Predicting Stock Price Movements: Regressions Versus Economists

11 Pages Posted: 10 Jul 2007 Last revised: 15 Jun 2013

See all articles by Paul Söderlind

Paul Söderlind

University of St. Gallen; Centre for Economic Policy Research (CEPR); University of St. Gallen - School of Finance

Date Written: November 24, 2008

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

Suggested Citation

Söderlind, Paul, Predicting Stock Price Movements: Regressions Versus Economists (November 24, 2008). Applied Economics Letters, Vol. 17, pp. 869-874, 2010; U. of St. Gallen Law & Economics Working Paper No. 2007-23. Available at SSRN: https://ssrn.com/abstract=999509

Paul Söderlind (Contact Author)

University of St. Gallen ( email )

Rosenbergstrasse 52
St. Gallen, 9000
Switzerland
+41 71 224 7064 (Phone)
+41 71 224 7088 (Fax)

HOME PAGE: http://https://sites.google.com/site/paulsoderlindecon/home

Centre for Economic Policy Research (CEPR)

London
United Kingdom

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland

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