A New Hedging Hypothesis Regarding Prediction Interval Formation in Stock Price Forecasting
نویسندگان
چکیده
We propose and test a simple hedging hypothesis for prediction interval formation in stock price forecasting. In the presence of uncertainty, forecasters hedge their forecasts by adjusting bounds way that reflects forecast average others. This suggests positive relationship between belief wedge, defined as difference subject's others own point forecast, asymmetry interval. Empirical support is drawn from two in-class surveys, an experiment, large survey professional analysts' future prices.
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ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2021
ISSN: ['0277-6693', '1099-131X']
DOI: https://doi.org/10.1002/for.2830