TY  - BOOK
AU  - Boutros,Michael
AU  - Ben-David,Itzhak
AU  - Graham,John R.
AU  - Harvey,Campbell R.
AU  - Payne,John W.
ED  - National Bureau of Economic Research.
TI  - The Persistence of Miscalibration
T2  - NBER working paper series
PY  - 2020///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - October 2020; Hardcopy version available to institutional subscribers
N2  - Using 14,800 forecasts of one-year S&P 500 returns made by Chief Financial Officers over a 12-year period, we track the individual executives who provide multiple forecasts to study how their beliefs evolve dynamically. While CFOs' return forecasts are systematically unbiased, their confidence intervals are far too narrow, implying significant miscalibration. We find that when return realizations fall outside of ex-ante confidence intervals, CFOs' subsequent confidence intervals widen considerably. These results are consistent with a model of Bayesian learning which suggests that the evolution of beliefs should be impacted by return realizations. However, the magnitude of the updating is dampened by the strong conviction in beliefs inherent in the initial miscalibration and, as a result, miscalibration persists
UR  - https://www.nber.org/papers/w28010
UR  - http://dx.doi.org/10.3386/w28010
ER  -