Proof that Properly Anticipated Prices Fluctuate Randomly

By P. Samuelson. 2015

1,501 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7d9e3a6eef390082589481a072036daec65f1f5a

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In Economics and Econometrics

Citations in the corpus

Social Media and Firm Equity Value (2013, background): “Social Media as a Leading Indicator of Firm Equity Value In the ﬁnance literature, the efﬁcient market hypothesis states that new information may change market expectations and thus move a ﬁrm’s stock prices (Fama 1970, Samuelson 1965).”
The inefficiency of Bitcoin revisited: a dynamic approach (2017, methodology): “The formalization of the Efficient Market Hypothesis (EMH) remained latent until its theoretical development by Samuelson (1965) and the definition and classification by Fama (1970).”
Beyond inducement in climate change: Does environmental performance spur environmental technologies? (2013, neutral): “In the last decades, this approach has successfully elaborated a framework that articulates the link between CSR and corporate financial performance (CFP) (Margolis and Walsh, 2003; Orlitzky et al., 2003; Porter and Kramer, 2002 and 2006, Kotler and Lee, 2005).”
Threshold cointegration: overview and implementation in R (2013, background): “However, there are considerable theoretical (Samuelson, 1965) and empirical (Nelson and Plosser, 1982) arguments in favor of non-stationarity of economic series, especially for the diﬀerence-stationary type.”
Why You Should Never Use the Hodrick-Prescott Filter (2017, background): “Simple economic theory suggests that variables such as stock prices (Fama, 1965), futures prices (Samuelson, 1965), long-term interest rates (Sargent, 1976; Pesando, 1979), oil prices (Hamilton, 2009), consumption spending (Hall, 1978), inflation, tax rates, and money supply growth rates (Mankiw,…”
Econometrics of the Basu Asymmetric Timeliness Coefficient and Accounting Conservatism (2013, critical): “Ball et al. (2013, fn 16) disprove this claim.”
IFRS – 10 years later (2016, background): “In theory, and assuming no changes in discount rates, shocks to asset prices are completely independent across time (Samuelson 1965).”
Bubbles in food commodity markets: Four decades of evidence ☆ (2014, background): “First, an important characteristic of futures prices for an individual contract is that price variance increases as contract maturity approaches (Samuelson, 1965).”
Speculative bubbles in agricultural commodity markets (2013, background): “However, in the last weeks of the life of a futures contract commodity prices may be abnormally volatile (see Samuelson, 1965) and for this reason Ma, Mercer and Walker (1992) suggest to generally avoid using rolling over at the maturity date.”
Investigation of market efficiency and Financial Stability between S&P 500 and London Stock Exchange: Monthly and yearly Forecasting of Time Series Stock Returns using ARMA model (2016, background): “Efficient Market Hypothesis (EMH) due to Samuelson [39], Fama [40] and others.”
The dynamics of commodity prices (2013, background): “Following the seminal work of Samuelson (1965), it is now widely accepted that commodity prices fluctuate randomly.”
Commodity futures and market efficiency (2013, background): “Themain distinction has its roots back in 1965 when Fama (1965) and Samuelson (1965) used different definitions—a random walk and a martingale, respectively.”