Remember me

Register  |   Lost password?


 
Bookmark & Share

Publication Name: Fama-French Forum

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

Publication URL: link

RSS Feed: link

Joined: October 5th, 2011

Activity

Fama-French Forum wrote a new blog post titled Inverted Yield Curves and Expected Stock Returns

By Eugene F. Fama and Kenneth R. French We test the hypothesis that inverted yield curves predict negative equity premiums. Using monthly observations for the U.S. and 11 other developed markets, we examine whether shifting from equities to Treasury bills following a recent term structure inversion increases expected returns relative to a passive strategy of simply holding the value weight market. We find no evidence that inverted yield curves predict stocks will underperform bills.
(25 days ago)

Fama-French Forum wrote a new blog post titled Volatility Lessons

By Eugene F. Fama and Kenneth R. French The high volatility of stock returns is common knowledge, but many investors may not fully appreciate the implications of return volatility. Investors cannot draw strong inferences about expected returns from three, five, or even ten years of realized returns. Those who act on such noisy evidence should reconsider their approach.
(332 days ago)

Fama-French Forum wrote a new blog post titled Bayes Rule Spreadsheet

By KENNETH R. FRENCH Bayes rule is a way to update your model of the world when you have new information. Suppose we are interested in assessing the probability that a specific hypothesis is true. We start with an initial assessment, called our prior, which is based on all the data we have observed, books we have read, and our other life experiences. This post explains how we should update our initial assessment when we observe new data. (Read the full entry)
(547 days ago)