Arbeitspapier
An analysis of private investors' stock market return forecasts
We analyze data on stock index forecasts made by private investors. The implied returns calculated from these forecasts exhibit negative skewness and excess kurtosis. Past returns have a positive impact on the implied returns, consistent with investors expecting positive momentum. Females are less optimistic than males, but their forecasts have higher standard deviation. Consistent with the weekend effect, implied returns from estimates entered on weekends are significantly lower than those entered on weekdays. Implied returns are not consistently related to the weather conditions on the day the forecast was made.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFR Working Paper ; No. 05-16
- Klassifikation
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
Behavioral Finance
Weekend effect
Weather effect
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Theissen, Erik
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Centre for Financial Research (CFR)
- (wo)
-
Cologne
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Theissen, Erik
- University of Cologne, Centre for Financial Research (CFR)
Entstanden
- 2005
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