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Modelling stock price expectations: lessons from microdata

Author

Listed:
  • Alain Abou

    (MDEM - Modélisation de la dynamique économique et monetaire - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Georges Prat

    (MDEM - Modélisation de la dynamique économique et monetaire - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

We use biannual microdata (1952-89) provided by Joseph Livingston's surveys on stock price expectations at the New York Stock Exchange (Standard and Poor's Industrial Index). We show that experts generate their forecasts neither rationally nor according to a naive model, but using a weighted average of the three traditional extrapolative, regressive and adaptive expectation processes.

Suggested Citation

  • Alain Abou & Georges Prat, 2000. "Modelling stock price expectations: lessons from microdata," Post-Print halshs-00173096, HAL.
    • Handle: RePEc:hal:journl:halshs-00173096
    as

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    Citations

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    Cited by:

    1. Prat, Georges & Uctum, Remzi, 2011. "Modelling oil price expectations: Evidence from survey data," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 236-247, June.
    2. Fredj Jawadi & Georges Prat, 2017. "Equity prices and fundamentals: a DDM–APT mixed approach," Review of Quantitative Finance and Accounting, Springer, vol. 49(3), pages 661-695, October.
    3. Alain Abou & Georges Prat, 1986. "Ex-ante risk premia in the US stock market: analysing experts' behaviour at the individual level," Post-Print halshs-00172883, HAL.
    4. Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," EconomiX Working Papers 2019-8, University of Paris Nanterre, EconomiX.
    5. Georges Prat & Remzi Uctum, 2006. "Economically rational expectations theory: evidence from the WTI oil price survey data," Post-Print halshs-00173113, HAL.
    6. Richard H. Cohen & Carl Bonham, 2007. "Specifying the Forecast Generating Process for Exchange Rate Survey Forecasts," Working Papers 200718, University of Hawaii at Manoa, Department of Economics.

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