Forecasting the forecasts of others: Implications for asset pricing

Citations

Cited by:

1. Curatola, Giuliano, 2022. "Price impact, strategic interaction and portfolio choice," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
2. Jiho Park, 2024. "Heterogeneous Beliefs Model of Stock Market Predictability," Papers 2406.08448, arXiv.org.
3. Daniela Vesselinova Balkanska, 2018. "Disposition effect and analyst forecast dispersion," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 837-859, April.
4. Vincent Bogousslavsky, 2016. "Infrequent Rebalancing, Return Autocorrelation, and Seasonality," Journal of Finance, American Finance Association, vol. 71(6), pages 2967-3006, December.
5. Goulding, Christian L. & Harvey, Campbell R. & Mazzoleni, Michele G., 2023. "Momentum turning points," Journal of Financial Economics, Elsevier, vol. 149(3), pages 378-406.
6. Chen, Hong-Yi & Yang, Sharon S., 2020. "Do Investors exaggerate corporate ESG information? Evidence of the ESG momentum effect in the Taiwanese market," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
7. Li, Yan & Liang, Chao & L.D. Huynh, Toan, 2022. "A new momentum measurement in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
8. Heijmans, Roweno J.R.K. & Gerlagh, Reyer, 2019. "Regulating Global Externalities," Other publications TiSEM 9a0a6f7a-f8d0-4495-8aed-4, Tilburg University, School of Economics and Management.
9. Tan, Fei & Walker, Todd B., 2015. "Solving generalized multivariate linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 95-111.
10. Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2013. "What do professional forecasters' stock market expectations tell us about herding, information extraction and beauty contests?," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 109-129.
11. Pujian Yang & Liu Yang, 2025. "Change of the disposition effect and investor sentiment," Journal of Asset Management, Palgrave Macmillan, vol. 26(5), pages 489-505, September.
12. Ayan Bhattacharya, 2022. "Arbitrage from a Bayesian's Perspective," Papers 2211.03244, arXiv.org.
13. Albuquerque, Rui & Miao, Jianjun, 2014. "Advance information and asset prices," Journal of Economic Theory, Elsevier, vol. 149(C), pages 236-275.
    • Rui Albuquerque & Jianjun Miao, "undated". "Advance Information and Asset Prices," Boston University - Department of Economics - Working Papers Series wp2009-017, Boston University - Department of Economics.
    • Jianjun Miao & Rui Albuquerque, 2008. "Advance Information and Asset Prices," 2008 Meeting Papers 44, Society for Economic Dynamics.
    • Albuquerque, Rui & Miao, Jianjun, 2007. "Advance Information and Asset Prices," CEPR Discussion Papers 6588, C.E.P.R. Discussion Papers.
14. Egan, Daniel & Merkle, Christoph & Weber, Martin, 2014. "Second-order beliefs and the individual investor," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 652-666.
15. Andrei, Daniel & Cujean, Julien, 2017. "Information percolation, momentum and reversal," Journal of Financial Economics, Elsevier, vol. 123(3), pages 617-645.
16. Angeletos, G.-M. & Lian, C., 2016. "Incomplete Information in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1065-1240, Elsevier.
17. Heijmans, Roweno J.R.K. & Gerlagh, Reyer, 2019. "Regulating Global Externalities," Discussion Paper 2019-001, Tilburg University, Center for Economic Research.
18. Han, Zhao & Tan, Fei & Wu, Jieran, 2022. "Analytic policy function iteration," Journal of Economic Theory, Elsevier, vol. 200(C).
19. Hong‐Yi Chen & Pin‐Huang Chou & Chia‐Hsun Hsieh, 2018. "Persistency of the momentum effect," European Financial Management, European Financial Management Association, vol. 24(5), pages 856-892, November.
20. Marmora, Paul & Rytchkov, Oleg, 2018. "Learning about noise," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 209-224.
21. George-Marios Angeletos & Chen Lian, 2016. "Incomplete Information in Macroeconomics: Accommodating Frictions in Coordination," NBER Working Papers 22297, National Bureau of Economic Research, Inc.
22. Ripamonti, Alexandre & Silva, Diego & Moreira Neto, Eurico, 2018. "Asset Pricing and Asymmetric Information," MPRA Paper 87403, University Library of Munich, Germany.
23. Rondina, Giacomo & Walker, Todd B., 2021. "Confounding dynamics," Journal of Economic Theory, Elsevier, vol. 196(C).
    • Todd Walker, 2017. "Confounding Dynamics," 2017 Meeting Papers 141, Society for Economic Dynamics.
    • Todd Walker & Giacomo Rondina, 2017. "Confounding Dynamics," 2017 Meeting Papers 525, Society for Economic Dynamics.
24. Jonathan J Adams, 2019. "Macroeconomic Models with Incomplete Information and Endogenous Signals," Working Papers 001004, University of Florida, Department of Economics.
25. Jurado, Kyle, 2023. "Rational inattention in the frequency domain," Journal of Economic Theory, Elsevier, vol. 208(C).
26. Peress, Joel & Schmidt, Daniel, 2021. "Noise traders incarnate: Describing a realistic noise trading process," Journal of Financial Markets, Elsevier, vol. 54(C).
    • Peress, Joël & Schmidt, Daniel, 2017. "Noise Traders Incarnate: Describing a Realistic Noise Trading Process," CEPR Discussion Papers 12434, C.E.P.R. Discussion Papers.
27. Mao, Mike Qinghao & Wei, K.C. John, 2014. "Price and earnings momentum: An explanation using return decomposition," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 332-351.
28. Fang, Hao & Yang, J. Jimmy, 2025. "Foreign institutional investor herding and ESG ratings," Pacific-Basin Finance Journal, Elsevier, vol. 90(C).