Forecaster overconfidence and market survey performance

Richard Deaves, Jin Lei and Michael Schröder

No 218, Frankfurt School - Working Paper Series from Frankfurt School of Finance and Management

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.

Keywords: Overconfidence; Forecasting Performance; Stock Market (search for similar items in EconPapers)
JEL-codes: G02 G17 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-cbe and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/110313/1/825733596.pdf (application/pdf)

Related works:
Journal Article: Forecaster Overconfidence and Market Survey Performance (2019)
Working Paper: Forecaster overconfidence and market survey performance (2015)
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:fsfmwp:218

Access Statistics for this paper

More papers in Frankfurt School - Working Paper Series from Frankfurt School of Finance and Management Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().