Konferenzbeitrag
Nonlinear Expectation Formation in the U.S. Stock Market
This research applies data from the Livingston survey to study the time variation in the sentiment of U.S. stock-market forecasters. A Panel Smooth Transition Regression (STR) model is estimated to identify the importance of market conditions summarized by stock-market misalignments and recent returns for the formation of regressive and extrapolative expectations. We find that survey participants expect little mean reversion in times of large misalignments reflecting the observed substantial and persistent swings in stock prices. Recent returns are negatively extrapolated depending on the sign and the size of the return revealing a contrarian behavior of forecasters in the presence of market exuberance.
- Sprache
-
Englisch
- Erschienen in
-
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2015: Ökonomische Entwicklung - Theorie und Politik - Session: Empirical Finance ; No. E19-V1
- Klassifikation
-
Wirtschaft
Statistical Simulation Methods: General
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
International Financial Markets
- Ereignis
-
Geistige Schöpfung
- (wer)
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Reitz, Stefan
Pierdzioch, Christian
Rülke, Jan-Christoph
- Ereignis
-
Veröffentlichung
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
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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
- Konferenzbeitrag
Beteiligte
- Reitz, Stefan
- Pierdzioch, Christian
- Rülke, Jan-Christoph
Entstanden
- 2015
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