Download This PaperHow Accurate Are Survey Forecasts on the Market?
44 Pages Posted: 29 Mar 2023 Last revised: 17 Mar 2025
Date Written: March 15, 2023
Abstract
We find that three widely used survey forecasts fail to predict the stock market out-of-sample, raising important questions about the reliability of survey forecasts and the proper interpretation of the extensive literature that depends on them. In contrast, we demonstrate that a naive Bayesian learning model and analysts' expectations can significantly predict the stock market out-of-sample. This suggests that these alternatives provide more meaningful insights into investors' attitudes toward risk. As a result, studying these new sources of information may be more impactful and warrants greater attention compared to the reliance on survey forecasts.
Keywords: Subjective Belief, Livingston Survey, CFO Survey, Michigan Survey of Consumers, Analyst Expectations
JEL Classification: G11, G17
Suggested Citation: Suggested Citation
Songrun He
Washington University in St. Louis - John M. Olin Business School ( email )
One Brookings Drive
Campus Box 1133
St. Louis, MO 63130-4899
United States
Guofu Zhou (Contact Author)
Washington University in St. Louis - John M. Olin Business School ( email )
Washington University
Campus Box 1133
St. Louis, MO 63130-4899
United States
314-935-6384 (Phone)
314-658-6359 (Fax)
HOME PAGE: http://apps.olin.wustl.edu/faculty/zhou/
