Forecaster Overconfidence and Market Survey Performance

ZEW Discussion Paper No. 15-029 // 2015
ZEW Discussion Paper No. 15-029 // 2015

Forecaster Overconfidence and Market Survey Performance

We document using the ZEW panel of German stock market forecasters that weak forecasters tend to be overconfident in the sense that they provide extreme forecasts and their confidence intervals are less likely to contain eventual realizations. Moderate filters based on forecast accuracy over short rolling windows are somewhat successful in improving predictability. While poor performance can be due to various factors, a filter based on a prior tendency to provide extreme forecasts also improves predictability.

Deaves, Richard, Jin Lei and Michael Schröder (2015), Forecaster Overconfidence and Market Survey Performance, ZEW Discussion Paper No. 15-029, Mannheim.

Authors Richard Deaves // Jin Lei // Michael Schröder