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Samuelson vs Fama on the Efficient Market Hypothesis: The Point of View of Expertise
[Samuelson vs Fama sur l’efficience informationnelle des marchés financiers : le point de vue de l’expertise]

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  • Thomas Delcey

    () (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper investigates the polysemic character of the Efficient Market Hypothesis through a comparison of the contributions of the two authors who introduced this hypothesis in 1965, Eugene Fama and Paul Samuelson. While both had a normative approach, it is argued that the key point distinguishing the two contributions is the expertise developed by each author. Fama interpreted his model to make practical recommendations for investment strategy. Samuelson interpreted his model to discuss and promote a political expertise that would be useful for policymaking such as the Pareto optimality of speculative price or the social benefit of speculation. The second part investigates the context of paper writing. We suggest that two elements are central to explain Fama and Samuelson's stance: first, the contrasting viewpoints of their research institutions, respectively Chicago and MIT, and second, the position of each author in early financial economics. Finally, we show how their early contrasted stance is consistent with Fama and Samuelson's opposite reactions to the Efficient Market Hypothesis controversy in the 1980s. In conclusion, we suggest that this opposition between Fama and Samuelson is useful to discuss the early EMH controversy in the 1980s.

Suggested Citation

  • Thomas Delcey, 2019. "Samuelson vs Fama on the Efficient Market Hypothesis: The Point of View of Expertise [Samuelson vs Fama sur l’efficience informationnelle des marchés financiers : le point de vue de l’expertise]," Post-Print hal-01618347, HAL.
  • Handle: RePEc:hal:journl:hal-01618347
    DOI: 10.4000/oeconomia.5300
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01618347v3
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    References listed on IDEAS

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    Cited by:

    1. Blazej Prusak & Marcin Potrykus, 2020. "Short-term Price Reaction to Involuntary Bankruptcies Filed in Bad Faith: Empirical Evidence from Poland," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 873-889.
    2. Thomas Delcey & Francesco Sergi, 2019. "The Efficient Market Hypothesis and Rational Expectations. How Did They Meet and Live (Happily?) Ever After," Working Papers hal-02187362, HAL.
    3. Thomas Delcey & Francesco Sergi, 2019. "The Efficient Market Hypothesis and Rational Expectations. How Did They Meet and Live (Happily?) Ever After," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02187362, HAL.

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    Keywords

    Fama (Eugene F); Samuelson (Paul A); efficient market hypothesis; polysemy; efficience des marchés financiers; expertise; polysémie; Samuelson (Paul A.); Fama (Eugene F.);
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