肯尼思·弗伦奇

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肯尼思·弗伦奇(Kenneth R. French)——达特茅斯学院金融专家

目录

Introduction

Kenneth R. French Born March 10, 1954. He is the Carl E. and Catherine M. Heidt Professor of Finance at the Tuck School of Business at Dartmouth College. He is an expert on the behavior of security prices and investment strategies.

He and co-author Eugene F. Fama are well known for their research into the value effect and the three-factor model, including articles such as “The Cross-Section of Expected Stock Returns” and “Common Risk Factors in the Returns on Stocks and Bonds.” His recent research focuses on tests of asset pricing, the tradeoff between risk and return in domestic and international financial markets, and the relation between capital structure and firm value.

French is a Research Associate at the National Bureau of Economic Research, an Advisory Editor of the Journal of Financial Economics, a former Associate Editor of the Journal of Finance and the Review of Financial Studies, and a former President of the American Finance Association. French is also a Fellow of the American Finance Association and the American Academy of Arts and Sciences, and a member of the Smile Train’s Board of Governors and the International Rescue Committee’s Board of Directors.

Before joining Dartmouth, Professor French was on the faculty of MIT’s Sloan School of Management, the Yale School of Management, and the University of Chicago Booth School of Business. Professor French received his Ph.D. in finance from the University of Rochester in 1983. He also earned an M.S. and an MBA from the University of Rochester (1983) and a B.S. from Lehigh University (1975).

Education

  • Ph.D. 1983, University of Rochester, Finance.
  • M.S. 1981, University of Rochester, Finance and Econometrics.
  • M.B.A. 1978, University of Rochester, Finance and Accounting.
  • B.S. 1975, Lehigh University, Mechanical Engineering.

Publications

"Dissecting Anomalies with a Five-Factor Model" Review of Financial Studies, forthcoming, with Eugene F. Fama.

"Incremental Variables and the Investment Opportunity Set" Journal of Financial Economics, forthcoming.

"Size, Value, and Momentum in International Stock Returns," Journal of Financial Economics 105 (September 2012), with Eugene F. Fama.

"Capital Structure Choices," Critical Finance Review 1 (January 2012), with Eugene F. Fama.

"Luck versus Skill in the Cross Section of Mutual Fund α Estimates," Journal of Finance 65 (October 2010), with Eugene F. Fama.

"Average Returns, B/M, and Share Issues," Journal of Finance 63 (December 2008), 2971-2995, with Eugene F. Fama.

"The Cost of Active Investing," Journal of Finance 63 (August 2008), 1537-1573.

"Dissecting Anomalies," Journal of Finance 63 (August 2008), 1653-1678, with Eugene F. Fama.

"The Anatomy of Value and Growth Stock Returns," Financial Analysts Journal 63 (November 2007), 44-54, with Eugene F. Fama. Awarded a Graham and Dodd Scroll by the editorial board of the journal.

"Migration," Financial Analysts Journal 63 (May/June 2007), 48-58, with Eugene F. Fama. Awarded a Graham and Dodd Scroll by the editorial board of the journal.

"Disagreement, Tastes, and Asset Pricing," Journal of Financial Economics 83 (March 2007), 667-689, with Eugene F. Fama.

"Profitability, Investment, and Average Returns," Journal of Financial Economics 82 (December 2006), 491-518, with Eugene F. Fama.

"The Value Premium and the CAPM," Journal of Finance 61 (October 2006), 2137-2162, with Eugene F. Fama.

"Financing Decisions: Who Issues Stock," Journal of Financial Economics 76, (June 2005), 549-582, with Eugene Fama.

"The CAPM: Theory and Evidence," Journal of Economic Perspectives 18 (August 2004), 25-46, with Eugene Fama.

"New Lists: Fundamentals and Survival Rates," Journal of Financial Economics 72 (August 2004), 229-269, with Eugene Fama. Fama/DFA Prize (second place) for the best Capital Markets and Asset Pricing paper in the 2004 Journal of Financial Economics.

"Testing Tradeoff and Pecking Order Predictions about Dividends and Debt," Review of Financial Studies 15 (Spring 2002), 1-37, with Eugene Fama.

"The Equity Premium," Journal of Finance 57 (April 2002), 637-659, with Eugene Fama.

"Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?" Journal of Financial Economics 60 (April 2001), 3-43, with Eugene Fama. Jensen Prize (second place) for best Corporate Finance and Organizations paper in the 2001 Journal of Financial Economics.

"Forecasting Profitability and Earnings," Journal of Business 72 (April 2000), 161-175, with Eugene Fama.

"Characteristics, Covariances, and Average Returns: 1929-1997," Journal of Finance (2000), with James Davis and Eugene Fama.

"The Corporate Cost of Capital and the Return on Corporate Investment," Journal of Finance (1999), with Eugene Fama.

"Value versus Growth: The International Evidence," Journal of Finance (1998), with Eugene Fama.

"Taxes, Financing Decisions, and Firm Value," Journal of Finance (1998), with Eugene Fama.

"Industry Costs of Equity," Journal of Financial Economics (1997), with Eugene Fama.

"The CAPM is Wanted, Dead or Alive," Journal of Finance (1996), with Eugene Fama.

"Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance (1996), with Eugene Fama.

"Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance (1994), with Eugene Fama.

"Common Risk Factors in the Returns on Stocks and Bonds," Journal of Financial Economics (1993), with Eugene Fama.

"Differences in the Risks and Rewards to NYSE and NASD Stocks," Financial Analysts Journal (1993), with Eugene Fama, David Booth, and Rex Sinquefield.

"The Cross-Section of Expected Stock Returns," Journal of Finance (1992), with Eugene Fama. Winner of the Smith-Breeden prize for the best paper in the Journal of Finance in 1992.

"Were Japanese Stock Prices Too High?" Journal of Financial Economics (1991), with James Poterba.

"Investor Diversification and International Equity Markets," American Economic Review (1991), with James Poterba.

"Japanese and U.S. Cross-Border Common Stock Investments," Journal of Japanese International Economics (1990), with James Poterba.

"Business Conditions and Expected Returns on Stocks and Bonds," Journal of Financial Economics (November 1989), with Eugene Fama.

"Business Cycles and the Behavior of Metals Prices," Journal of Finance (December 1988), with Eugene Fama.

"Dividend Yields and Expected Stock Returns," Journal of Financial Economics (October 1988), with Eugene Fama.

"Crash-Testing the Efficient Market Hypothesis," Macroeconomics Annual (1988).

"Pricing Financial Futures Contracts: An Introduction," Financial Markets and Portfolio Management (June 1988).

"Permanent and Temporary Components of Stock Prices," Journal of Political Economy (April 1988), with Eugene Fama.

"Expected Stock Returns and Volatility," Journal of Financial Economics (September 1987), with G. William Schwert and Robert Stambaugh.

"Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage," Journal of Business (January 1987), with Eugene Fama.

"Stock Return Variances: The Arrival of Information and the Reaction of Traders," Journal of Financial Economics (September 1986), with Richard Roll.

"Commodity Own Rates, Real Interest Rates, and Money Supply Announcements," Journal of Monetary Economics 18 (July 1986), with Bradford Cornell.

"Detecting Spot Price Forecasts in Futures Prices," Journal of Business 59 (April 1986).

"Sealed Bids, Sunk Costs, and the Process of Competition," Journal of Business (October 1984) with Robert McCormick.

"A Comparison of Futures and Forward Prices," Journal of Financial Economics 12 (November 1983).

"Taxes and the Pricing of Stock Index Futures," Journal of Finance (June 1983), with Bradford Cornell.

"The Pricing of Stock Index Futures," Journal of Futures Markets (Spring 1983), with Bradford Cornell.

"Effects of Nominal Contracting on Stock Returns," Journal of Political Economy (February 1983), with Richard Ruback and G. William Schwert.

"Stock Returns and the Weekend Effect," Journal of Financial Economics 8 (March 1980).

Working Papers

"Dissecting Anomalies with a Five-Factor Model," with Eugene F. Fama.

"The Entrails of Momentum," with Eugene F. Fama.

Academic Experience

Tuck School of Business at Dartmouth

Carl E. and Catherine M. Heidt Professor of Finance,2001-present.

Massachusetts Institute of Technology

NTU Professor of Finance, 1998-2001.

Yale School of Management

Edwin J. Beinecke Professor of Management Studies andFinance, 1994-1998.

Tuck School of Business at Dartmouth

David T. McLaughlin Visiting Professor of Finance,1993-1994.

Graduate School of Business, University of Chicago,

Leo Melamed Professor of Finance, 1991-1994;

Chicago Mercantile Exchange Professor of Finance,1989-1991;

Professor of Finance, 1987-1989; Associate Professor,1985-1987;

Assistant Professor, 1983-1985.

Research Fellow, Foundation for Research in Economics andEducation, UCLA, 1982-1983.

Miscellaneous

Managing Director, International Center for Finance at the Yale School of Management, 1994-1998.

Director, Center for Research in Security Prices, University of Chicago, 1989-1994.

Research Associate, National Bureau of Economic Research.

Advisory Editor, Journal of Financial Economics.

Former Associate Editor, Review of Financial Studies, Journal of Finance.

President Elect, American Finance Association, 2006-2007.

Vice President, American Finance Association, 2005-2006.

Director, American Finance Association, 1991-1994, 2003-2005.

Fellow, Financial Management Association.

Academic Advisory Council, Clemson Institute for the Study of Capitalism, 2006-.

Honors

Fellow, American Academy of Arts and Sciences, 2007.

Rochester Distinguished Scholar, University of Rochester, 2005.

Fama/DFA Prize (second place) for the best Capital Markets and Asset Pricing paper in the Journal of Financial Economics, 2004.

Jensen Prize (second place) for the best paper in Corporate Finance and Organizations published in the Journal of Financial Economics, 2001.

Smith Breeden Prize for the best paper in the Journal of Finance, 1992.

Sloan Foundation Grant, 1989-1990.

Batterymarch Fellowship, 1986-1987.

Dissertation Fellowship, Center for the Study of Futures Markets, Columbia University, 1980-1981.

Richard D. Irwin Doctoral Fellowship, 1980-1981.

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