Predicting Stock Price Movements: Regressions Versus Economists

Abstract

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