Forecaster overconfidence and market survey performance

Deaves, Richard ; Lei, Jin ; Schröder, Michael

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URL:	https://ub-madoc.bib.uni-mannheim.de/39341
URN:	urn:nbn:de:bsz:180-madoc-393411
Document Type:	Working paper
Year of publication:	2015
The title of a journal, publication series:	ZEW Discussion Papers
Volume:	15-029
Place of publication:	Mannheim
Publication language:	English
Institution:	Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series:	Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject:	330 Economics
Classification:	JEL: G02 , G17,
Keywords (English):	Overconfidence , forecasting performance , stock market
Abstract:	We document using the ZEW panel of German stock market forecasters that weak forecasters tend to be overconfident in the sense that they provide extreme forecasts and their confidence intervals are less likely to contain eventual realizations. Moderate filters based on forecast accuracy over short rolling windows are somewhat successful in improving predictability. While poor performance can be due to various factors, a filter based on a prior tendency to provide extreme forecasts also improves predictability.

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.

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