UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                            Washington, D.C.  20549

                                    Form 13F

                              FORM 13F COVER PAGE

Report for the Calendar Year or Quarter Ended:  December 31, 2010

Check here if Amendment [  ]; Amendment Number:
This Amendment (Check only one):  [  ] is a restatement.
                                  [  ]  adds new holdings entries.

Institutional Investment Manager Filing this Report:

Name:     Hennessy Advisors, Inc.
Address:  7250 Redwood Boulevard, Suite 200
          Novato, CA  94945

Form 13F File Number:  028-06715

The institutional investment manager filing this report and the person by whom
it is signed hereby represent that the person signing the report is authorized
to submit it, that all information contained herein is true, correct and
complete, and that it is understood that all required items, statements,
schedules, lists, and tables, are considered integral parts of this form.

Person Signing this Report on Behalf of Reporting Manager:

Name:    Teresa M. Nilsen
Title:   Executive Vice President and Chief Financial Officer
Phone:   (415) 899-1555

Signature, Place, and Date of Signing:

/s/ Teresa M. Nilsen              Novato, CA                   January 14, 2011
--------------------------------------------------------------------------------
Teresa M. Nilsen                  City, State                      Date

Report Type  (Check only one):

[X]   13F HOLDINGS REPORT.  (Check here if all holdings of this reporting
      manager are reported in this report.)

[  ]  13F NOTICE.  (Check here if no holdings reported are in this report,
      and all holdings are reported by other reporting manager(s).)

[  ]  13F COMBINATION REPORT.  (Check here if a portion of the holdings for
      this reporting manager are reported in this report and a portion are
      reported byother reporting manager(s).)


                             FORM 13F SUMMARY PAGE


Report Summary:


Number of Other Included Managers:                0
                                         -------------
Form 13F Information Table Entry Total:         199
                                         -------------
Form 13F Information Table Value Total:    $669,695
                                         -------------
                                          (thousands)


List of Other Included Managers:     NONE



                                                        FORM 13F INFORMATION TABLE

                                         Name of Reporting Manager: Hennessy Advisors, Inc.

                                                           Value   Shares/  Sh/ Put/ Invstmt    Other          Voting Authority
        Name of Issuer         Title of Class     CUSIP   (x1000)  Prn Amt  Prn Call Dscretn   Managers     Sole    Shared   None
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------
                                                                                                 
