Search Results - subject:"forecast efﬁciency"

Yang, Xiaolou - In: Journal of Risk and Financial Management 13 (2020) 7, pp. 1-13

The purpose of this paper is to assess the impact of ambiguity on financial analyst forecast incentives and the associated abnormal stock returns. I present a model incorporating ambiguity aversion into a two-period Lucas tree model. The resulting model confirms the role of ambiguity in the...

Persistent link: https://www.econbiz.de/10012611369

German trade forecasts since 1970 : an evaluation using the panel dimension

Behrens, Christoph - 2020

I evaluate German export growth and import growth forecasts published by eight professional forecasters for the years 1971 to 2019. The focus of the evaluation is on the weak and strong efficiency as well as the unbiasedness of the forecasts. To this end, I use a novel panel-data set and...

Persistent link: https://www.econbiz.de/10012304607

Testing investment forecast efficiency with textual data

Foltas, Alexander - 2020

I use textual data to model German professional macroeconomic forecasters' information sets and use machine-learning techniques to analyze the efficiency of forecasts. To this end, I extract information from forecast reports using a combination of topic models and word embeddings. I then use...

Persistent link: https://www.econbiz.de/10012264861

On the efficiency of German growth forecasts : an empirical analysis using quantile random forests

Foltas, Alexander; Pierdzioch, Christian - 2020

We use quantile random forests (QRF) to study the efficiency of the growth forecasts published by three leading German economic research institutes for the sample period from 1970 to 2017. To this end, we use a large array of predictors, including topics extracted by means of...

Persistent link: https://www.econbiz.de/10012285443

Raiders of the lost high-frequency forecasts : new data and evidence on the efficiency of the Fed's forecasting

Chang, Andrew C.; Levinson, Trace J. - 2020

Persistent link: https://www.econbiz.de/10012389802

The Nordhaus test with many zeros

Lahiri, Kajal; Zhao, Yongchen - 2020

We reformulate the Nordhaus test as a friction model where the large number of zero revisions are treated as censored, i.e., unknown values inside a small region of "imperceptibility." Using Blue Chip individual forecasts of U.S. real GDP growth, inflation, and unemployment over 1985-2020, we...

Persistent link: https://www.econbiz.de/10012226771

Information frictions and stock returns

Yang, Xiaolou - In: Journal of risk and financial management : JRFM 13 (2020) 7/140, pp. 1-13

Persistent link: https://www.econbiz.de/10012309266

Business-cycle reports and the efficiency of macroeconomic forecasts for Germany

Foltas, Alexander; Pierdzioch, Christian - 2020

We study the efficiency of growth and inflation forecasts published by three leading German economic research institutes during a period of time ranging from 1970 to 2017. To this end, we examine whether the information used by the research institutes when they formed their forecasts helps to...

Persistent link: https://www.econbiz.de/10012293435

How forecast accuracy depends on conditioning assumptions

Engelke, Carola; Heinisch, Katja; Schult, Christoph - 2019

This paper examines the extent to which errors in economic forecasts are driven by initial assumptions that prove to be incorrect ex post. Therefore, we construct a new data set comprising an unbalanced panel of annual forecasts from different institutions forecasting German GDP and the...

Persistent link: https://www.econbiz.de/10012052036

Evaluating the Joint Efficiency of German Trade Forecasts. A nonparametric multivariate approach

Behrens, Christoph - 2019

forecast errors is significantly smaller than under the null hypothesis of forecast efficiency. I find evidence for joint … forecast inefficiency for two forecasters, however, for one forecaster I cannot reject joint forecast efficiency. For the other … forecasters, joint forecast efficiency depends on the examined forecast horizon. I find evidence that real macroeconomic variables …

Persistent link: https://www.econbiz.de/10012263136