Market participants or the random walk – who forecasts better? Evidence from micro-level survey data

Kiss, Tamás; Kladívko, Kamil; Silfverberg, Oliwer; Österholm, Pär

doi:10.1016/j.frl.2023.103752

Cited by 4 publications

(1 citation statement)

References 28 publications

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“…Based on a financial perspective, CECP enabled us to discover that the lower the "dist" (1.0) value, the higher the entropy value and the lower the complexity value. It indicates that asset prices exhibit behaviour similar to a random walk Fernandes & Araújo (2020), Kiss et al (2023), considered more efficient. In this sense, price movements are unpredictable and cannot be easily exploited by trading strategies, making the asset efficient.…”

Section: Discussionmentioning

confidence: 88%

Spillover Effects of Covid-19 on Usa Education Group Stocks

FERNANDES,

DE ARAUJO,

SILVA

et al. 2024

Fractals

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In this paper, we explore the price dynamics of 16 representative records of USA Education Group stocks, encompassing two non-overlapping periods (before, during, and after COVID-19). Based on information theory and cluster analysis techniques, our study provides insights into disorder, predictability, efficiency, similarity, and resilience/weakness, considering the most diverse financial stakeholders. Our findings contribute significantly to understanding price dynamics in the education sector, encompassing non-crisis and crisis periods, and provide valuable information for financial risk management, highlighting the importance of considering financial assets’ efficiency and resilience/weakness during economic turbulence, such as the COVID-19 crisis.

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Section: Discussionmentioning

confidence: 88%

Spillover Effects of Covid-19 on Usa Education Group Stocks

FERNANDES,

DE ARAUJO,

SILVA

et al. 2024

Fractals

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An Analysis of UK Households’ Directional Forecasts of Interest Rates

Kladívko,

Österholm

2024

J Bus Cycle Res

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In this paper, we evaluate the directional interest-rate forecasts of UK households from the Bank of England’s Inflation Attitudes Survey. Employing a test for directional forecast accuracy and data on the survey balance ranging from 1999Q4 to 2023Q2, we find that the balance is not able to predict in which direction the interest rate will move over the coming year. In addition, regression models based on the balance are not able to generate forecasts for the quantitative change in the interest rate over the coming twelve months that have higher precision than a naïve forecast of no change. In order to provide information as to whether our findings are due to the inherent difficulty when it comes to forecasting interest rates or if households are not very insightful regarding interest rates, we investigate – again using data on the survey balance and testing for directional accuracy – whether households have been able to correctly assess the directional change of the interest rate over the previous twelve months; our results indicate some amount of “literacy” among the households regarding the interest rates that they face. Finally, analyses based on individual-response level data suggest that literacy regarding interest rates – proxied by the respondent having been correct regarding the directional change over the previous twelve months – does not appear helpful when forecasting.

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