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Does past volatility affect investors' price forecasts and confidence judgements?

Listed author(s):
  • Du, Ning
  • Budescu, David V.
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    File URL: http://www.sciencedirect.com/science/article/pii/S0169-2070(07)00042-8
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    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 23 (2007)
    Issue (Month): 3 ()
    Pages: 497-511

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    Handle: RePEc:eee:intfor:v:23:y:2007:i:3:p:497-511
    Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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    1. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
    2. Klayman, Joshua & Soll, Jack B. & Gonzalez-Vallejo, Claudia & Barlas, Sema, 1999. "Overconfidence: It Depends on How, What, and Whom You Ask, , , , , , , , ," Organizational Behavior and Human Decision Processes, Elsevier, vol. 79(3), pages 216-247, September.
    3. Önkal, Dilek & Bolger, Fergus, 2004. "Provider-user differences in perceived usefulness of forecasting formats," Omega, Elsevier, vol. 32(1), pages 31-39, February.
    4. Ganzach, Yoav, 2000. "Judging Risk and Return of Financial Assets," Organizational Behavior and Human Decision Processes, Elsevier, vol. 83(2), pages 353-370, November.
    5. Onkal, Dilek & Muradoglu, Gulnur, 1994. "Evaluating probabilistic forecasts of stock prices in a developing stock market," European Journal of Operational Research, Elsevier, vol. 74(2), pages 350-358, April.
    6. Lawrence, Michael & Makridakis, Spyros, 1989. "Factors affecting judgmental forecasts and confidence intervals," Organizational Behavior and Human Decision Processes, Elsevier, vol. 43(2), pages 172-187, April.
    7. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006. "The Cross-Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, 02.
    8. O'Connor, Marcus & Lawrence, Michael, 1992. "Time series characteristics and the widths of judgemental confidence intervals," International Journal of Forecasting, Elsevier, vol. 7(4), pages 413-420, March.
    9. O'Connor, Marcus & Remus, William & Griggs, Ken, 1993. "Judgemental forecasting in times of change," International Journal of Forecasting, Elsevier, vol. 9(2), pages 163-172, August.
    10. Lawrence, Michael & Goodwin, Paul & O'Connor, Marcus & Onkal, Dilek, 2006. "Judgmental forecasting: A review of progress over the last 25 years," International Journal of Forecasting, Elsevier, vol. 22(3), pages 493-518.
    11. O'Connor, Marcus & Remus, William & Griggs, Kenneth, 2001. "The asymmetry of judgemental confidence intervals in time series forecasting," International Journal of Forecasting, Elsevier, vol. 17(4), pages 623-633.
    12. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    13. Harvey, Nigel, 1995. "Why Are Judgments Less Consistent in Less Predictable Task Situations?," Organizational Behavior and Human Decision Processes, Elsevier, vol. 63(3), pages 247-263, September.
    14. Onkal, Dilek & Muradoglu, Gulnur, 1996. "Effects of task format on probabilistic forecasting of stock prices," International Journal of Forecasting, Elsevier, vol. 12(1), pages 9-24, March.
    15. Sniezek, Janet A., 1986. "The role of variable labels in cue probability learning tasks," Organizational Behavior and Human Decision Processes, Elsevier, vol. 38(2), pages 141-161, October.
    16. Lawrence, Michael J. & Edmundson, Robert H. & O'Connor, Marcus J., 1985. "An examination of the accuracy of judgmental extrapolation of time series," International Journal of Forecasting, Elsevier, vol. 1(1), pages 25-35.
    17. Lawrence, Michael & O'Connor, Marcus, 1993. "Scale, Variability, and the Calibration of Judgmental Prediction Intervals," Organizational Behavior and Human Decision Processes, Elsevier, vol. 56(3), pages 441-458, December.
    18. Amit Goyal & Pedro Santa-Clara, 2003. "Idiosyncratic Risk Matters!," Journal of Finance, American Finance Association, vol. 58(3), pages 975-1008, 06.
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