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Forecaster overconfidence and market survey performance

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  • Deaves, Richard
  • Lei, Jin
  • Schroeder, Michael

Abstract

We document using the ZEW panel of German stock market forecasters that weak forecasters tend to be overconfident in the sense that they provide extreme forecasts and their confidence intervals are less likely to contain eventual realizations. Moderate filters based on forecast accuracy over short rolling windows are somewhat successful in improving predictability. While poor performance can be due to various factors, a filter based on a prior tendency to provide extreme forecasts also improves predictability.

Suggested Citation

  • Deaves, Richard & Lei, Jin & Schroeder, Michael, 2015. "Forecaster overconfidence and market survey performance," FinMaP-Working Papers 40, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  • Handle: RePEc:zbw:fmpwps:40
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Overconfidence; Forecasting Performance; Stock Market;

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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