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

Fujiwara, Ippei; Ichiue, Hibiki; Nakazono, Yoshiyuki; Shigemi, Yosuke

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

Date

2013

Authors

Fujiwara, Ippei

Ichiue, Hibiki

Nakazono, Yoshiyuki

Shigemi, Yosuke

Publisher

Elsevier

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.