The Pie: An Economics Podcast Eugene Fama on 60 Years of Finance Research, Index Funds, and Market Efficiency
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Mar 12, 2026 
Eugene Fama, Nobel laureate and founder of modern finance, reflects on a career that shaped passive investing. He discusses the Efficient Market Hypothesis, the Fama–French factor model, CRSP data’s role in research, the rise of index funds, questions about bubbles like Bitcoin and AI, and how academic work translated into industry products.
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Default To Passive Investing
- If you're not an insider or skilled arbitrageur, behave as a passive investor and buy a diversified portfolio.
- Fama explicitly recommends buy‑and‑hold index exposure for typical investors.
Research Can Shrink Factor Premiums
- Documented factor premiums can shrink after publication because traders learn and exploit them.
- Fama concedes his own value/size premiums have narrowed, possibly because research enlightened market participants.
Why CRSP Changed Finance Research
- CRSP assembled long-run daily stock and dividend series from 1926 onward, enabling modern empirical asset pricing.
- Fama's early event-study on stock splits used those data and became a foundational empirical method.