Predicting Stock Returns: Random Walk or Herding Behaviour?
Alessandro Zoino CFA
Mr Zoino graduated from Federico II University of Naples (BSc and MSc in Economics) and gained research experiences at Yonsei School of Business and University of Basel. Mr Zoino is Portfolio Manager and Lead Quant Active Asset Allocation at Deutsche Bank. He is a CFA charterholder and member of the CFA Society Luxembourg
Please cite the paper as:
Alessandro Zoino CFA, (2019), Predicting Stock Returns: Random Walk or Herding Behaviour?, World Economics Association (WEA) Conferences, No. 1 2019, Going Digital, 15th November to 16th December, 2019
The analysis is based on Efficient Market Hypothesis and predictability of stock returns. Both concepts will be theoretically showed and demonstrated following the most known asset pricing theories and studying the bid/ask spreads. The 3 Efficient Market Hypotheses will be empirically tested through the Technical Analysis and the Fundamental Analysis. The aim of the model is to highlight the Efficient Market Hypothesis’ limits by instructing several tests related to the irrationality of investors, such as the analysis of the noise trading and the respectively effects on volatility, the empirical test of hedging, arbitrage and speculation concepts, the demonstration of the divergence between behavioural finance and expected returns, to conclude with the comparison between random walk and herding behaviour.