Finance Research Repository
Academic papers on trading, investing, and investor behavior.
Curated by Robert Gorak · 8 papers · Last updated June 2026
Key Findings Across the Literature
- Eugene F. Fama · 1970In 89 out of 115 mutual funds studied by Jensen over 1955–1964, net ten-year returns averaged -14.6% below the market line, indicating professional fund managers do not possess information unavailable to the market.
- Eugene F. Fama · 1992Highest BE/ME stocks returned 1.83% per month vs. 0.30% for lowest BE/ME stocks — a 1.53% monthly spread — while market beta showed no reliable relation to average returns over 1963-1990.
- Eugene F. Fama · 1993A three-factor model adding SMB and HML to the market factor raises R² for 25 size- and BE/ME-sorted stock portfolios from 0.61–0.70 to 0.94–0.97, explaining the cross-section of average returns on NYSE, Amex, and NASDAQ stocks from July 1963 to December 1991.
- Narasimhan Jegadeesh · 1993The 6-month/6-month relative strength strategy realizes a compounded excess return of 12.01% per year on average over the 1965 to 1989 period.
- Daniel Kahneman · 197982% of subjects preferred a certain 2,400 over a gamble with a .33 probability of winning 2,500 (Problem 1), while 83% reversed that preference in the structurally equivalent Problem 2, violating expected utility theory.
- Harry Markowitz · 1952The E-V rule implies investors should hold diversified portfolios on the efficient frontier — minimizing variance for a given expected return or maximizing return for a given variance.
- William F. Sharpe · 1964In equilibrium, expected asset returns are linearly related to their systematic risk (beta), with assets that move with the market promising higher returns than those unaffected by economic activity.
- Amos Tversky · 1974Anchoring caused subjects given a starting point of 10 to estimate 25 percent African countries in the UN, while those given 65 estimated 45 percent — a 20-point spread from an arbitrary number.
The Efficient Market Hypothesis: Fama's Foundational Framework
Eugene F. Fama · 1970
In 89 out of 115 mutual funds studied by Jensen over 1955–1964, net ten-year returns averaged -14.6% below the market line, indicating professional fund managers do not possess information unavailable to the market.
The Fama-French Two-Factor Model: Size and Value Drive Stock Returns
Eugene F. Fama and Kenneth R. French · 1992
Highest BE/ME stocks returned 1.83% per month vs. 0.30% for lowest BE/ME stocks — a 1.53% monthly spread — while market beta showed no reliable relation to average returns over 1963-1990.
The Fama-French Three-Factor Model: Size, Value, and Market Risk
Eugene F. Fama and Kenneth R. French · 1993
A three-factor model adding SMB and HML to the market factor raises R² for 25 size- and BE/ME-sorted stock portfolios from 0.61–0.70 to 0.94–0.97, explaining the cross-section of average returns on NYSE, Amex, and NASDAQ stocks from July 1963 to December 1991.
Momentum Investing: How Buying Winners and Selling Losers Beats the Market
Narasimhan Jegadeesh and Sheridan Titman · 1993
The 6-month/6-month relative strength strategy realizes a compounded excess return of 12.01% per year on average over the 1965 to 1989 period.
Prospect Theory: How Losses Loom Larger Than Gains
Daniel Kahneman and Amos Tversky · 1979
82% of subjects preferred a certain 2,400 over a gamble with a .33 probability of winning 2,500 (Problem 1), while 83% reversed that preference in the structurally equivalent Problem 2, violating expected utility theory.
Mean-Variance Optimization: Markowitz's Framework for Portfolio Construction
Harry Markowitz · 1952
The E-V rule implies investors should hold diversified portfolios on the efficient frontier — minimizing variance for a given expected return or maximizing return for a given variance.
The Capital Asset Pricing Model: Sharpe's Theory of Risk and Return
William F. Sharpe · 1964
In equilibrium, expected asset returns are linearly related to their systematic risk (beta), with assets that move with the market promising higher returns than those unaffected by economic activity.
Three Heuristics That Distort Probability Judgment
Amos Tversky and Daniel Kahneman · 1974
Anchoring caused subjects given a starting point of 10 to estimate 25 percent African countries in the UN, while those given 65 estimated 45 percent — a 20-point spread from an arbitrary number.