Reply: The Optimal Price to Trade

Ben Branch

Journal of Financial and Quantitative Analysis, 1979, vol. 14, issue 3, 649-651

Abstract: Edward Miller's basic point (see “Comment” in this issue) may be put rather briefly: If market prices follow the random walk model precisely (I assume he refers to the semi-strong form of the efficient market hypothesis), there are no gains to be made from a trading strategy which involves waiting for more attractive prices. In a fully efficient market the price is always in line with the available information and thus never becomes either more or less attractive than the relevant information set would allow.

Date: 1979
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