A fundamental question that might be often discussed is: Where does the excess return of financial forecasting come from?

The most acknowledged answer lays on the negation of the efficient market hypothesis (EMH) in a real world case. The idea is that if all the participants in a market are “informationally efficient”, all deals would be conducted at a fair value. The excess return should come from the passionate or noise traders, which further offends the hypothesis of rational man. To reconcile this problem, behavioral economics has come up with theories that are compatible with the interactive nature of the market and participants, such as the adaptive market hypothesis (AMH). Then excess return can be ascribed to information asymmetry.