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Excited to present our ongoing research with @ThomDelcey about the association between the efficient market hypothesis and rational expectations. Thanks @Goulven_Rubin for the invitation #seminarH2M #phare #paris1! Here is a teaser/thread of what we got so far (comments welcomed) 
2/ EMH and RE are today key benchmarks for macro and finance. What is rather surprising: many economists claim that the two concepts are equivalent (or closely related). We initially asked: Since when is it so?
3/ Although the association sounds logical and theoretically sensible, it is a puzzling association for historians, because…
4/ There are very good histories of the EMH, and very good histories of macro and RE, but few historiography about the connection between these two fields (except e.g. @PMehrling book on Fischer Black). And there is really not much about the association EMH-RE.
5/ However, when we started digging into this, we found that macro and financial economists actually tell all sort of stories about the origins of the association RE-EMH. We even identified 3 different timelines or “lineages”.
6/ The first “lineage” argues that the EMH was a forerunner of RE and RE macro. It puts Samuelson’s and Fama’s work (especially drafts and communications of Samuelson 1965) as precursors of Muth’s and/or Lucas’s:
7/ The second “lineage” tells the opposite story: the EMH was developed thanks to Muth, around the same time or slightly after RE macro:
8/ Finally, a third story just claims that RE and EMH have distinct origins; they are “independent discoveries” of the 1960s and they were brought together later, in the 1970s.
9/ Investigation of historical evidence (archives, citation patterns, personal memories) tends to support this latter narrative about “independent discoveries”. There is no evidence available supporting lineage 1 and 2. But then, how, when, and why RE and EMH met in the 1970s?
10/ ["no evidence" means, as @F_Allisson and @ant_mis1 would say, that there is no "proximity with in the letter", although there is some "proximity with the spirit". E.g. Holbrook Working "ideal expectations" are somehow "in the spirit" of RE, although under a different form]
11/ So how RE and EMH met in the 1970? Here comes the teasing bit of this thread; both because we would like you guys to read our draft phare.univ-paris1.fr/fileadmin/PHAR…, and because we are still working on this; so no final answer yet, only hypotheses; sorry :)]
12/ So far, the first clear association RE-EMH appears in a Sargent’s paper (1972) on the expectations theory of the term structure of interest rates. A short but intense debate on this topis unfolds (1972-1975), featuring Sargent, Shiller, Modigliani, Fama and a few others.
13/ After this initial application, the association RE-EMH seems increasingly popular. We have been running into a lot of papers using the association and dealing with many different areas of macro and finance.
14/ We are trying to do some bibliometrics on this to get a rather general picture---hopefully we could share this later.
15/ There are, however, two clears patterns emerging from this diverse literature. The first is what we called a “stabilization” pattern: several attempts to frame the association EMH-RE in rather general terms, within general equilibrium kind of models (Lucas, 1978).
16/ Also, two influential books by Mishkin and Sheffrin (both published in 1983) contributed in shaping the association in the rather theoretical formulation that is still in use today (and influential in undergrads teaching, if you look e.g. to Mishkin’s textbook).
17/ An interesting feature of Mishkin’s work is that it uses the large pre-1980s empirical literature corroborating EMH to provide empirical support new classical macro. Keynesians’ reactions to this were not exactly enthusiastic… (here is a letter from Samuelson, 1984)
18/ But there is second pattern, that we called (unoriginally, sorry @Undercoverhist) the “weaponization” pattern. This involves taking the association EMH-RE as the benchmark for criticizing and attacking either the EMH or new classical macro.
19/ By making the association EMH-RE a target, this literature contributes to its growing popularity. An example is the famous Grossman and Stiglitz paradox (1976, 1980): this a criticism of the internal consistency of EMH based on a RE model a la Lucas (1972).
20/ Another example is the famous volatility test by Shiller (1981). Shiller built a test of efficiency evaluating to what extent historical stock prices had “rationally expected” the discounted dividend cash flow.
21/ We really feel that we cannot go further after 1983, at least not for this paper (but we will definitely think later about a “RE-EMH II” covering the story up to today). Nevertheless, we have the feeling that this initial investigation already uncovers a lot of new questions.
22/ We still need to clarify some leads. Is there a theoretical or institutional competition between fields (macro vs finance)? Or is the association a successful branding of a shared “Chicago pro-market” view (vs. a “Keynesian” view)?
23/ We will say more on these issues during the seminar (maybe it will live-twitted, @_gnoblet ?)
