Proof That Properly Anticipated Prices Fluctuate Randomly.¶
Samuelson, P. A. (1965). Proof That Properly Anticipated Prices Fluctuate Randomly. Industrial Management Review, 6(2), 41-49.
Cited by¶
2 citations across 2 artifacts.
Each citation links to the sentence it supports in the citing article.
Primes¶
- Efficient Market Hypothesis (EMH)
- The formal structure, derived in Samuelson's (1965) proof that properly anticipated prices fluctuate randomly and complemented by Fama's (1965) empirical analysis of stock-market price behavior, unfolds as follows: A market is efficient with respect to information set Ω_t if the conditional expectation of excess return satisfies E[R_{t+1} − R_f | Ω_t] = zero (up to an equilibrium risk premium).
This sourceEstablishes the martingale property of properly-anticipated prices — supports the Structural-Signature marker 212 on E[R_{t+1}−R_f | Ω_t] = 0 and the random-walk/martingale foundation. (Pre-internet MIT house journal; no DOI; left link-less.)
- The formal structure, derived in Samuelson's (1965) proof that properly anticipated prices fluctuate randomly and complemented by Fama's (1965) empirical analysis of stock-market price behavior, unfolds as follows: A market is efficient with respect to information set Ω_t if the conditional expectation of excess return satisfies E[R_{t+1} − R_f | Ω_t] = zero (up to an equilibrium risk premium).
- Price Mechanism
- The efficient-markets hypothesis (Fama 1970; Samuelson 1965
This sourceEstablishes the martingale property of properly-anticipated prices as the probabilistic foundation of EMH.
- The efficient-markets hypothesis (Fama 1970; Samuelson 1965
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