doubts on the capacity of nancial analysists to forecast the price (Cowles
1933; Cowles et Jones 1937; Cowles 1944).
1
Answering a posteriori to these
empirical studies, EMH is an economist explanation of this phenomenon
(Walter 1996, 891; Jovanovic 2009, 51). According to the theoretical and
historical literature (Merton 2006; Bernstein 1992; Brian et Walter 2007;
Mignon 2008), EMH’s authorship has to be attributed to the works of Eu-
gene Fama (1965a; 1965b) and Paul Samuelson (1965a). Both, Fama and
Samuelson explain the random character of prices as the consequence of ra-
tional behaviors.
2
We extend this corpus with the Paul A. Samuelson Papers, David M.
Rubenstein Rare Book Manuscript Library from Duke University.
3
Based on
these materials, the claim of this article is to nuance strongly the theoretical
proximity between Fama and Samuelson. Indeed, Fama and Samuelson both
explain the randomness of price variation, and yet they both produce a very
dierent explanation of this phenomenon. According to Fama, EMH is a
competitive market composed of rational agents, where price converges to the
Fundamental Value (FV), explaining the random character of price. We call
this denition the “Fama’s EMH”. According to Samuelson, randomness of
price variation can be simply explained by the competition between rational
agents with no regard to the FV. We call this denition the “Samuelson’s
EMH”. We do not argue that the understanding of this crucial periods in the
history of EMH can be limited to an analysis of the theoretical dierences
between Fama and Samuelson. However, these theoretical dierences are
largely ignored by the literature and deserved to be rstly highlighted.
This distinction between two dierent claims belonging to EMH has been
already mentioned in the literature in dierent ways (Thaler 2016; Charron
1. See (Bernstein 1992)and (Walter 2013).
2. The only dierence between the two authors though resides in the probabilistic model
they used to describe the random variation. While Fama chooses the already known Ran-
dom walk Model, Samuelson introduces for the rst time the Martingale model. A random
variable X
t
follow a random walk if, and only if, the increments are independent and iden-
tically distributed. P
t
, a random variable, follow a martingale if: E[P
t+1
P
t
, P
t−1
…] = P
t
.
See (Campbell, Lo, et MacKinlay 1997, 85).
3. We use the acronym ARC ahead reference to archives in the body of text The exact
reference of each archives used in this article can be found in the bibliography. We are
really thankful to the History of Political Economy Center and the David M. Rubenstein
Rare Book Manuscript Library from Duke University to have given access to these archives.
3