1 Department of Business and Economics, Faculty of Business and Social Sciences, SDU2 WHU3 Helmut Schmidt Uni Hamburg4 Department of Business and Economics, Faculty of Business and Social Sciences, SDU
We analyze forecasts of car sales in the U.S. and forecasts of car registrations in Japan. We document a substantial heterogeneity of forecasts, and we show that, based on traditional criteria, forecasts are neither rational nor unbiased. We also report that forecasters anti-herd, that is, forecasters seem to intentionally scatter their forecasts around a consensus forecast. We further show that cross-sectional heterogeneity of forecasts with regard to anti-herding transmits onto cross-sectional heterogeneity of forecast accuracy. Specifically, we document that forecasters who herd provide more accurate forecasts than their colleagues who anti-herd.
Japan and the World Economy, 2011, Vol 23, Issue 4, p. 253-258