理性条件下资本市场的可预测性与资产定价模型——基于尤金·法玛的学术贡献

Predictability and Capital Pricing Model in a Rational Capital Market——Based on the Academic Contribution of Eugene F.Fama

尤金·法玛凭借其在资产定价理论研究领域所做出的突出贡献成为2013年诺贝尔经济学奖获得者之一。尤金·法玛和他的团队(1969年)首先运用事件研究法对股票分割新闻发布后股票价格的变动进行了分析,令他们意外的是,市场迅速吸收了信息,股价在对新闻事件做出最初反应后,走势便开始变得极难预测。这些发现对后续研究产生了重大影响。另外,尤金·法玛还与弗兰克对美国股票市场中决定股票回报率差异的因素进行了研究,建立了Fama-French三因素模型来解释股票回报率。

Eugene F. Fama becomes one of the Nobel Laureates of Economics in 2013 due to his unique contribution to capital pricing theory. Eugene F. Fama and his team （1969） first analyze the change of stock price after press conference on stock split-up with event method and to their sur- prise, market quickly absorbs information and the stock price becomes unpredictable after the initial response after the event. These discoveries cast great influence on later study. Additionally, Eugene F. Fama and French study the factors which decide the difference of stock rate of return in Ameri- can stock market and establish three-factor-model of Fama-French to e^nlain ~tn^lc r^t~ ~f r,~,,,＇,~