Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/110624 
Year of Publication: 
2015
Series/Report no.: 
FinMaP-Working Paper No. 40
Publisher: 
Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance, Kiel
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.
Subjects: 
Overconfidence
Forecasting Performance
Stock Market
JEL: 
G02
G17
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.