The Persistence of Miscalibration

47 Pages Posted: 28 Jul 2020 Last revised: 23 Apr 2024

See all articles by Michael Boutros

Michael Boutros

University of Toronto - Department of Economics

Itzhak Ben-David

Ohio State University (OSU) - Department of Finance; National Bureau of Economic Research (NBER)

John R. Graham

Duke University; National Bureau of Economic Research (NBER)

Campbell R. Harvey

Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER)

John W. Payne

Duke University - Marketing

Multiple version iconThere are 2 versions of this paper

Date Written: April 22, 2024

Abstract

We analyze a panel of over 28,400 S&P500 return forecasts by CFOs to examine whether the extent of CFOs' miscalibration---providing forecast confidence intervals that are too narrow---decreases with repetition and with learning from past performance. We find no improvement with task repetition nor evidence of learning, that is, no improvement in response to past performance. Across CFOs, miscalibration appears as a persistent personal trait that is linked to CFOs' generational cohorts and is unaffected by their corporate environments.

Keywords: Learning, Information, Behavioral economics, Volatility forecasts, Market forecasts, Behavioral finance, Bayesian updating, Expectations

JEL Classification: G41, G30, D02, D22, D83, D84

Suggested Citation

Boutros, Michael and Ben-David, Itzhak and Graham, John Robert and Harvey, Campbell R. and Payne, John W., The Persistence of Miscalibration (April 22, 2024). 10th Miami Behavioral Finance Conference, Available at SSRN: https://ssrn.com/abstract=3462107 or http://dx.doi.org/10.2139/ssrn.3462107

Michael Boutros

University of Toronto - Department of Economics ( email )

150 St. George Street
Toronto, Ontario M5S3G7
Canada

Itzhak Ben-David

Ohio State University (OSU) - Department of Finance ( email )

2100 Neil Avenue
Fisher 700D
Columbus, OH 43210-1144
United States
773 988 1353 (Phone)

HOME PAGE: http://https://u.osu.edu/ben-david.1/

National Bureau of Economic Research (NBER) ( email )

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Cambridge, MA 02138
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HOME PAGE: http://fisher.osu.edu/fin/faculty/Ben-David/

John Robert Graham

Duke University ( email )

Box 90120
Durham, NC 27708-0120
United States
919-660-7857 (Phone)
919-660-8030 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Campbell R. Harvey (Contact Author)

Duke University - Fuqua School of Business ( email )

Box 90120
Durham, NC 27708-0120
United States
919-660-7768 (Phone)

HOME PAGE: http://www.duke.edu/~charvey

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

John W. Payne

Duke University - Marketing ( email )

United States

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