Financial Markets Forecasts Revisited: Are they Rational, Herding or Bold?
Hibiki Ichiue (),
Yoshiyuki Nakazono and
Yosuke Shigemi ()
No 12-E-06, IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan
We test whether professional forecasters forecast rationally or behaviorally using a unique database, QSS Database, which is the monthly panel of forecasts on Japanese stock prices and bond yields. The estimation results show that (i) professional forecasts are behavioral, namely, significantly influenced by past forecasts, (ii) there exists a stock-bond dissonance: while forecasting behavior in the stock market seems to be herding, that in the bond market seems to be bold in the sense that their current forecasts tend to be negatively related to past forecasts, and (iii) the dissonance is due, at least partially, to the individual forecasters f behavior that is influenced by their own past forecasts rather than others f. Even in the same country, forecasting behavior is quite different by market.
Keywords: Anchoring; Bold; Herding; Survey Forecasts (search for similar items in EconPapers)
JEL-codes: D03 G17 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (9) Track citations by RSS feed
Downloads: (external link)
Working Paper: Financial markets forecasts revisited: are they rational, herding or bold? (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ime:imedps:12-e-06
Access Statistics for this paper
More papers in IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan Contact information at EDIRC.
Bibliographic data for series maintained by Kinken ().