Modelling stock price expectations: lessons from microdata

Alain Abou and Georges Prat
Additional contact information
Alain Abou: MDEM - Modélisation de la dynamique économique et monetaire - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: We use biannual microdata (1952-89) provided by Joseph Livingston's surveys on stock price expectations at the New York Stock Exchange (Standard and Poor's Industrial Index). We show that experts generate their forecasts neither rationally nor according to a naive model, but using a weighted average of the three traditional extrapolative, regressive and adaptive expectation processes.

Keywords: stock price; expectation formation; heterogeneity of expectations (search for similar items in EconPapers)
Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Published in F.Gardes and G.Prat. Price expectations in goods and financial markets: new developments in theory and empirical research, Edward Elgar, pp.271-93, 2000

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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:hal:journl:halshs-00173096

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().