Preprint
Forecaster Overconfidence and Market Survey Performance
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 …
Authors
Deaves R; Lei J; Schröder M
Publication date
January 1, 2015
DOI
10.2139/ssrn.2608087
Preprint server
SSRN Electronic Journal