The Journal of Finance

Cover image for Vol. 71 Issue 2

Edited By: Kenneth J. Singleton

Impact Factor: 5.424

ISI Journal Citation Reports © Ranking: 2014: 1/88 (Business Finance); 2/333 (Economics)

Online ISSN: 1540-6261

Four Nobel Prizes: JF papers

A number of papers published in The Journal of Finance are cited by the Royal Swedish Academy of Sciences in awarding the Nobel Prize in Economics, The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel.

1. Harry Markowitz shared the 1990 Prize. The Royal Academy wrote of his 1952 Journal of Finance paper:
“…A first pioneering contribution in the field was made by Harry Markowitz, who developed a theory of portfolio decisions of households and firms under conditions of uncertainty. The theory shows how the multidimensional problem of investing under conditions of uncertainty in a large number of assets, each with different characteristics, may be reduced to the issue of a trade-off between only two dimensions, namely the expected return and the variance of the return of the portfolio.”

Portfolio Selection
Harry Markowitz
Volume 7, Issue 1
March 1952

2. William Vickrey shared the 1996 Prize. The Royal Academy wrote of his 1961 Journal of Finance paper:
“...William Vickrey showed that if the highest bidder does not have to pay the price he bids - but the price stated in the next highest bid - then he has a private interest in revealing his true willingness to pay. At the same time, the price paid reflects the social opportunity cost of the item being auctioned. This contributes to social efficiency."

Counterspeculation, Auctions, And Competitive Sealed Tenders
William Vickrey
Volume 16, Issue 1
March 1961

3. William Sharpe shared the 1990 Prize. The Royal Academy wrote of his 1964 Journal of Finance paper:
“…The next step in the analysis is to explain how these asset prices are determined. This was achieved by development of the so-called Capital Asset Pricing Model, or CAPM. It is for this contribution that William Sharpe has been awarded. The CAPM shows that the optimum risk portfolio of a financial investor depends only on the portfolio manager's prediction about the prospects of different assets, not on his own risk preferences. The model also shows how risks can be bought and sold, and hence how risks can be spread via capital markets.”

Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk
William F. Sharpe
Volume 19, Issue 3
September 1964

4. Eugene Fama shared the 2013 Prize. The Royal Academy cited his 1970, 1991 and 1992 Journal of Finance papers:

Efficient capital markets: a review of theory and empirical work
Eugene F. Fama
Volume 25, Issue 2
May 1970

Efficient capital markets: II
Eugene F. Fama
Volume 46, Issue 5
December 1991

The Cross Section of Expected Stock Returns
Eugene F. Fama and Kenneth R. French
Volume 47, Issue 2
June 1992

Eugene F. Fama's Toast at the Nobel Dinner