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

Détails

ID Serval
serval:BIB_88AD2DEBE410
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Predictability in Financial Markets: What Do Survey Expectations Tell Us?
Périodique
Journal of International Money and Finance
Auteur(s)
Bacchetta P., Mertens E., van Wincoop E.
ISSN
0261-5606
Statut éditorial
Publié
Date de publication
04/2009
Peer-reviewed
Oui
Volume
28
Numéro
3
Pages
406-426
Langue
anglais
Notes
Includes Empirical Appendix
Résumé
There is widespread evidence of excess return predictability in financial markets. For the foreign exchange market a number of studies have documented that the predictability of excess returns is closely related to the predictability of expectational errors of excess returns. In this paper we investigate the link between the predictability of excess returns and expectational errors in a much broader set of financial markets, using data on survey expectations of market participants in the stock market, the foreign exchange market, the bond market and money markets in various countries. The results are striking. First, in markets where there is significant excess return predictability, expectational errors of excess returns are predictable as well, with the same sign and often even with similar magnitude. This is the case for foreign exchange, stock and bond markets. Second, in the only market where excess returns are generally not predictable, the money market, expectational errors are not predictable either. These findings suggest that an explanation for the predictability of excess returns must be closely linked to an explanation for the predictability of expectational errors.
Mots-clé
Excess returns, Expectations, Predictability
Web of science
Création de la notice
15/05/2008 10:47
Dernière modification de la notice
20/08/2019 15:47
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