Financial markets forecasts revisited: Are they rational, stubborn or jumpy?

Ippei Fujiwara; Hibiki Ichiue; Yoshiyuki Nakazono; Yosuke Shigemi

doi:10.1016/j.econlet.2012.12.037

Financial markets forecasts revisited: Are they rational, stubborn or jumpy?

Ippei Fujiwara^*, Hibiki Ichiue, Yoshiyuki Nakazono, Yosuke Shigemi

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

10 Citations (Scopus)

Abstract

This paper evaluates professional forecasters' behavior using a panel data of individual forecasts. We find that (i) professional forecasts are behavioral, and (ii) there exists a stock-bond dissonance: the forecasting behavior seems to be stubborn in the stock market, but jumpy in the bond market. Even in the same country, forecasting behavior is quite different by market.

Original language	English
Pages (from-to)	526-530
Number of pages	5
Journal	Economics Letters
Volume	118
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2012.12.037
Publication status	Published - Mar 2013

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10.1016/j.econlet.2012.12.037

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title = "Financial markets forecasts revisited: Are they rational, stubborn or jumpy?",

abstract = "This paper evaluates professional forecasters' behavior using a panel data of individual forecasts. We find that (i) professional forecasts are behavioral, and (ii) there exists a stock-bond dissonance: the forecasting behavior seems to be stubborn in the stock market, but jumpy in the bond market. Even in the same country, forecasting behavior is quite different by market.",

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AB - This paper evaluates professional forecasters' behavior using a panel data of individual forecasts. We find that (i) professional forecasts are behavioral, and (ii) there exists a stock-bond dissonance: the forecasting behavior seems to be stubborn in the stock market, but jumpy in the bond market. Even in the same country, forecasting behavior is quite different by market.

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KW - Forecast revisions

KW - Over-reaction

KW - Survey forecasts

KW - Under-reaction

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Financial markets forecasts revisited: Are they rational, stubborn or jumpy?

Abstract

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