ABBOTT LABS                    COM              002824100   2,764    57,700  SH      SOLE                  57,700
ADVANCE AUTO PARTS INC         COM              00751Y106   4,888    73,900  SH      SOLE                  73,900
AIR TRANSPORT SERVICES GRP INC COM              00922R105   4,945   626,000  SH      SOLE                 626,000
ALAMO GROUP INC                COM              011311107     721    25,900  SH      SOLE                  25,900
ALASKA AIR GROUP INC           COM              011659109     697    12,300  SH      SOLE                  12,300
ALLIED HEALTHCARE INTL INC     COM              01923A109      28    11,090  SH      SOLE                  11,090
ALTRIA GROUP INC               COM              02209S103   4,523   183,700  SH      SOLE                 183,700
AMERCO                         COM              023586100   3,784    39,400  SH      SOLE                  39,400
AMERICAN INTL GROUP INC        COM              026874784     910    15,800  SH      SOLE                  15,800
AMERIGROUP CORP                COM              03073T102   4,919   112,000  SH      SOLE                 112,000
ANNTAYLOR STORES CORP          COM              036115103   4,213   153,800  SH      SOLE                 153,800
APOLLO GROUP INC               COM              037604105     948    24,000  SH      SOLE                  24,000
APPLIED INDL TECHNOLOGIES INC  COM              03820C105   4,716   145,200  SH      SOLE                 145,200
ARVINMERITOR INC               COM              043353101   6,930   337,700  SH      SOLE                 337,700
ASHFORD HOSPITALITY TR INC     COM              044103109   3,898   403,900  SH      SOLE                 403,900
AT&T INC                       COM              00206R102   8,082   275,100  SH      SOLE                 275,100
ATLAS PIPELINE HOLDINGS LP     COM              04939R108   4,175   278,300  SH      SOLE                 278,300
ATLAS PIPELINE PARTNERS LP     COM              049392103   4,085   165,600  SH      SOLE                 165,600
AUTOLIV INC                    ADR              052800109   5,589    70,800  SH      SOLE                  70,800
AUTOMATIC DATA PROCESSING INC  COM              053015103   2,832    61,200  SH      SOLE                  61,200
AUTOZONE INC                   COM              053332102   2,235     8,200  SH      SOLE                   8,200
BANCO MACRO SA                 SPON ADR B       05961W105     949    18,900  SH      SOLE                  18,900
BAXTER INTL INC                COM              071813109   1,584    31,300  SH      SOLE                  31,300
BCE INC                        COM NEW          05534B760   3,007    84,800  SH      SOLE                  84,800
BECTON DICKINSON & CO          COM              075887109   1,657    19,600  SH      SOLE                  19,600
BEST BUY INC                   COM              086516101   1,097    32,000  SH      SOLE                  32,000
BORGWARNER INC                 COM              099724106  10,999   152,000  SH      SOLE                 152,000
BRISTOL MYERS SQUIBB CO        COM              110122108   4,425   167,100  SH      SOLE                 167,100
BROWN SHOE INC NEW             COM              115736100     488    35,000  SH      SOLE                  35,000
BRUSH ENGINEERED MATLS INC     COM              117421107   4,142   107,200  SH      SOLE                 107,200
BUCKEYE TECHNOLOGIES INC       COM              118255108   4,174   198,680  SH      SOLE                 198,680
CALLON PETE CO DEL             COM              13123X102     564    95,200  SH      SOLE                  95,200
CAMPBELL SOUP CO               COM              134429109   4,257   122,500  SH      SOLE                 122,500
CARDINAL HEALTH INC            COM              14149Y108   1,594    41,600  SH      SOLE                  41,600
CARDTRONICS INC                COM              14161H108     818    46,200  SH      SOLE                  46,200
CASCADE CORP                   COM              147195101     704    14,900  SH      SOLE                  14,900
CENTURYLINK INC                COM              156700106   3,033    65,700  SH      SOLE                  65,700
CHEVRON CORP NEW               COM              166764100   9,089    99,600  SH      SOLE                  99,600
CHINA MOBILE LIMITED           SPONSORED ADR    16941M109   2,689    54,200  SH      SOLE                  54,200
CIGNA CORP                     COM              125509109   1,683    45,900  SH      SOLE                  45,900
