The Adjustment of Stock Prices to New Information

"There is an impressive body of empirical evidence which indicates that successive price changes in individual common stocks are very nearly independent. Recent papers by Mandelbrot and Samuelson show rigorously that independence of successive price changes is consistent with an “efficient” market, i.e., a market that adjusts rapidly to new information..."

The-Adjustment-of-Stock-Prices-to-New-Information-Eugene-F.-Fama-Michael-C.-Jensen-Lawrence-Fisher-and-Richard-W.-Roll-February-1969

The Financial Analysts Journal; Sep/Oct 1965: 55-59 (1)

Source: https://www.jstor.org/stable/2525569