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Scale Dependence of Overconfidence in Stock Market Volatility Forecasts
Glaser, Markus
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Langer, Thomas
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Reynders, Jens
;
Weber, Martin
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URL:
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http://ub-madoc.bib.uni-mannheim.de/1803
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URN:
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urn:nbn:de:bsz:180-madoc-18036
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Document Type:
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Working paper
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Year of publication:
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2007
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The title of a journal, publication series:
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None
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Publication language:
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English
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Institution:
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Business School > ABWL u. Finanzwirtschaft, insbes. Bankbetriebslehre (Weber 1993-2017)
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MADOC publication series:
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Lehrstuhl für ABWL, Finanzwirtschaft, insb. Bankbetriebslehre (Weber) > Working Papers
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Subject:
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330 Economics
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Classification:
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JEL:
G1 C9 ,
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Subject headings (SWD):
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Preisänderung , Prognose , Konfidenzintervall , Investor , Selbstvertrauen
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Keywords (English):
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Volatility forecast , confidence interval , individual investor , overconfidence
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Abstract:
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In this study, we analyze whether volatility forecasts (judgmental confidence intervals) are influenced by the specific elicitation mode (i.e. whether forecasters have to state future price levels or directly future returns as upper and lower bounds). We present questionnaire responses of about 250 students from two German universities. Participants were asked to state median forecasts as well as confidence intervals for seven stock market time series. Using a between subject design, one half of the subjects was asked to state future price levels, the other group was directly asked for returns. Consistent with prior research we find that subjects underestimate the volatility of stock returns, indicating overconfidence. As a new insight, we find that the strength of the overconfidence effect in stock market forecasts is highly significantly affected by the fact whether subjects provide price or return forecasts. Volatility estimates are lower (and the overconfidence bias is thus stronger) when subjects are asked for returns compared to price forecasts.
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Additional information:
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Available at SSRN: http://ssrn.com/abstract
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 | Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt. |
 Search Authors in
BASE:
Glaser, Markus
;
Langer, Thomas
;
Reynders, Jens
;
Weber, Martin
Google Scholar:
Glaser, Markus
;
Langer, Thomas
;
Reynders, Jens
;
Weber, Martin
ORCID:
Glaser, Markus ; Langer, Thomas ; Reynders, Jens ; Weber, Martin  ORCID: 0000-0001-5018-3317
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