Stock Prices from 1802 to 1987," Journal of Business, 63 (July 1990) 399-426. Correction: Journal of Business, 64 (July 1991) 442. Summarized in The C.F.A. Digest, 21 (Winter 1991) 3-5. PDF file available.
"Stock Volatility and the Crash of '87," Review of Financial Studies, 3 (1990) 77-102. PDF file available.
"Why Does Stock Market Volatility Change Over Time?" Journal of Finance, 44 (December 1989) 1115-1153. Reprinted in Empirical Research in Capital Markets, G. William Schwert and Clifford W. Smith, Jr., eds. (New York: McGraw-Hill, 1992). PDF file available.
"Business Cycles, Financial Crises and Stock Volatility," Carnegie-Rochester Conference Series on Public Policy, 31 (Autumn 1989) 83-125. Reprinted in the Proceedings of the Seminar on the Analysis of Security Prices, Vol. 33 No. 2 (November 1988) 207-243. Excerpted in the Simon Research Review, 1 (Fall 1989) 1-8. PDF file available.
"Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business and Economic Statistics, 7 (April 1989) 147-159. PDF file available.
"Expected Stock Returns and Volatility," Journal of Financial Economics, 19 (September 1987) 3-29, with Kenneth R. French and Robert F. Stambaugh. Reprinted in the Proceedings of the Seminar on the Analysis of Security Prices, Vol. 31 No. 1 (May 1986) 119-148, in Frontiers of Finance: The Batterymarch Fellowship Papers, Deborah H. Miller and Stewart C. Myers, eds. (New York: Basil Blackwell, 1990) 190-215, and in ARCH: Selected Readings, Robert F. Engle, ed. (New York, Oxford University Press, 1995) 61-86. PDF file available.
"Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data," Journal of Monetary Economics, 20 (July 1987) 73-103. PDF file available.
"Information Aggregation, Inflation, and the Pricing of Indexed Bonds," Journal of Political Economy, 93 (February 1985) 92-114, with Gur Huberman. PDF file available.
"Size and Stock Returns, and Other Empirical Regularities," Journal of Financial Economics, 12 (May 1983) 3-12. Reprinted in Empirical Research in Capital Markets, G. William Schwert and Clifford
W. Smith, Jr., eds. (New York: McGraw-Hill, 1992). PDF file available.
"Effects of Nominal Contracting on Stock Returns," Journal of Political Economy, 91 (February 1983) 70-96, with Kenneth R. French and Richard S. Ruback. Reprinted in Proceedings of the Seminar on the Analysis of Security Prices, Vol. 26, No. 2 (November 1981) 1-36. PDF file available.
"Differencing as a Test of Specification," International Economic Review, 23 (October 1982) 535-552, with Charles I. Plosser and Halbert White. PDF file available.
"Tests for Predictive Relationships Between Time Series Variables: A Monte Carlo Investigation," Journal of the American Statistical Association, 77 (March 1982) 11-18, with Charles R. Nelson. PDF file available.
"Using Financial Data To Measure Effects of Regulation," Journal of Law and Economics, 24 (April 1981) 121-158. Excerpted in Economics of Corporation Law and Securities Regulation, Richard Posner and Kenneth Scott, eds. (New York, Little, Brown, 1980) 185-191. PDF file available.
"The Adjustment of Stock Prices to Information About Inflation," Journal of Finance, 36 (March 1981) 15-29. PDF file available.
"Tests of Causality: The Message in the Innovations," Carnegie-Rochester Conference Series on Public Policy (Supplement to Journal of Monetary Economics), 10 (Spring 1979) 55-96. PDF
file available.
"Inflation, Interest, and Relative Prices," Journal of Business, 52 (April 1979) 183-209, with Eugene F. Fama. PDF file available.
"Money, Income and Sunspots: Measuring Economic Relationships and the Effects of Differencing," Journal of Monetary Economics, 4 (November 1978) 637-660, with Charles I. Plosser. PDF file available.
"Asset Returns and Inflation," Journal of Financial Economics, 5 (November 1977) 115-146, with Eugene F. Fama. Reprinted in Empirical Research in Capital Markets, G. William Schwert and Clifford W. Smith, Jr., eds. (New York: McGraw-Hill, 1992). PDF
file available.
"Estimation of a Noninvertible Moving Average Process: The Case of Overdifferencing," Journal of Econometrics, 6 (September 1977) 199-224, with Charles I. Plosser. PDF file available.
"On Testing the Hypothesis that the Real Rate of Interest is Constant," The American Economic Review, 67 (June 1977) 478-486, with Charles R. Nelson. PDF file available.
