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Publication Name: Fama-French Forum

Brief description: Observations, opinion, research and links from financial economists Eugene Fama and Kenneth French.

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Joined: October 5th, 2011

Activity

Fama-French Forum wrote a new blog post titled Q&A: Are Stock Returns Normally Distributed?

What is the best way to describe the distribution of stock returns—a normal distribution, lognormal, or something else? What should investors do with this information?  (Read the full entry)
(16 days ago)

Fama-French Forum wrote a new blog post titled Q&A: Small Stocks for the Long Run

In addressing a previous question ("Has the Equity Premium Puzzle Gone Away?"), you suggested that it requires 35 years or more to be reasonably confident of achieving a positive equity premium. Is the time frame similar for the size and value premiums? (Read the full entry)
(16 days ago)

Fama-French Forum wrote a new blog post titled Q&A: Do Low-Volatility Strategies Produce High Returns?

Baker, Bradley and Wurgler (FAJ 2011) find that low-volatility stocks in the US outperform high-volatility stocks and attribute this apparent anomaly to investor behavioral biases as well as limits to arbitrage. What do you make of their argument? (Read the full entry)
(16 days ago)