Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

I consider a consumption based asset pricing model where the consumer does not know if shocks to dividends are stationary (temporary) or non-stationary (permanent). The agent uses a Bayesian learning algorithm with a bias towards recent observations to assign probability to each process. While...

You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...

I use controlled experiments to investigate the joint effects of forecast precision and forecast uncertainty on investor judgments. I find that forecast precision moderates the effects of forecast uncertainty on investors’ forecast reliability judgments such that the effects of forecast...

This study investigates holidays’ effect in analyst recommendations in the MENA countries stock markets between 2004 and 2015. The findings show that on Pre-Holidays, analysts tend to issue pessimistic recommendations, and issue optimistic recommendations on Post- Holidays. Prior literature on...

Confident investors trade more than less confident investors, but why? Prior research tests the ultimate relation between investor confidence and trading, but does not empirically examine the underlying mechanism that explains why confidence leads to trading. We complement the literature by...

Before shares of a company are sold to the general public on a security exchange for the first time, regulatory publication requirements force U.S. firms to file an initial public offering prospectus. While accounting information in IPO filings are closely studied by investors and analysts,...

Does buying a stock bias one’s expectations about its future value? We find experimental evidence that it does. First, in a laboratory experiment, we elicit peoples’ price predictions for simulated stocks and compare them to the Bayesian benchmark. Then, in a second experiment, we elicit...