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Predicting Stock Price Movements: Regressions versus Economists

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Author Info
Paul Söderlind ()

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Abstract

The out-of-sample forecasting performance of traditional stock return models (dividend yield, t-bill rate, etc.) is compared with the forecasting performance of the Livingston survey. The results suggest that the survey forecasts are much like a "too large" forecasting model: poor performance and too sensitive to irrelevant information.

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File URL: http://www.vwa.unisg.ch/RePEc/usg/dp2007/DP-23-So.pdf
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Publisher Info
Paper provided by Department of Economics, University of St. Gallen in its series University of St. Gallen Department of Economics working paper series 2007 with number 2007-23.

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Length: 14 pages
Date of creation: Jun 2007
Date of revision:
Handle: RePEc:usg:dp2007:2007-23

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Related research
Keywords: Livingston survey; out-of-sample forecasts;

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Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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References listed on IDEAS
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.:
  1. Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Dokko, Yoon & Edelstein, Robert H, 1989. "How Well Do Economists Forecast Stock Market Prices? A Study of the Livingston Surveys," American Economic Review, American Economic Association, vol. 79(4), pages 865-71, September. [Downloadable!] (restricted)
  3. John Y. Campbell & Samuel B. Thompson, 2005. "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?," Harvard Institute of Economic Research Working Papers 2084, Harvard - Institute of Economic Research. [Downloadable!]
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  4. De Bondt, Werner F M & Thaler, Richard H, 1990. "Do Security Analysts Overreact?," American Economic Review, American Economic Association, vol. 80(2), pages 52-57, May. [Downloadable!] (restricted)
  5. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July. [Downloadable!] (restricted)
  6. Pearce, Douglas K, 1984. "An Empirical Analysis of Expected Stock Price Movements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 16(3), pages 317-27, August. [Downloadable!] (restricted)
  7. Dean Croushore, 1997. "The Livingston Survey: still useful after all these years," Business Review, Federal Reserve Bank of Philadelphia, issue Mar, pages 15-27. [Downloadable!]
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