Forecaster overconfidence and market survey performance

Richard Deaves, Jin Lei and Michael Schroeder

No 40, FinMaP-Working Papers from Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents

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
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https://www.econstor.eu/bitstream/10419/110624/1/826902707.pdf (application/pdf)

Related works:
Journal Article: Forecaster Overconfidence and Market Survey Performance (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:fmpwps:40

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