Forecasting Skills in Experimental Markets: Illusion or Reality?

Brice Corgnet, Cary Deck (), Mark DeSantis () and David Porter
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Mark DeSantis: Argyros School of Business and Economics and the Economic Science Institute, Chapman University, Orange, California 92618

Management Science, 2022, vol. 68, issue 7, 5216-5232

Abstract: There is an ongoing debate regarding the degree to which a forecaster’s ability to draw correct inferences from market signals is real or illusory. This paper attempts to shed light on the debate by examining how personal characteristics do or do not affect forecaster success. Specifically, we investigate the role of fluid intelligence, manipulativeness, and theory of mind on forecast accuracy in experimental asset markets. We find that intelligence improves forecaster performance when market mispricing is low, manipulativeness improves forecaster performance when mispricing is high, and the degree to which theory of mind skills matter depends on both the level of mispricing and how information is displayed. All three of these results are consistent with hypotheses derived from the previous literature. Additionally, we observe that male forecasters outperform female forecasters after controlling for intelligence, manipulativeness, and theory of mind skills as well as risk aversion. Interestingly, we do not find any evidence that forecaster performance improves with experience across markets or within markets.

Keywords: forecasting; experimental asset markets; theory of mind; manipulativeness; cognitive skills (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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http://dx.doi.org/10.1287/mnsc.2021.4160 (application/pdf)

Related works:
Working Paper: Forecasting Skills in Experimental Market: Illusion or Reality? (2022)
Working Paper: Forecasting Skills in Experimental Markets: Illusion or Reality? (2020)
Working Paper: Forecasting Skills in Experimental Markets: Illusion or Reality? (2020)
Working Paper: Forecasting Skills in Experimental Markets: Illusion or Reality? (2020)
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