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Generalised Rational Bias in Financial Forecasts

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  • George Christodoulakis

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    File URL: http://hdl.handle.net/10.1007/s10436-006-0043-1
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    Bibliographic Info

    Article provided by Springer in its journal Annals of Finance.

    Volume (Year): 2 (2006)
    Issue (Month): 4 (October)
    Pages: 397-405

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    Handle: RePEc:kap:annfin:v:2:y:2006:i:4:p:397-405

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    Web page: http://www.springerlink.com/link.asp?id=112370

    Related research

    Keywords: Asymmetric preferences; Distribution of forecasters; LinEx; Non-normality; Optimal forecasts; Skewed normal; G1; C5;

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    References

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    1. Peter F. Christoffersen & Francis X. Diebold, 1997. "Optimal prediction under asymmetric loss," Working Papers 97-11, Federal Reserve Bank of Philadelphia.
    2. David Laster & Paul Bennett & In Sun Geoum, 1999. "Rational Bias In Macroeconomic Forecasts," The Quarterly Journal of Economics, MIT Press, vol. 114(1), pages 293-318, February.
    3. Christodoulakis, George A., 2005. "Financial forecasts in the presence of asymmetric loss aversion, skewness and excess kurtosis," Finance Research Letters, Elsevier, vol. 2(4), pages 227-233, December.
    4. Mark A. Clatworthy & David A. Peel & Peter F. Pope, 2012. "Are Analysts' Loss Functions Asymmetric?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(8), pages 736-756, December.
    5. DOLADO, J.J. & MARIA-DOLORES, R. & RUGE-MURCIA, Francisco J., 2003. "Nonlinear Monetary Policy Rules: Some New Evidence for the U.S," Cahiers de recherche 18-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    6. repec:lan:wpaper:1207 is not listed on IDEAS
    7. RUGE-MURCIA, Francisco J., 2001. "The Inflation Bias When the Central Bank Targets, the Natural Rate of Unemployment," Cahiers de recherche 2001-22, Universite de Montreal, Departement de sciences economiques.
    8. Dolado, Juan J. & Maria-Dolores, Ramon & Naveira, Manuel, 2005. "Are monetary-policy reaction functions asymmetric?: The role of nonlinearity in the Phillips curve," European Economic Review, Elsevier, vol. 49(2), pages 485-503, February.
    9. A. Robert Nobay & David A. Peel, 2003. "Optimal Discretionary Monetary Policy in a Model of Asymmetric Central Bank Preferences," Economic Journal, Royal Economic Society, vol. 113(489), pages 657-665, 07.
    10. Gu, Zhaoyang & Wu, Joanna Shuang, 2003. "Earnings skewness and analyst forecast bias," Journal of Accounting and Economics, Elsevier, vol. 35(1), pages 5-29, April.
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    Cited by:
    1. George Christodoulakis, 2012. "Conditions for rational investment short-termism," Annals of Finance, Springer, vol. 8(1), pages 15-29, February.
    2. George Christodoulakis & David Peel, 2009. "The Central Bank Inflation Bias in the Presence of Asymmetric Preferences and Non-Normal Shocks," Economics Bulletin, AccessEcon, vol. 29(3), pages 1608-1620.

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