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http://www.persee.fr Une histoire du concept d’efficience sur les marchés financiers
Christian Walter Walter Christian, . Une histoire du concept d’efficience sur les marchés financiers. In:Annales. Histoire, Sciences Sociales, 51e année, N. 4, 1996. pp. 873-905. Voir l’article en ligne An History of the Efficient Market Concept. WALTER. The so-called market efficiency, which statesthat prices fully reflect all available information is key concept of the modern financial theory. Actually, most of the practical mechanisms and financial instruments traded on markets are based on thishypothesis. This concept is closely related to probabilistic representation of the behavior of stock market prices. This representation allows to test and possibly to falsify the concept which is nottestable per se. First proposed by French mathematician, Louis Bachelier , in 1900, the probabilistic representation postulates strong impredictibility of prices movements, and gaussian distributionof returns : prices follow random walk with drift. Its scientific usefulness is now proved, since it has changed the views and practices of market professionals, but only after hard conflicts in thefield of finance world. Important point is that the probabilistic representation came before an economic explanation of the random walk. So the efficent market hypothesis has been first associated withthe normal distribution : the problem of anomalies observed in testing the efficiency is clouded by this joint-hypothesis. Since the crash of October 1987, a new way of considering markets isemerging, which could lead to split between efficiency and normal probability distribution. The history of the forming of this concept discloses, over long time, the specific components which are at theorigin of the crisis of this paradigm.

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