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An analysis of private investors' stock market return forecasts

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  • Erik Theissen

Abstract

The study analyses data on stock index forecasts made by private investors. The implied returns calculated from these forecasts exhibit negative skewness and excess kurtosis. Past returns have a positive impact on the implied returns, consistent with investors expecting positive momentum. Females are less optimistic than males, but their forecasts have higher standard deviation. Consistent with the weekend effect, implied returns from estimates entered on weekends are significantly lower than those entered on weekdays. Implied returns are not consistently related to the weather conditions on the day the forecast was made.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600606172
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 17 (2007)
Issue (Month): 1 ()
Pages: 35-43

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Handle: RePEc:taf:apfiec:v:17:y:2007:i:1:p:35-43

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Cited by:
  1. Denis Boudreaux & Spuma Rao & Phillip Fuller, 2010. "An investigation of the weekend effect during different market orientations," Journal of Economics and Finance, Springer, vol. 34(3), pages 257-268, July.
  2. Jacobsen, Ben & Marquering, Wessel, 2008. "Is it the weather?," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 526-540, April.

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