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Betting Without Beta
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Working paper
Yield Curve Premia
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Working paper
The Political Economy of Financial Regulation: Evidence from U.S. State Usury Laws in the 19th Century
In: NBER Working Paper No. w12851
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What Do We Really Know About the Cross-Sectional Relation between Past and Expected Returns?
In: NBER Working Paper No. w8744
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Bank Mergers and Crime: The Real and Social Effects of Credit Market Competition
In: NBER Working Paper No. w11006
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The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?
In: American economic review, Volume 92, Issue 4, p. 745-778
ISSN: 1944-7981
We document the return to investing in U.S. nonpublicly traded equity. Entrepreneurial investment is extremely concentrated, yet despite its poor diversification, we find that the returns to private equity are no higher than the returns to public equity. Given the large public equity premium, it is puzzling why households willingly invest substantial amounts in a single privately held firm with a seemingly far worse risk-return trade-off. We briefly discuss how large nonpecuniary benefits, a preference for skewness, or overestimates of the probability of survival could potentially explain investment in private equity despite these findings.
Informal Financial Networks: Theory and Evidence
In: NBER Working Paper No. w8874
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The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?
In: NBER Working Paper No. w8876
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Confronting Information Asymmetries: Evidence from Real Estate Markets
In: NBER Working Paper No. w8877
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The Geography of Investment: Informed Trading and Asset Prices
In: Journal of political economy, Volume 109, Issue 4, p. 811-841
ISSN: 1537-534X
The Fama Portfolio: Selected Papers of Eugene F. Fama
Few scholars have been as influential in finance and economics as University of Chicago professor Eugene F. Fama. Over the course of a brilliant and productive career, Fama has published more than one hundred papers, filled with diverse, highly innovative contributions. Published soon after the fiftieth anniversary of Fama's appointment to the University of Chicago and his receipt of the Nobel Prize in Economics, The Fama Portfolio offers an authoritative compilation of Fama's central papers. Many are classics, including his now-famous essay on efficient capital markets. Others, though less famous, are even better statements of the central ideas. Fama's research considers key questions in finance, both as an academic field and an industry: How is information reflected in asset prices? What is the nature of risk that scares people away from larger returns? Does lots of buying and selling by active managers produce value for their clients? The Fama Portfolio provides for the first time a comprehensive collection of his work and includes introductions and commentary by the book's editors, John H. Cochrane and Tobias Moskowitz, as well as by Fama's colleagues, themselves top scholars and successful practitioners in finance. These essays emphasize how the ideas presented in Fama's papers have influenced later thinking in financial economics, often for decades.