"Public Regulation of National Securities Exchanges: A Test of the Capture Hypothesis," The Bell Journal of Economics, 8 (Spring 1977) 128-150. Summarized in The C.F.A. Digest, 8 (Winter 1978) 59-60. PDF file available.
"Human Capital and Capital Market Equilibrium," Journal of Financial Economics, 4 (January 1977) 95-125, with Eugene F. Fama. French version: "Capital Humain et Equilibré des Marches de Capitaux," in Institutions et Marches Financiers, F. Aftalian, et al., eds.
(Centre d'Etudes et de Recherche de l'ESSEC, 1977). PDF file available.
"Stock Exchange Seats as Capital Assets," Journal of Financial Economics, 4 (January 1977) 51-78. PDF file available.
"Estimating Distributed Lag Models from Cross Section Data: The Case of Hospital Admissions and Discharges," Journal of the American Statistical Association, 69 (September 1974) 627-633, with Charles R. Nelson. PDF file available.
"Gene Fama’s impact: A quantitative analysis,” with René M. Stulz, The Fama portfolio, ed. John H. Cochrane and Tobias J. Moskowitz, Chicago: University of Chicago Press, 2017, 30-49.
"Fama, Eugene F. (born 1939),” New Palgrave Dictionary of Economics, 2015.
"Symposium on Market Microstructure: Focus on Nasdaq," Journal of Financial Economics, 45 (July 1997) 3-8. PDF file available.
"Discussion of 'A Clinical Exploration of Value Creation and Destruction in Acquisitions: Organization Design, Incentives, and Internal Capital Markets,' by Kaplan, Wruck, and Mitchell," NBER Conference Volume on Mergers & Productivity, Steven Kaplan, ed. (Chicago: University of Chicago Press, forthcoming 2000, 227-233. PDF file available.
"Comment on 'Tests of CAPM on an International Portfolio of Bonds and Stocks,' by Charles M. Engel," The Internationalization of Equity Markets, NBER Conference Volume, Jeffrey A. Frankel, ed. (Chicago: University of Chicago Press, 1994), 173-175.
"Review of The Great Myths of 1929 and the Lessons to be Learned by Harold Bierman," Journal of Finance, 47 (March 1992) 410-413. PDF file available.
"Stock Market Crash of October 1987," New Palgrave Dictionary of Money and Finance, P. Newman, M. Milgate and J. Eatwell, eds. (New York: Stockton Press, 1992) Vol. 3, 577-582.
"Testing for Unit Roots," New Palgrave Dictionary of Money and Finance, P. Newman, M. Milgate and J. Eatwell, eds. (New York: Stockton Press, 1992) Vol. 3, 653-654.
"Review of Market Volatility by Robert Shiller: Much Ado About . . . Very Little," Journal of Portfolio Management, 17 (Summer 1991) 74-78. PDF file available.
"Testing for Covariance Stationarity in Stock Market Data," Economics Letters, 33 (1990) 165-170, with Adrian R. Pagan. PDF file available.
"Margin Regulation and Stock Volatility," Journal of Financial Services Research, 3 (December 1989) 153-164. PDF file available.
"Business Cycles, Financial Crises and Stock Volatility: Reply to Shiller," Carnegie-Rochester Conference Series on Public Policy, 31 (Autumn 1989) 133-138.
"The Time Series Behavior of Real Interest Rates: A Comment," Carnegie-Rochester Conference Series on Public Policy, 24 (Spring 1986) 275-288. PDF file available.
"A Discussion of CEO Deaths and the Reaction of Stock Prices," Journal of Accounting and Economics, 7 (April 1985) 175-178.
"The Market for Corporate Control," panel discussion published in the Midland Corporate Finance Journal, Summer 1983, pp. 21-47; reprinted in Six Roundtable Discussions with Joel Stern, Donald H. Chew, Jr., ed. (New York: Quorum Books, 1986) 101-143.
"Potential GNP: Its Measurement and Significance -- A Dissenting Opinion," Carnegie-Rochester Conference Series on Public Policy (supplement to Journal of Monetary Economics), 10 (Spring 1979) 179-186, with Charles I. Plosser. PDF file available.
"Short Sales,Damages and Class Certification in 10b-5 Actions" PDF file available.
March 26, 2000, article in The Economist on volatility.
June 12, 2000, article in Fortune on volatility.
June 12, 2000, report on volatility from the Securities Industry Association in PDF format.
March 17, 2001, article in the New York Times on IPOs (also in PDF format).
March 25, 2001, article in the Democrat & Chronicle on volatility and the economy (also in PDF format).
September 21, 2001, article in the Money Magazine on war and stock prices(also in PDF format).
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