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The Random Walk Hypothesis, Portfolio Analysis and the Buy-and-Hold Criterion*

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  • Evans, John L.

Abstract

Recent literature has witnessed the emergence of an impressive body of empirical evidence relating to the relationship which exists between successive security price changes. The great majority of this evidence has tended to support what has come to be known as the theory of random walks in security prices—that is, the theory that successive security price changes behave as independent random variables, which implies that knowledge of “the past history of a series of price changes cannot be used to predict future changes in any ‘meaningful’ way.”

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  • Evans, John L., 1968. "The Random Walk Hypothesis, Portfolio Analysis and the Buy-and-Hold Criterion*," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 3(3), pages 327-342, September.
    • Handle: RePEc:cup:jfinqa:v:3:y:1968:i:03:p:327-342_01
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    Cited by:

    1. Kapil Gupta & Balwinder Singh, 2009. "Information Memory and Pricing Efficiency of Futures Contracts," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 191-250, May.
    2. Dash, M., 2019. "Testing the Random Walk Hypothesis in the Indian Stock Market Using ARIMA Modelling," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 8(2), pages 71-77, May.
    3. Mihir Dash, 2020. "Testing the Binomial Model in the Indian Stock Market," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 9(1), pages 22-27, March.

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