Predicting assets’ future returns has long been the ultimate goal
of many investors. The efficient market hypothesis developed by
Fama (1970) is the most common way of approaching this issue.
According to Fama’s classification, the market is said to be weakly
efficient if prices follow a random walk. Based on this formulation,
the efficient market hypothesis has been tested on a variety
of markets and for many assets, even alternative ones (David et al.,
2013). Regarding gold, the early literature was characterized by
contradictory results