The Birth of the Efficient Market Hypothesis

Edward E. Williams and John A. Dobelman

Chapter 3 in A Random Walk to Nowhere:How the Professors Caused a Real “Fraud-on-the-Market”, 2020, pp 39-52 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The seeds for the EMH were germinated by a modest effort by Harry Roberts (Journal of Finance, 1959) who was a statistician at the University of Chicago at the time. Roberts’ paper posited the following: (1) Movements in stock prices conform to a normal (bell curve) distribution, (2) random selections may be made from such a distribution, and (3) the results may be added to an arbitrary starting price. From this Roberts noted that the results looked a lot like the DJIA over time (for the interested reader, the process is described in mathematical detail in Thompson, Williams and Findlay, Models for Investors in Real World Markets, 2003)…

Keywords: Efficient Market Hypothesis; Market Inefficiency; Mathematical Economics; Academic Finance; Real-World Markets; Fraud; Random Walk (search for similar items in EconPapers)
JEL-codes: B26 O16 (search for similar items in EconPapers)
Date: 2020
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