Booth Gives Out Inaugural Eugene Fama Prize

Authors John Campbell, Andrew Lo and A. Craig MacKinlay won Chicago Booth’s first Eugene Fama Prize for Outstanding Contributions to Doctoral Education for their book The Econometrics of Financial Markets. The winners will receive a $250,000 prize at a one-day conference and dinner celebrating Fama’s five decades of teaching at Chicago Booth.

Professor Fama, the awards namesake, is the Robert R. McCormick Distinguished Service Professor of Finance at Chicago Booth and well regarded for his contributions to modern finance. Fama’s evidence-based approach to financial markets analysis is the driving force behind the winning book.

The Econometrics of Financial Markets provides, in one place, a clear exposition of the many econometric tools needed for the analysis of the Efficient Market Hypothesis and other models of financial markets. In addition, the work provides many important empirical results that illuminate the successes of models like the Efficient Market Hypothesis, along with the many outstanding empirical puzzles that remain as challenges for future work.

“There were textbooks on regression methodology, there was a book on time series analysis, but what was different about our book was that it was a combination of methods and results while previous work was more hypothetical,” said Campbell.

“Our intention for writing the book was really to create a body of work that would stand the test of time in terms of pedagogical value,” said Lo. “Finance has grown very rapidly, in no small part due to Gene Fama. We wanted marry the literature of econometrics and statistics with finance.”

Going forward, the prize will be awarded every three years in the hopes of encouraging authors to write challenging works for PhD students of economics. The prize was funded by a group of private donors to support the discipline and to honor Fama’s contributions to economic science and to create better incentives for potential textbook authors operating at the highest levels of academic finance.

“To be associated with Gene Fama in any setting would be an honor,” said Lo. “When I was a grad student, I used Gene’s textbooks. They were transformative for me and taught me to to think more rigorously about financial markets. This award, in Gene’s name, is extraordinarily important for me.”

regions: Chicago

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