CLEARWATER PAPER CORP          COM              18538R103     775     9,900  SH      SOLE                   9,900
CLOROX CO DEL                  COM              189054109   1,474    23,300  SH      SOLE                  23,300
COCA COLA CO                   COM              191216100   2,736    41,600  SH      SOLE                  41,600
COMMERCIAL VEH GROUP INC       COM              202608105   4,628   284,800  SH      SOLE                 284,800
COMPANHIA SIDERURGICA NACION   SPONSORED ADR    20440W105   2,727   163,600  SH      SOLE                 163,600
COMPLETE PRODUCTION SERVICES   COM              20453E109   5,969   202,000  SH      SOLE                 202,000
CONAGRA FOODS INC              COM              205887102   2,906   128,700  SH      SOLE                 128,700
CONOCOPHILLIPS                 COM              20825C104   3,051    44,800  SH      SOLE                  44,800
CONSOL ENERGY INC              COM              20854P109   1,672    34,300  SH      SOLE                  34,300
CONSOLIDATED GRAPHICS INC      COM              209341106     610    12,600  SH      SOLE                  12,600
COST PLUS INC CALIF            COM              221485105   3,857   397,600  SH      SOLE                 397,600
CPI CORP                       COM              125902106   3,249   144,100  SH      SOLE                 144,100
CROCS INC                      COM              227046109   7,254   423,700  SH      SOLE                 423,700
CROWN HOLDINGS INC             COM              228368106   1,843    55,200  SH      SOLE                  55,200
DDI CORP                       COM              233162502   4,158   353,600  SH      SOLE                 353,600
DIAGEO P L C                   SPON ADR NEW     25243Q205   2,773    37,300  SH      SOLE                  37,300
DIAMOND OFFSHORE DRILLING INC  COM              25271C102   1,177    17,600  SH      SOLE                  17,600
DILLARDS INC                   COM              254067101   4,295   113,200  SH      SOLE                 113,200
DINEEQUITY INC                 COM              254423106   3,659    74,100  SH      SOLE                  74,100
DIRECTV                        COM              25490A101   1,645    41,200  SH      SOLE                  41,200
DISH NETWORK CORP              COM              25470M109   1,327    67,500  SH      SOLE                  67,500
DOLLAR TREE INC                COM              256746108   7,105   126,700  SH      SOLE                 126,700
DOT HILL SYSTEMS CORP          COM              25848T109      30    17,310  SH      SOLE                  17,310
DRUGSTORE.COM INC              COM              262241102      24    10,700  SH      SOLE                  10,700
DU PONT E I DE NEMOURS & CO    COM              263534109   8,926   178,950  SH      SOLE                 178,950
DYNAVAX TECHNOLOGIES CORP      COM              268158102      63    19,840  SH      SOLE                  19,840
ENI S P A                      SPONSORED ADR    26874R108   2,747    62,800  SH      SOLE                  62,800
ENTERPRISE PRODS PARTNERS L P  COM              293792107   2,676    64,300  SH      SOLE                  64,300
ESTERLINE TECHNOLOGIES CORP    COM              297425100     789    11,500  SH      SOLE                  11,500
F M C CORP                     COM              302491303   1,861    23,300  SH      SOLE                  23,300
FAMILY DLR STORES INC          COM              307000109   6,830   137,400  SH      SOLE                 137,400
FERRO CORP                     COM              315405100   5,093   347,900  SH      SOLE                 347,900
FLOWSERVE CORP                 COM              34354P105   1,526    12,800  SH      SOLE                  12,800
FLUOR CORP NEW                 COM              343412102   1,888    28,500  SH      SOLE                  28,500
FOREST LABS INC                COM              345838106   1,759    55,000  SH      SOLE                  55,000
FRANCE TELECOM                 SPONSORED ADR    35177Q105   2,561   121,500  SH      SOLE                 121,500
FREEPORT-MCMORAN COPPER & GO   COM              35671D857   2,342    19,500  SH      SOLE                  19,500
FRONTIER COMMUNICATIONS CORP   COM              35906A108     154    15,804  SH      SOLE                  15,804
GAP INC DEL                    COM              364760108   1,308    59,100  SH      SOLE                  59,100
GARDNER DENVER INC             COM              365558105     826    12,000  SH      SOLE                  12,000
