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An analysis of private investors’ stock market return forecasts

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Author Info
Erik Theissen

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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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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.

Volume (Year): 17 (2007)
Issue (Month): 1 (January)
Pages: 35-43
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Handle: RePEc:taf:apfiec:v:17:y:2007:i:1:p:35-43

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  1. Lovell, Michael C, 1986. "Tests of the Rational Expectations Hypothesis," American Economic Review, American Economic Association, vol. 76(1), pages 110-24, March. [Downloadable!] (restricted)
  2. Huberman, Gur, 2001. "Familiarity Breeds Investment," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 14(3), pages 659-80.
  3. Franses, Philip Hans & Paap, Richard, 2000. "Modelling Day-of-the-Week Seasonality in the S&P 500 Index," Applied Financial Economics, Taylor and Francis Journals, vol. 10(5), pages 483-88, October. [Downloadable!] (restricted)
  4. William N. Goetzmann & Ning Zhu, 2003. "Rain or Shine: Where is the Weather Effect?," NBER Working Papers 9465, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  5. Kliger, Doron & Levy, Ori, 2003. "Mood-induced variation in risk preferences," Journal of Economic Behavior & Organization, Elsevier, vol. 52(4), pages 573-584, December. [Downloadable!] (restricted)
  6. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January. [Downloadable!] (restricted)
  7. Hirshleifer, David, 2001. "Investor Psychology and Asset Pricing," MPRA Paper 5300, University Library of Munich, Germany. [Downloadable!]
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  8. Kaushik Bhattacharya & Nityananda Sarkar & Debabrata Mukhopadhyay, 2003. "Stability of the day of the week effect in return and in volatility at the Indian capital market: a GARCH approach with proper mean specification," Applied Financial Economics, Taylor and Francis Journals, vol. 13(8), pages 553-563, January. [Downloadable!] (restricted)
  9. David Hirshleifer & TYLER G. SHUMWAY, 2004. "Good Day Sunshine: Stock Returns and the Weather," Finance 0412004, EconWPA. [Downloadable!]
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