Financial Markets Forecasts Revisited: Are they Rational, Herding or Bold?
AbstractWe test whether professional forecasters forecast rationally or behaviorally using a unique database, QSS Database, which is the monthly panel of forecasts on Japanese stock prices and bond yields. The estimation results show that (i) professional forecasts are behavioral, namely, significantly influenced by past forecasts, (ii) there exists a stock-bond dissonance: while forecasting behavior in the stock market seems to be herding, that in the bond market seems to be bold in the sense that their current forecasts tend to be negatively related to past forecasts, and (iii) the dissonance is due, at least partially, to the individual forecastersf behavior that is influenced by their own past forecasts rather than othersf. Even in the same country, forecasting behavior is quite different by market.
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Bibliographic InfoPaper provided by Institute for Monetary and Economic Studies, Bank of Japan in its series IMES Discussion Paper Series with number 12-E-06.
Date of creation: May 2012
Date of revision:
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Anchoring; Bold; Herding; Survey Forecasts;
Other versions of this item:
- Ippei Fujiwara & Hibiki Ichiue & Yoshiyuki Nakazono & Yosuke Shigemi, 2012. "Financial markets forecasts revisited: are they rational, herding or bold?," Globalization and Monetary Policy Institute Working Paper 106, Federal Reserve Bank of Dallas.
- D03 - Microeconomics - - General - - - Behavioral Economics; Underlying Principles
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-29 (All new papers)
- NEP-FMK-2012-05-29 (Financial Markets)
- NEP-FOR-2012-05-29 (Forecasting)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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