GENERAL COMMUNICATION INC      COM              369385109   4,182   330,300  SH      SOLE                 330,300
GENERAL MLS INC                COM              370334104   4,285   120,400  SH      SOLE                 120,400
GLAXOSMITHKLINE PLC            SPONSORED ADR    37733W105   2,781    70,900  SH      SOLE                  70,900
GREENBRIER COS INC             COM              393657101   3,776   179,900  SH      SOLE                 179,900
GRUPO FINANCIERO GALICIA S A   SP ADR 10 SH B   399909100   4,077   266,300  SH      SOLE                 266,300
HEALTHSPRING INC               COM              42224N101   4,969   187,300  SH      SOLE                 187,300
HEINZ H J CO                   COM              423074103   4,471    90,400  SH      SOLE                  90,400
HILL ROM HLDGS INC             COM              431475102     736    18,700  SH      SOLE                  18,700
HOME DEPOT INC                 COM              437076102   3,113    88,800  SH      SOLE                  88,800
HONEYWELL INTL INC             COM              438516106   1,685    31,700  SH      SOLE                  31,700
HSN INC                        COM              404303109   4,378   142,900  SH      SOLE                 142,900
HUMANA INC                     COM              444859102   1,867    34,100  SH      SOLE                  34,100
IDT CORP                       COM              448947507   5,199   202,700  SH      SOLE                 202,700
INNOSPEC INC                   COM              45768S105   3,862   189,300  SH      SOLE                 189,300
INTEL CORP                     COM              458140100   6,330   301,000  SH      SOLE                 301,000
INTERFACE INC                  COM              458665106   4,900   313,100  SH      SOLE                 313,100
INTERNATIONAL BUSINESS MACHS   COM              459200101   1,688    11,500  SH      SOLE                  11,500
ISTAR FINL INC                 COM              45031U101   4,615   590,200  SH      SOLE                 590,200
JO-ANN STORES INC              COM              47758P307   5,865    97,400  SH      SOLE                  97,400
JOE'S JEANS INC                COM              47777N101      27    17,620  SH      SOLE                  17,620
JOHNSON & JOHNSON              COM              478160104   8,328   134,650  SH      SOLE                 134,650
JONES LANG LASALLE INC         COM              48020Q107   4,448    53,000  SH      SOLE                  53,000
JOY GLOBAL INC                 COM              481165108   2,134    24,600  SH      SOLE                  24,600
KELLOGG CO                     COM              487836108   4,362    85,400  SH      SOLE                  85,400
KEMET CORP                     COM              488360207   4,657   319,400  SH      SOLE                 319,400
KIMBERLY CLARK CORP            COM              494368103   4,362    69,200  SH      SOLE                  69,200
KRAFT FOODS INC                COM              50075N104   7,884   250,200  SH      SOLE                 250,200
KRISPY KREME DOUGHNUTS INC     COM              501014104   4,007   574,050  SH      SOLE                 574,050
KT CORP                        ADR              48268K101   2,640   126,900  SH      SOLE                 126,900
LABORATORY CORP AMER HLDGS     COM              50540R409   1,688    19,200  SH      SOLE                  19,200
LEXMARK INTL NEW               COM              529771107   3,583   102,900  SH      SOLE                 102,900
LIBBEY INC                     COM              529898108   5,046   326,200  SH      SOLE                 326,200
LIBERTY GLOBAL INC             COM              530555101   1,918    54,200  SH      SOLE                  54,200
LIFETIME BRANDS INC            COM              53222Q103     517    36,800  SH      SOLE                  36,800
LILLY ELI & CO                 COM              532457108   4,306   122,900  SH      SOLE                 122,900
LIONBRIDGE TECHNOLOGIES INC    COM              536252109     429   116,200  SH      SOLE                 116,200
LOCKHEED MARTIN CORP           COM              539830109   4,034    57,700  SH      SOLE                  57,700
LORAL SPACE & COMMUNICATNS INC COM              543881106   1,071    14,000  SH      SOLE                  14,000
LORILLARD INC                  COM              544147101   1,576    19,200  SH      SOLE                  19,200
LUBRIZOL CORP                  COM              549271104   6,114    57,200  SH      SOLE                  57,200
