Forecasting stock price movements is a notoriously difficult job. Were it not so, it would be easy to get richer. In this case, however, nobody would get poorer. But if nobody gets poorer, nobody will get richer. There are two ways to get out of this vicious circle. The first, and the more well-trodden, is the Efficient Market Theory (EMT), or: Everybody Understands Everything. The second is the Casino Market Theory (CMT), or: Nobody Understands Anything. This work is an attempt to bridge the gap between these two theories. In the first chapter the EMT is analysed in its fundamental constituents, while Chapter 2 contains a discussion of several empirical tests of the theory. Chapter 3 extends the EMT to incorporate variable risk premia and rational speculative bubbles and Chapter 4 presents the available empirical evidence on the extended model. The line of research based on the EMT paradigm is abandoned in Chapter 5, where the central principle of the EMT - the assumption of homogeneous investors with common priors - is investigated and challenged. The basis is there laid for an alternative view of the stock market game, which emphasises the conventional nature of investors' beliefs about future returns and is consistent with the view that stock market prices do not only reflect the fundamental value of underlying companies. In Chapter 6, the hypothesis that non fundamental information (in particular, past information) may have an influence on current stock prices is evaluated against monthly data relative to the US, UK, Japanese and Italian stock markets. Contrary to popular wisdom, we find that past information has a significant effect on current stock returns. Our evidence indicates that, as Keynes suggested in the General Theory, conventional beliefs play a crucial role in the stock market game.

Includes bibliographical references.

Thesis (Ph.D.)--City University of Hong Kong, 2009. / "Submitted to Department of Economics and Finance in partial fulfillment of the requirements for the degree of Doctor of Philosophy." Includes bibliographical references (leaves 107-118)

published_or_final_version / abstract / Economics and Finance / Doctoral / Doctor of Philosophy

Thesis (M.B.A.)--University of North Carolina Wilmington, 2008. / Includes appendices. Title from PDF title page (viewed May 27, 2009) Includes bibliographical references (p. 56-58)

Thesis (Ph.D.)--Michigan State University. Dept. of Economics, 2008. / Title from PDF t.p. (viewed on July 22, 2009) Includes bibliographical references (p. 138-157). Also issued in print.

Thesis (Ph. D.)--City University, London, 1989. / Includes bibliographical references (leaves 262-279).

Thesis (Ph. D.)--Memphis State University, 1991. / Typescript (photocopy). Includes bibliographical reference.

Thesis (Ph . D.)--Andhra University, 1994. / Includes bibliographical references.

Thesis (Ph. D.)--University of Missouri-Columbia, 2007. / The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed on September 28, 2007) Vita. Includes bibliographical references.