Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/57753
Authors: 
Theissen, Erik
Year of Publication: 
2005
Series/Report no.: 
CFR Working Paper 05-16
Abstract: 
We analyze data on stock index forecasts made by private investors. The implied returns calculated from these forecasts exhibit negative skewness and excess kurtosis. Past returns have a positive impact on the implied returns, consistent with investors expecting positive momentum. Females are less optimistic than males, but their forecasts have higher standard deviation. Consistent with the weekend effect, implied returns from estimates entered on weekends are significantly lower than those entered on weekdays. Implied returns are not consistently related to the weather conditions on the day the forecast was made.
Subjects: 
Behavioral Finance
Weekend effect
Weather effect
JEL: 
G14
Document Type: 
Working Paper

Files in This Item:
File
Size
297.32 kB





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