Overreaction in Survey Exchange Rates Forecasts

Pancotto, Francesca; Pericoli, Filippo Maria; Pistagnesi, Marco

doi:10.2139/ssrn.2224560

Download This Paper

Open PDF in Browser

Add Paper to My Library

Overreaction in Survey Exchange Rates Forecasts

32 Pages Posted: 26 Feb 2013 Last revised: 11 Jun 2013

See all articles by Francesca Pancotto

Francesca Pancotto

Università degli studi di Modena e Reggio Emilia (UNIMORE); Università degli studi di Modena e Reggio Emilia (UNIMORE)

Marco Pistagnesi

Università degli studi di Modena e Reggio Emilia (UNIMORE)

Date Written: June 11, 2013

Abstract

We use a novel database of a panel of quarterly survey of exchange rates forecasts available on the Bloomberg platform, for the following five bilateral exchange rates: EUR/GBP, EUR/JPY, EUR/USD, GBP/USD and USD/JPY, for the timespan ranging from the third quarter 2006 up to the fourth quarter of 2011. We find that forecasters are on average irrational, failing to identify the true data generating process of bilateral exchange rates and generally overreacting to past observed information. Moreover, exploring individual performance, we can state that financial analysts irrationally do not look at their past forecast errors to improve the quality of their later forecasts.

Keywords: survey forecasts, exchange rates, overreaction

JEL Classification: F31, G02

Suggested Citation: Suggested Citation

Pancotto, Francesca and Pericoli, Filippo Maria and Pistagnesi, Marco, Overreaction in Survey Exchange Rates Forecasts (June 11, 2013). Available at SSRN: https://ssrn.com/abstract=2224560 or http://dx.doi.org/10.2139/ssrn.2224560