Heteroeneous forecasters and nonlinear expectation formation in US stock market

Christian Pierdzioch, Stefan Reitz and Jan-Christoph Ruelke

No 29, FinMaP-Working Papers from Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents

Abstract: We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectationformation process in the US stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time as market conditions summarized by stock-market misalignments and recent returns change. We find that survey participants form stabilizing expectations in the long run. Short-run expectations, in contrast, are consistent with weak mean reversion of stock prices.

Keywords: Non-linear expectation formation; Survey data; Stock market; Heterogeneous agents (search for similar items in EconPapers)
JEL-codes: C53 E47 G17 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-fmk and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/107130/1/818318767.pdf (application/pdf)

Related works:
Working Paper: Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market (2014)
Working Paper: Heterogeneous forecasters and nonlinear expectation formation in the US stock market (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:fmpwps:29

Access Statistics for this paper

More papers in FinMaP-Working Papers from Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().