The Rational Reminder Podcast · Thursday, October 1, 2026
Victor Haghani discussed his forthcoming paper, "Who Killed the Random Walk?", which explores persistent puzzles in stock returns like excess volatility and momentum. The research posits that these anomalies are not fully explained by rational expectations alone, but are exacerbated by different investor types, particularly extrapolators or return chasers.
“And I think the biggest of all of the strange things about The stock market is this idea that there's excess volatility, that stocks bounce around by much more than fundamentals would seem to dictate.”
“But there are all these other things, too, out there. You know, there's persistent price level momentum in stocks. There's very stochastic volatility, but that it also persists. There's fat tails, there's booms and busts.”
“But we got attracted to trying to put together an explanation that would be comprehensive and touch on all of these.”