MACQUARIE INFRASTR CO LLC      COM              55608B105     887    41,900  SH      SOLE                  41,900
MAGELLAN HEALTH SVCS INC       COM              559079207   4,553    96,300  SH      SOLE                  96,300
MARSH & MCLENNAN COS INC       COM              571748102   2,986   109,200  SH      SOLE                 109,200
MATTEL INC                     COM              577081102   4,628   182,000  SH      SOLE                 182,000
MCDONALDS CORP                 COM              580135101   3,619    47,150  SH      SOLE                  47,150
MCGRAW HILL COS INC            COM              580645109   1,609    44,200  SH      SOLE                  44,200
MEDCATH CORP                   COM              58404W109   4,217   302,300  SH      SOLE                 302,300
MEDIA GEN INC                  COM              584404107     313    54,100  SH      SOLE                  54,100
MERCER INTL INC                ADR              588056101   4,702   606,700  SH      SOLE                 606,700
MERCK & CO INC NEW             COM              58933Y105   7,705   213,800  SH      SOLE                 213,800
MOBILE TELESYSTEMS OJSC        SPONSORED ADR    607409109   2,711   129,900  SH      SOLE                 129,900
MOODYS CORP                    COM              615369105   1,587    59,800  SH      SOLE                  59,800
NACCO INDS INC                 COM              629579103   4,801    44,300  SH      SOLE                  44,300
NEENAH PAPER INC               COM              640079109     590    30,000  SH      SOLE                  30,000
NETWORK ENGINES INC            COM              64121A107      33    21,700  SH      SOLE                  21,700
NEWCASTLE INVT CORP            COM              65105M108   4,663   695,900  SH      SOLE                 695,900
NEWPORT CORP                   COM              651824104   4,186   241,000  SH      SOLE                 241,000
NOKIA CORP                     SPONSORED ADR    654902204   2,784   269,800  SH      SOLE                 269,800
OWENS CORNING NEW              COM              690742101     564    18,100  SH      SOLE                  18,100
PACER INTL INC TENN            COM              69373H106     556    81,300  SH      SOLE                  81,300
PETROCHINA CO LTD              ADR              71646E100   2,827    21,500  SH      SOLE                  21,500
PFIZER INC                     COM              717081103   8,065   460,600  SH      SOLE                 460,600
PHILIP MORRIS INTL INC         COM              718172109   4,536    77,500  SH      SOLE                  77,500
PIER 1 IMPORTS INC             COM              720279108   4,104   390,900  SH      SOLE                 390,900
PITNEY BOWES INC               COM              724479100   2,882   119,200  SH      SOLE                 119,200
POLYONE CORP                   COM              73179P106   4,761   381,200  SH      SOLE                 381,200
POWER ONE INC NEW              COM              73930R102   4,573   448,300  SH      SOLE                 448,300
PRICESMART INC                 COM              741511109   4,050   106,500  SH      SOLE                 106,500
QUAKER CHEM CORP               COM              747316107   4,988   119,700  SH      SOLE                 119,700
QUIKSILVER INC                 COM              74838C106   4,112   811,000  SH      SOLE                 811,000
RAYTHEON CO                    COM              755111507   3,967    85,600  SH      SOLE                  85,600
ROCHE HLDG LTD                 ADR              771195104   2,815    76,800  SH      SOLE                  76,800
ROCKWOOD HLDGS INC             COM              774415103   5,406   138,200  SH      SOLE                 138,200
ROSS STORES INC                COM              778296103   1,645    26,000  SH      SOLE                  26,000
ROYAL DUTCH SHELL PLC          SPON ADR A       780259206   2,838    42,500  SH      SOLE                  42,500
RUBY TUESDAY INC               COM              781182100   3,935   301,300  SH      SOLE                 301,300
SAIC INC                       COM              78390X101   1,308    82,500  SH      SOLE                  82,500
SANOFI AVENTIS                 ADR              80105N105   2,669    82,800  SH      SOLE                  82,800
SAUER-DANFOSS INC              COM              804137107   3,698   130,900  SH      SOLE                 130,900
SELECT COMFORT CORP            COM              81616X103     562    61,600  SH      SOLE                  61,600
