Financial markets forecasts revisited: Are they rational, stubborn or jumpy?

This paper evaluates professional forecasters' behavior using a panel data of individual forecasts. We find that (i) professional forecasts are behavioral, and (ii) there exists a stock-bond dissonance: the forecasting behavior seems to be stubborn in the stock market, but jumpy in the bond market. Even in the same country, forecasting behavior is quite different by market.

► We test whether professional forecasters forecast rationally or behaviorally. ► Professional forecasts are behavioral, significantly influenced by past forecasts. ► Forecasting behavior seems stubborn in the stock market but jumpy in the bond market. ► Even in the same country, forecasting behavior is quite different by market.