Who Herds?

Bernhardt, Dan; Campello, Murillo; Kutsoati, Edward

doi:10.2139/ssrn.304723

Cited by 66 publications

(192 citation statements)

References 40 publications

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“…In this respect, it is instructive to interpret the results of the quantile test of forecast rationality in terms of a test of forecaster (anti-)herding recently developed by Bernhardt et al (2006). In order to sketch the logic of the test developed by Bernhardt et al (2006), it is useful to consider a forecaster who forms an "efficient" (that is, rational) private forecast of the future exchange rate.…”

Section: Discussionmentioning

confidence: 99%

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Forecasting the Brazilian real and the Mexican peso: Asymmetric loss, forecast rationality, and forecaster herding

Fritsche¹,

Pierdzioch

Rülke

et al. 2015

International Journal of Forecasting

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractUsing forecasts of the Brazilian real and the Mexican peso, we analyze the shape of the loss function of exchange-rate forecasters and the rationality of their forecasts. We find a substantial degree of cross-sectional heterogeneity with respect to the shape of the loss function. While some forecasters seem to forecasts under an asymmetric loss function, symmetry of the loss function cannot be rejected for other forecasters. An asymmetric loss function does not necessarily make survey data of exchange-rate forecasts look rational, and the loss function seems to depend not only on the forecast error.JEL classification: F31, D84

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Section: Discussionmentioning

confidence: 99%

“…In order to sketch the logic of the test developed by Bernhardt et al (2006), it is useful to consider a forecaster who forms an "efficient" (that is, rational) private forecast of the future exchange rate. In terms of Equation (??…”

Section: Discussionmentioning

confidence: 99%

Forecasting the Brazilian real and the Mexican peso: Asymmetric loss, forecast rationality, and forecaster herding

Fritsche¹,

Pierdzioch

Rülke

et al. 2015

International Journal of Forecasting

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“…Evidence against a rational bias in macroeconomic forecasts due to reputational or financial incentives is presented by Batchelor (2007). 4 As mentioned in the introduction, strategic forecasting of policymakers has not yet received particular attention -mostly due to the non-availability of data. Nevertheless, three papers are particularly relevant in this context.…”

Section: The Literature On Strategic Forecastingmentioning

confidence: 99%

Strategic forecasting on the FOMC

Tillmann

2011

European Journal of Political Economy

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The Federal Open Market Committee (FOMC) of the Federal Reserve consists of voting-and non-voting members. Apart from deciding about interest rate policy, members individually formulate regular inflation forecasts. This paper uncovers systematic differences in individual inflation forecasts submitted by voting and non-voting members. Based on a data set with individual forecasts recently made available it is shown that non-voters systematically overpredict inflation relative to the consensus forecast if they favor tighter policy and underpredict inflation if the favor looser policy. These findings are consistent with non-voting member following strategic motives in forecasting, i.e. non-voting members use their forecast to influence policy deliberation.

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“…Empirical works of Hong et al (2000) and Krishnan et al (2006) show that equity sell-side analysts 2 herd while providing earnings forecasts. Zitzewitz (2001), Bernhardt et al (2006) and Naujoks et al (2009) nd an anti-herding behaviour in the same context. Kim and Zapatero (2009) and Jegadeesh and Kim (2010) among others use analysts' investment recommendation to provide empirical evidence for herding behaviour.…”

Section: Introductionmentioning

confidence: 75%

Analyst Behaviour: The Geography of Social Interaction

König

2012

SSRN Journal

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In this paper, I provide empirical evidence that an analyst working in Germany is more likely to publish a high (low) price target regarding a DAX30 stock when other Germany based analysts are also optimistic (pessimistic) about the same stock. This e ect of geographical proximity is not biased by the fact that DAX30 companies are headquartered in Germany. Shedding light on how in uence takes place, I show that inuence through communication and the exchange of opinion within small groups of analysts plays a vital role. This mainly applies during a bullish market environment. When markets are bearish, analysts' incentives induce them not to deviate too much from the overall average, such that then observational learning has a greater impact.

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Who Herds?

Cited by 66 publications

References 40 publications

Forecasting the Brazilian real and the Mexican peso: Asymmetric loss, forecast rationality, and forecaster herding

Forecasting the Brazilian real and the Mexican peso: Asymmetric loss, forecast rationality, and forecaster herding

Strategic forecasting on the FOMC

Analyst Behaviour: The Geography of Social Interaction

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