منابع مشابه
The Informational Content of Ex Ante Forecasts
Ahrrwx-The informational content of ditlercnt forecasts can be compared by regressing the actual change in a variable to be forecasted on forecasts of the change. We we the procedure in Fair and Shikr (1987) to examine the informational content of three sets of ex ante forecasts: the American Statist&i Association and National Bureau of Economic Research Survey (ASP.). Data Resources Incorporat...
متن کاملThe Information Content of Analyst Forecasts— An Econometric Analysis of Informational Leadership
We measure the information content of monthly analyst consensus forecasts for one-year-forward earnings per share (EPS) based on two well-established price discovery measures drawn from the area of market micro-structure research. Employing a 36-year sample of large American companies listed in the S&P 100 Index, we compute (i) Hasbrouck’s information shares and (ii) Gonzalo and Granger’s commo...
متن کاملEvaluating the Information Content and Money Making Ability of Forecasts from Exchange Rate Equations
This paper evaluates the type of exchange rate equations that are part of the multicountry economtric model in Fair (1994). Two equations are analyzed— one estimated for the dollar/yen rate and one for the dollar/mark rate. The forecasts from the equations dominate forecasts from the random walk model, from a fairly general version of the monetary model, and from the use of the forward rate. Th...
متن کاملTo Combine Forecasts or to Combine Information?
When the objective is to forecast a variable of interest but with many explanatory variables available, one could possibly improve the forecast by carefully integrating them. There are generally two directions one could proceed: combination of forecasts (CF) or combination of information (CI). CF combines forecasts generated from simple models each incorporating a part of the whole information ...
متن کاملConsensus forecasts and ine¢ cient information aggregation
Consensus forecasts are ine¢ cient, because the weight placed on aggregate new private information relative to the prior reects the optimal choices of the underlying individual forecasters whose private signals are noisier individually than in aggregate and as a result the consensus forecast over-weights the prior (Lim, Kim and Shaw, 2001). This paper assesses the empirical relevance of this...
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ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2019
ISSN: 0277-6693,1099-131X
DOI: 10.1002/for.2581