Eugene Fama is the father of the Efficient Market Hypothesis (EMH) which states that financial markets instantly factor in all known information into asset prices. One implication of this hypothesis is that professional investors cannot outperform the market except by luck. Therefore the best strategy is to simply invest in an index fund.
Robert Shiller challenged the EMH with his findings that the volatility of stock prices is greater than would be expected by the changes in dividends. His work has been part of the behavioral revolution in economics which studies the psychological factors in economic decisions and their effect on markets.
Lars Peter Hansen developed statistical tools that greatly simplified the analysis of asset prices.
Of relevance to all this, in Thinking Fast and Slow, Daniel Kahnemen describes his statistical research that demonstrates the inability of professional investors (including fund managers) to consistently beat the market. As he puts it, "There is general agreement among researchers that nearly all stock pickers, whether they know it or not - and few of them do - are playing a game of chance. The subjective experience of traders is that they are making sensible educated guesses in a situation of great uncertainty. In highly efficient markets, however, educated guesses are no more accurate than blind guesses."
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