This paper proposes a novel approach to determine whether mutual funds time the market. The proposed approach builds on a heterogeneous agent model, where investors switch between cash and stocks depending on a certain switching rule. This represents a more flexible, intuitive, and parsimonious...

We study the effect of economic policy uncertainty (EPU) on sell-side analysts' forecasts, and how it interact with the stock-market response to a firm's earnings news. We find that analysts tend to disagree more when faced with higher levels of EPU, and that their forecasts tend to be less...

We study whether disagreement is a useful proxy for uncertainty in the foreign exchange market using monthly forecasts for the euro, British pound, and Japanese yen against the U.S. dollar over the 2001 - 2017 period. We obtain measures of uncertainty and find that disagreement is not robustly...