This was the same Fama who, in 1964, submitted a thesis subtitled "A Test of Mandelbrot's Stable Paretian Hypothesis." He believed that successive price changes were statistically independent. I had to convince him that I had never claimed independence and that he was in fact testing a much weaker hypothesis-the one that was first expounded in Bachelier's 1900 Ph.D. thesis and had become known as the martingale hypothesis. Fama conceded, corrected his earlier assumptions, replaced the mysterious label "martingale" with "efficient market," and built his career on becoming its champion. This hypothesis is convenient indeed, and it is, on occasion, useful as a first approximation or illustration. But on more careful examination, it failed to be verified-and for being its herald, Fama should receive neither blame nor credit.
15 outubro 2013
Complete and definitive appreciation of Fama's work by Mandelbrot
The complete and definitive appreciation of Fama's now Nobel Prize-winning contribution was given by Mandelbrot in his memoir "The Fractalist", page 226. It reads: