What are the real, macroeconomic risks that drive asset prices? This question is centrally important to macroeconomics. Where better to learn about the risks of recessions and depressions than by understanding the prices of assets such as stocks that carry macroeconomic risks? The question is also at the core of finance. For example, finance has long wondered if asset prices are "rational" or not. The only meaning of that term is whether asset prices are properly connected to macroeconomic risks. Financial Markets and the Real Economy reviews the current academic literature on the...

Few scholars have been as influential in finance and economics as University of Chicago professor Eugene F. Fama. Over the course of a brilliant and productive career, Fama has published more than one hundred papers, filled with diverse, highly innovative contributions.

Published soon after the fiftieth anniversary of Fama's appointment to the University of Chicago and his receipt of the Nobel Prize in Economics, The Fama Portfolio offers an authoritative compilation of Fama's central papers. Many are classics, including his now-famous essay on efficient capital markets. Others,...