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Predictable economic surprises: strategic forecasts and their impact across asset classes

Félix, Luiz; Kräussl, Roman; Stork, Philip - 2020

Professional forecasters of economic data are remunerated based on accuracy and positive publicity generated for their firms. This remuneration structure incentivizes them to stick to the consensus but also to make bold forecasts when they perceive to have private information. We find that bold...

Persistent link: https://www.econbiz.de/10012520341

Strategic bias and popularity effect in the prediction of economic surprises

Felix, Luiz F. F.; Kräussl, Roman; Stork, Philip - 2021

Professional forecasters of economic data are remunerated based on accuracy and positive publicity generated for their firms. This remuneration structure incentivizes them to stick to the median forecast but also to make bold forecasts when they perceive to have superior private information. We...

Persistent link: https://www.econbiz.de/10012520358

Predictability and the cross-section of expected returns : a challenge for asset pricing models

Schlag, Christian; Semenischev, Michael; Thimme, Julian - 2020 - This version: August 28, 2020

Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test for the ability of such a model to explain the cross-section of expected...

Persistent link: https://www.econbiz.de/10012271368

The network of firms implied by the news

Schwenkler, Gustavo; Zheng, Hannan - 2020

We show that the news is a rich source of data on distressed firm links that drive firm- level and aggregate risks. The news tends to report about links in which a less popular firm is distressed and may contaminate a more popular firm. This constitutes a contagion channel that yields...

Persistent link: https://www.econbiz.de/10012162712

Predictable biases in macroeconomic forecasts and their impact across asset classes

Félix, Luiz; Kräussl, Roman; Stork, Philip - 2018

This paper investigates how biases in macroeconomic forecasts are associated with economic surprises and market responses across asset classes around US data announcements. We find that the skewness of the distribution of economic forecasts is a strong predictor of economic surprises, suggesting...

Persistent link: https://www.econbiz.de/10011901258

Stocks for the long run? Evidence from emerging markets

Spierdijk, Laura; Umar, Zaghum - In: Journal of International Money and Finance 47 (2014) C, pp. 217-238

We estimate the myopic (single-period) and intertemporal hedging (long-run) demand for stocks in 20 growth-leading emerging market economies during the 1999–2012 period. We consider two types of investors: a domestic investor who invests in emerging-market assets only (with returns in local...

Persistent link: https://www.econbiz.de/10010906603

Does the Expectation Hypothesis Hold at the Shortest End of the Term Structure?

Uesugi, Iichiro; Yamashiro, Guy M. - In: Hitotsubashi Journal of Economics 50 (2009) 1, pp. 71-85

This paper examines the predictability smile at the shortest end of the term structure. The existence of a … predictability smile has been well documented: spreads between long rates and short rates are able to forecast subsequent movements … existing literature as a projection of the predictability smile to the shorter maturities is not a guarantee that the …

Persistent link: https://www.econbiz.de/10009209550

Using sentiment to predict GDP growth and stock returns

Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008

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...

Persistent link: https://www.econbiz.de/10009647230

Using sentiment surveys to predict GDP growth and stock returns

Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008

Persistent link: https://www.econbiz.de/10009647399

Stock Market Predictability: Global Evidence and an Explanation

Park, Cheolbeom; Shin, Dong-hun - Institute of Economic Research, Korea University - 2014

between dividend growth predictability and disparity, but a significantly negative one between stock return predictability and …

Persistent link: https://www.econbiz.de/10010786584