There is heterogeneity in individual forecasts of any variable — inflation, corporate earnings, etc. The standard consensus estimate takes a simple average of individual forecasts, implicitly treating each forecast as a common signal plus noise. If some individuals know more than others, then...

Mood-induced optimism, cognitive inaccuracy, and distraction can affect analyst forecasts. This study compares and contrasts these influences. The novelty of our approach is that we first show that these behavioural biases have different implications for analysts' forecast errors conditioned on...

Amendments to NASD Rule 2711 and NYSE Rule 472, enacted in May 2002, mandate that sell-side analysts disclose the distribution of their security recommendations by category of buy, hold, and sell. This regulation enhances the transparency of analysts' information and mitigates the...

A simple market timing algorithm is examined that switches from an exchange traded fund representing U. S. equities to one holding treasury long bonds every month on the last day, the switch being made to whichever ETF has the greatest ratio of current adjusted closing price to adjusted closing...

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...