Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/110624
Authors: 
Deaves, Richard
Lei, Jin
Schroeder, Michael
Year of Publication: 
2015
Series/Report no.: 
FinMaP-Working Paper 40
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
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