Predicting Stock Price Movements: Regressions Versus Economists
11 Pages Posted: 10 Jul 2007 Last revised: 15 Jun 2013
Date Written: November 24, 2008
The forecasting performance of the Livingston survey and traditional prediction models of stock prices is analysed. The survey forecasts look similar to those from a "too large" prediction model: poor out-of-sample performance and too sensitive to recent and irrelevant information.
Keywords: Livingston survey, out-of-sample forecasts, overfitting, recency bias
JEL Classification: G12
Suggested Citation: Suggested Citation