Im Oktober 1965 veröffentlichte Eugene Fama seinen berühmten Artikel „Random Walks in Stock Market Prices“, der die Finanzwissenschaften revolutionierte.
For many years economists, statisticians, and teachers of finance have been interested in developing and testing models of stock price bevaiour. One important model that has evolvend from this research is the theory of random walks. This theory casts serious doubt on many other methods for describing and predicting stock price behaior – methods that have considerable popularity outside the adademic world. For example, we shall see later that if random walk theory is an accurate description of reality, then the various “technical” or “chartist” procedures for predicting stock prices are completely without value.
An efficient market ist defined as a market where there ar large numbers of rational, profit-maximizers actively competing, with each trying to predict future market values of individual securities, and where important current information is almost freely available to all participants.
In an efficient market, competition among the many intelligent participants leads to a situation where, at any point in time, actual prices of individual securities already reflect the effects of information based both on events, that have already occurred and on events which, as of now, the market expects to take place in the future. In other words, in an efficient market at any point in time the actual price of a security will be a good estimate of its intrinsic value.
As stated earlier, chartist theories implicitly assume that there is dependence in series of successive price changes. That is, the history of series can be used to make meaningful predictions concerning the future. On the other hand, the theory of random walks says that successive price changes are independent, i.e., the past cannot be used to predict the future. Thus the two theories are diametrically opposed, and if, as the empirical evidence seems to suggest, the random walk theory is valid, then chartist theories are akin to astrology and of no real value to the investor.
Fazit: We need just another revolution!
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