The strategy of professional forecasting

• 成果类型: Article
• 署名作者: Ottaviani, Marco; Sorensen, Peter Norman
• 署名单位: University of London; London Business School; University of Copenhagen
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.08.002
• 发表日期: 2006
• 页码: 441-466
• 关键词: Forecasting; reputation; cheap talk; Contest; exaggeration

摘要

We develop and compare two theories of professional forecasters' strategic behavior. The first theory, reputational cheap talk, posits that forecasters endeavor to convince the market that they are well informed. The market evaluates their forecasting talent on the basis of the forecasts and the realized state. If the market expects forecasters to report their posterior expectations honestly, then forecasts are shaded toward the prior mean. With correct market expectations, equilibrium forecasts are imprecise but not shaded. The second theory posits that forecasters compete in a forecasting contest with pre-specified rules. In a winner-take-all contest, equilibrium forecasts are excessively differentiated. (c) 2006 Elsevier B.V. All rights reserved.