Predictability in Financial Markets: What Do Survey Expectations Tell Us?

Arbeitspapier

There is widespread evidence of excess return predictability in .nancial markets. In this paper we examine whether this predictability is related to expectational errors. To consider this issue, we use data on survey expectations of market participants in the stock market, the foreign exchange market, and the bond and money markets in various countries. We find that the predictability of expectational errors coincides with the predictability of excess returns: when a variable predicts expectational errors in a given market, it typically predicts the excess return as well. Understanding expectational errors appears crucial for explaining excess return predictability.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 06.04

Classification and Topics

• Classification: Wirtschaft
• Subject: Finanzmarkt ; Kapitaleinkommen ; Prognose ; Erwartungsbildung ; Industrieländer

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bacchetta, Philippe ; Mertens, Elmar ; van Wincoop, Eric
• Event: Veröffentlichung
• (who): Swiss National Bank, Study Center Gerzensee
• (where): Gerzensee
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/128041
• Last update: 10.03.2025, 11:44 AM CET