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Keywords: excess volatility
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Journal Articles
Journal:
Journal of Financial Reporting
Journal of Financial Reporting (2016) 1 (1): 101–123.
Published: 01 March 2016
... surrounding violations of this bound. We find that the time-series of individual forecasts are excessively volatile approximately 17 percent of the time, affecting up to 50 percent of the aggregate market value of stocks. We also find that the market-wide frequency of excessively volatile forecasts in a year...