Forecasting metal prices: Do forecasters herd?

C. Pierdzioch; J. C. Rulke; G. Stadtmann

doi:10.1016/j.jbankfin.2012.08.016

Forecasting metal prices: Do forecasters herd?

Authors:

Pierdzioch, C. ;
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Rulke, J. C. ;
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Stadtmann, G.
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Department of Business and Economics, Faculty of Business and Social Sciences, SDU

DOI:

10.1016/j.jbankfin.2012.08.016

Abstract:

We analyze more than 20,000 forecasts of nine metal prices at four different forecast horizons. We document that forecasts are heterogeneous and report that anti-herding appears to be a source of this heterogeneity. Forecaster anti-herding reflects strategic interactions among forecasters that foster incentives to scatter forecasts around a consensus forecast. (C) 2012 Elsevier B.V. All rights reserved.

Type:

Journal article

Language:

English

Published in:

Journal of Banking and Finance, 2013, Vol 37, Issue 1, p. 150-158

Keywords:

Metal prices Forecasting Forecaster (anti-)herding EFFICIENCY EXCHANGE MARKETS COINTEGRATION

Main Research Area:

Social science

Publication Status:

Published

Review type:

Peer Review

Submission year:

2013

Scientific Level:

Scientific

ID:

232113750

Forecasting metal prices: Do forecasters herd?

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