Tests of the EMH

Edward E. Williams and John A. Dobelman

Chapter 6 in A Random Walk to Nowhere:How the Professors Caused a Real “Fraud-on-the-Market”, 2020, pp 95-114 from World Scientific Publishing Co. Pte. Ltd.

Abstract: It will be recalled, that, even in a world of perfect certainty, prices of securities could be expected to change over time as long as the income (dividend) stream is not instantaneous and constant. Indeed, price change would be necessary in such a case to cause the expected return for each holding period to be obtained. In a world of less-than-perfect certainty, changes in expected income or the required rate of return (caused, in turn, by changes in the level of interest rates or the perceived risk of the issue) could also cause the prices of securities to change over time…

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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