SINCLAIR BROADCAST GROUP INC   CL A             829226109     719    87,900  SH      SOLE                  87,900
SKECHERS U S A INC             COM              830566105     292    14,600  SH      SOLE                  14,600
STANDEX INTL CORP              COM              854231107     655    21,900  SH      SOLE                  21,900
STATOIL ASA                    ADR              85771P102   3,111   130,900  SH      SOLE                 130,900
SUNOPTA INC                    ADR              8676EP108   4,284   547,800  SH      SOLE                 547,800
SXC HEALTH SOLUTIONS CORP      COM              78505P100     677    15,800  SH      SOLE                  15,800
SYSCO CORP                     COM              871829107   4,254   144,700  SH      SOLE                 144,700
TAIWAN SEMICONDUCTOR MFG LTD   SPONSORED ADR    874039100   3,154   251,500  SH      SOLE                 251,500
TELEFONICA S A                 SPONSORED ADR    879382208   2,579    37,700  SH      SOLE                  37,700
TENNANT CO                     COM              880345103     649    16,900  SH      SOLE                  16,900
TENNECO INC                    COM              880349105  10,525   255,700  SH      SOLE                 255,700
TIMKEN CO                      COM              887389104   4,114    86,200  SH      SOLE                  86,200
TITAN INTL INC ILL             COM              88830M102   4,338   222,000  SH      SOLE                 222,000
TJX COS INC NEW                COM              872540109   1,403    31,600  SH      SOLE                  31,600
TORO CO                        COM              891092108   4,746    77,000  SH      SOLE                  77,000
TOTAL S A                      SPONSORED ADR    89151E109   2,770    51,800  SH      SOLE                  51,800
TPC GROUP INC                  COM              89236Y104   4,451   146,800  SH      SOLE                 146,800
TRACTOR SUPPLY CO              COM              892356106   9,714   200,336  SH      SOLE                 200,336
TRIMAS CORP                    COM              896215209   4,777   233,500  SH      SOLE                 233,500
TRW AUTOMOTIVE HLDGS CORP      COM              87264S106  11,436   217,000  SH      SOLE                 217,000
TUESDAY MORNING CORP           COM              899035505   3,975   752,800  SH      SOLE                 752,800
U S AIRWAYS GROUP INC          COM              90341W108   9,164   915,500  SH      SOLE                 915,500
ULTA SALON COSMETCS & FRAG INC COM              90384S303   6,062   178,300  SH      SOLE                 178,300
ULTRA CLEAN HLDGS INC          COM              90385V107     614    65,900  SH      SOLE                  65,900
UNITED CONTL HLDGS INC         COM              910047109   9,071   380,800  SH      SOLE                 380,800
UNITED RENTALS INC             COM              911363109   3,986   175,200  SH      SOLE                 175,200
UNIVERSAL AMERICAN CORP        COM              913377107     761    37,200  SH      SOLE                  37,200
VALASSIS COMMUNICATIONS INC    COM              918866104   4,723   146,000  SH      SOLE                 146,000
VERIZON COMMUNICATIONS INC     COM              92343V104   8,761   244,850  SH      SOLE                 244,850
VODAFONE GROUP PLC NEW         SPONS ADR NEW    92857W209   2,638    99,800  SH      SOLE                  99,800
WASTE MGMT INC DEL             COM              94106L109   2,931    79,500  SH      SOLE                  79,500
WESTELL TECH INC               CL A             957541105      77    23,580  SH      SOLE                  23,580
WESTERN DIGITAL CORP           COM              958102105   1,176    34,700  SH      SOLE                  34,700
WESTERN REFNG INC              COM              959319104   4,105   388,000  SH      SOLE                 388,000
WHIRLPOOL CORP                 COM              963320106     533     6,000  SH      SOLE                   6,000
WILLIAMS SONOMA INC            COM              969904101   4,997   140,000  SH      SOLE                 140,000
WYNDHAM WORLDWIDE CORP         COM              98310W108   4,704   157,000  SH      SOLE                 157,000
YUM BRANDS INC                 COM              988498101   1,702    34,700  SH      SOLE                  34,700
ZIONS BANCORPORATION           COM              989701107     594    24,500  SH      SOLE                  24,500
TOTAL                                                     669,695