Random Walks in Stock Market Prices

@article{Fama1965RandomWI,
  title={Random Walks in Stock Market Prices},
  author={Eugene F. Fama},
  journal={Financial Analysts Journal},
  year={1965},
  volume={21},
  pages={55-59}
}
  • E. Fama
  • Published 1 September 1965
  • Economics
  • Financial Analysts Journal
OR MANY YEARS cconomists, Statisticians, and teachers of finance have been interested in developing and testing models of stock price behavior. One important model that has evolved from this research is the theory of random walks. This theory casts serious doubt on many other methods for describing and predicting stock price behavior — methods that have considerable popularity outside the academic world. For example, we shall see later that if the random walk theory is an accurate description… 
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References

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THE RANDOM-WALK HYPOTHESIS OF STOCK MARKET BEHAVIOR†
SUMMARY A model of the form xt - xt-1= et where xt is the price of a share at time t and et forms a sequence of independent random variates is postulated as a model of the price determining
The Analysis of Economic Time Series
ECONOMETRICS may be described as the application of mathematics to statistics for the elucidation of economic forces and the measurement of their effects. Since these actions are dynamic the
SPECTRAL ANALYSIS OF NEW YORK STOCK MARKET PRICES
SUMMARY New York stock price series are analyzed by a new statistical technique. It is found that short-run movements of the series obey the simple random walk hypothesis proposed by earlier
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