Market efficiency, long-term returns, and behavioral finance 1 The comments of Brad Barber, David Hi

By Eugene F. Fama. 1998

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Textual Sentiment in Finance: A Survey of Methods and Models (2014, background): “Tetlock et al. (2008) argue that ‘examining all newsworthy events simultaneously limits the scope for dredging for anomalies’ (Fama (1998): 1438).”
Empirical Evidence on Capital Investment, Growth Options, and Security Returns (2006, background): “Second, the robustness of long-run return anomalies to size and B/M benchmarks has generated substantial controversy (Fama, 1998; Loughran and Ritter, 2000).”
Institutional versus Individual Investment in IPOs: The Importance of Firm Fundamentals (2009, unknown): “As noted by Fama (1998), cross-correlations between firm returns prevent accurate significance tests from being conducted on long-run, event time, buyand-hold, and cumulative abnormal returns.”
Is the Abnormal Return Following Equity Issuances Anomalous (2000, unknown): “In addition, evidence is provided showing that tests of long-run abnormal returns su!er from model misspeci"cation, a concern raised by Fama (1998a).”
The Long-Term Performance of Corporate Bonds (and Stocks) Following Seasoned Equity Offerings (2002, background): “Fama (1998) and Mitchell and Stafford (2000) argue that the EMH can be incorrectly rejected, independent of the method of estimating expected returns, with the event-time return metric.”
Multinationals as Arbitrageurs: The Effect of Stock Market Valuations on Foreign Direct Investment (2009, unknown): “We then apply this methodology to our main sample, which merges the US Bureau of Economic Analysis (BEA) data on FDI flows and the extended international stock market valuation and returns data assembled by Fama and French (1998). The BEA data cover two kinds of FDI: FDI between US parents and their”
Venture Capital Reputation, Post-IPO Performance and Corporate Governance (2009, unknown): “The factors used to adjust returns are the 3 Fama and French (1992) factors and the Carhart (1997) momentum factor.8 Fama (1998) advocates this approach for computing abnormal stock returns because it is less affected by skewness and other “bad model” problems than other popular methods.”
Bank CEO Incentives and the Credit Crisis (2009, unknown): “A longstanding debate exists in the corporate finance literature on how to assess long-run performance (see Fama, 1998, and Loughran and Ritter, 2000).”
Discussion of “disclosure processing costs, investors' information choice, and equity market outcomes: A review” (2020, background): “Perhaps this is why even Fama (1998) struggles to explain PEAD within a rational framework and calls it “the granddaddy of all underreaction events.””
Empirical cross-sectional asset pricing: a survey (2011, background): “Fama (1998) and Fama and French (2008) concede momentum as posing the biggest challenge to efficient markets hypothesis.”