Download This PaperThe Persistence of Miscalibration
47 Pages Posted: 28 Jul 2020 Last revised: 23 Apr 2024
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The Persistence of Miscalibration
The Persistence of Miscalibration
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: Suggested Citation
Itzhak Ben-David
Ohio State University (OSU) - Department of Finance ( email )
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Campbell R. Harvey (Contact Author)
Duke University - Fuqua School of Business ( email )
Box 90120
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HOME PAGE: http://www.duke.edu/~charvey