The Adjustment of Stock Prices to New Information

@article{Fama1969TheAO,
  title={The Adjustment of Stock Prices to New Information},
  author={E. Fama and L. Fisher and M. C. Jensen and R. Roll},
  journal={Capital Markets: Market Efficiency eJournal},
  year={1969}
}
There is an impressive body of empirical evidence which indicates that successive price changes in individual common stocks are very nearly independent. Recent papers by Mandelbrot and Samuelson show rigorously that independence of successive price changes is consistent with an efficient market, i.e., a market that adjusts rapidly to new information. It is important to note, however, that in the empirical work to date the usual procedure has been to infer market efficiency from the observed… Expand

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