Home

Efficient Markets Hypothesis: Key Papers

The Price Deviation Is Directly Proportional To The Square Root Of Time

Regnault (1863) and Osborne (1959).

Martingale

Bachelier (1900) and Samuelson (1965).

Fat Tails

Mitchell (1915, 1921), Olivier (1926), Mills (1927), Osborne (1959), Larson (1960) and Alexander (1961).

Nonstationarity

Kendall (1953), Houthakker (1961) and Osborne (1962).

Logs

Osborne (1959)

Nonlinear

Alexander (1961) and Houthakker (1961).

Scaling

Mandelbrot (1963) (technical report 1962).

EMH Definitions

Fama (1965), Fama (1965), Fama et al. (1969), Fama (1970), Jensen (1978), Fama (1991), Malkiel (1992), Fama (1998) and Timmermann and Granger (2004).

Joint Hypothesis Problem

Fama (1970)

EMH != RWT

LeRoy (1973) and (especially) Lucas (1978).

Not Risk Neutral Implies Submartingale

Cox and Ross (1976), Lucas (1978) and Harrison and Kreps (1979).

EMH is Impossible

Beja (1977), (most importantly) Grossman and Stiglitz (1980) and Tirole (1982).

Different Sorts Of Efficiency

Stiglitz (1981)

Review/Survey Papers

Fama (1970), Samuelson (1973), Fama (1991), Dimson and Mussavian (1998), Fama (1998), Farmer and Lo (1999), Beechey, Vickery and Gruen (2000), Lo (2000), Andreou, Pittis and Spanos (2001).