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Tests of the EMH

In: A Random Walk to Nowhere How the Professors Caused a Real “Fraud-on-the-Market”

Author

Listed:
  • Edward E. Williams
  • John A. Dobelman

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…

Suggested Citation

  • Edward E. Williams & John A. Dobelman, 2020. "Tests of the EMH," World Scientific Book Chapters, in: A Random Walk to Nowhere How the Professors Caused a Real “Fraud-on-the-Market”, chapter 6, pages 95-114, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811207792_0006
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    More about this item

    Keywords

    Efficient Market Hypothesis; Market Inefficiency; Mathematical Economics; Academic Finance; Real-World Markets; Fraud; Random Walk;
    All these keywords.

    JEL classification:

    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance

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