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On the Internal Consistency of Stock Market Forecasts

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  • Christian Pierdzioch
  • Jan-Christoph Rülke

Abstract

Using the Livingston survey data, we test internal consistency restrictions on short-term, medium-term, and long-term stock market forecasts of the S&P 500®. We find that neither short-term forecasts are consistent with medium-term forecasts nor that medium-term forecasts are consistent with long-term forecasts. Using a forecast formation process featuring a distributed lag structure, however, we find some weak evidence of internal inconsistency of medium-term forecasts with long-term forecasts.

Suggested Citation

  • Christian Pierdzioch & Jan-Christoph Rülke, 2014. "On the Internal Consistency of Stock Market Forecasts," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 15(4), pages 351-359, October.
    • Handle: RePEc:taf:hbhfxx:v:15:y:2014:i:4:p:351-359
    DOI: 10.1080/15427560.2014.968720
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    Cited by:

    1. Silvija Vlah Jerić & Mihovil Anđelinović, 2019. "Evaluating Croatian stock index forecasts," Empirical Economics, Springer, vol. 56(4), pages 1325-1339, April.
    2. Jin-Kyu Jung & Michael Frenkel & Jan-Christoph Rülke, 2019. "On the consistency of central banks´ interest rate forecasts," Economics Bulletin, AccessEcon, vol. 39(1), pages 701-716.

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