Universität zu Köln

Hess, Dieter and Orbe, Sebastian (2013). Irrationality or Efficiency of Macroeconomic Survey Forecasts? Implications from the Anchoring Bias Test. Rev. Financ., 17 (6). S. 2097 - 2132. OXFORD: OXFORD UNIV PRESS. ISSN 1573-692X

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Abstract

Recent findings indicate that macroeconomic survey forecasts are anchoring biased and therefore are inefficient. However, despite highly significant test coefficients, a bias adjustment does not improve forecasts' quality. We find that the cognitive bias is a statistical artifact because the anchoring test is biased itself. In particular, it produces misleading results if macroeconomic analysts use more comprehensive information than assumed by the test. Our results have important implications for a wide range of empirical research relying on survey data to capture market participants' expectations, for example, studies analyzing the impact of macroeconomic conditions on asset prices, equity risk premiums, or market liquidity.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Hess, Dieter UNSPECIFIED UNSPECIFIED UNSPECIFIED Orbe, Sebastian UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-473058
DOI:	10.1093/rof/rfs037
Journal or Publication Title:	Rev. Financ.
Volume:	17
Number:	6
Page Range:	S. 2097 - 2132
Date:	2013
Publisher:	OXFORD UNIV PRESS
Place of Publication:	OXFORD
ISSN:	1573-692X
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language LIVINGSTON PRICE EXPECTATIONS; STOCK MARKETS REACTION; US TREASURY MARKET; ECONOMIC-NEWS; CONSENSUS FORECASTS; FINANCIAL-MARKETS; INTEREST-RATES; BOND MARKETS; BAD-NEWS; ANNOUNCEMENTS Multiple languages Business, Finance; Economics Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/47305