Titre
Predictability in Financial Markets: What Do Survey Expectations Tell Us?
Type
article
Institution
UNIL/CHUV/Unisanté + institutions partenaires
Périodique
Auteur(s)
Bacchetta, P.
Auteure/Auteur
Mertens, E.
Auteure/Auteur
van Wincoop, E.
Auteure/Auteur
Liens vers les personnes
Liens vers les unités
ISSN
0261-5606
Statut éditorial
Publié
Date de publication
2009-04
Volume
28
Numéro
3
Première page
406
Dernière page/numéro d’article
426
Peer-reviewed
Oui
Langue
anglais
Notes
Includes Empirical Appendix
Résumé
There is widespread evidence of excess return predictability in financial markets. For the foreign exchange market a number of studies have documented that the predictability of excess returns is closely related to the predictability of expectational errors of excess returns. In this paper we investigate the link between the predictability of excess returns and expectational errors in a much broader set of financial markets, using data on survey expectations of market participants in the stock market, the foreign exchange market, the bond market and money markets in various countries. The results are striking. First, in markets where there is significant excess return predictability, expectational errors of excess returns are predictable as well, with the same sign and often even with similar magnitude. This is the case for foreign exchange, stock and bond markets. Second, in the only market where excess returns are generally not predictable, the money market, expectational errors are not predictable either. These findings suggest that an explanation for the predictability of excess returns must be closely linked to an explanation for the predictability of expectational errors.
PID Serval
serval:BIB_88AD2DEBE410
Date de création
2008-05-15T08:47:47.203Z
Date de création dans IRIS
2025-05-21T02:07:54Z