G14 Information and Market Efficiency – Going Digital https://goingdigital2019.weaconferences.net 15th November to 20th December, 2019 Mon, 09 Jun 2025 12:48:08 +0000 en-GB hourly 1 Predicting Stock Returns: Random Walk or Herding Behaviour? https://goingdigital2019.weaconferences.net/papers/predicting-stock-returns-random-walk-or-herding-behaviour/ https://goingdigital2019.weaconferences.net/papers/predicting-stock-returns-random-walk-or-herding-behaviour/#comments Fri, 15 Nov 2019 09:31:41 +0000 https://goingdigital2019.weaconferences.net/?post_type=wea_paper&p=89 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.

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