The inaugural winner of the Eugene Fama Prize for Outstanding Contributions to Doctoral Education has been awarded to The Econometrics of Financial Markets, an influential PhD-level textbook published by Princeton University Press in 1997.
Fama’s evidence-based approach to financial markets analysis is the driving force behind the book, which is deeply-rooted in the ideas of the University of Chicago Booth School of Business Nobel Laureate that is its namesake. The authors, John Campbell (now at Harvard University), Andrew Lo (now at the Massachusetts Institute of Technology) and A. Craig MacKinlay (now at the University of Pennsylvania) will receive their $250,000 prize at a one-day conference and dinner celebrating Fama’s five decades of teaching at Chicago Booth.
Professor Fama is a Professor of Finance at Chicago Booth and is widely heralded for his many contributions to modern finance. He is best known for his work analyzing markets and securities prices, for which he is closely followed by both academics and financial services professionals. His advocacy of the Efficient Markets Hypothesis has spawned consistent debate in both communities.
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.
“Gene Fama was my thesis adviser when I was at Chicago,” said MacKinlay, who then worked alongside Lo at the Wharton School of Business in the 1980s and early 1990s. The two, who were working on econometric techniques of financial markets analysis, met Campbell through the National Bureau of Economic Research, where all three were members. The trio recognized that there were no standard econometric textbooks available to PhD students and set about to meet that need.
“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.
The three authors had set out to accomplish an often thankless task as textbooks have traditionally not been financially remunerative, nor do they typically earn the authors the accolades from their colleagues that a much shorter paper in a peer reviewed journal might.
“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.
About the University of Chicago Booth School of Business
The University of Chicago Booth School of Business is one of the leading business schools in the world, consistently ranking in the top ten and frequently in the top five. The school’s faculty includes many renowned scholars and its graduates occupy key positions in the US and worldwide. The Chicago Approach to Management Education is distinguished by how it leverages fundamental knowledge, its rigor, and its practical application to business challenges.
The school offers full- and part-time MBA programmes, a PhD programme, open enrolment executive education and custom corporate education, with campuses in London, Chicago and Singapore. Current enrolment includes 1,162 full-time MBA students, 2,012 part-time MBA students of whom 190 are studying in London, and 123 PhD students. Six current or former faculty members are Nobel Prize winners in economics. Among the school’s many successful alumni are Satya Nadella, CEO of Microsoft,James A. Rasulo, Senior Executive Vice President and CFO of The Walt Disney Company, Bart Becht, former CEO, Reckitt Benckiser plc, Brady Dougan, CEO, Credit Suisse and David Booth, chairman and co-chief executive of Dimensional Fund Advisors, for whom the school was renamed in 2008. www.chicagobooth.edu