CFA Level3 learning notes-CME-2-CHALLENGES IN FORECASTING
LOS-discuss challenges in developing capital market forecasts
Limitations of Economic Data：
-time lag- data that are not timely may be of little value
-revisions to initial data-may give rise to significantly different inferences
-Definitions and calculation methods change-economic and financial indexes periodically re-base
Data Measurement Errors and Biases：
-Transcription errors
-Survivorship bias
-Appraisal (smoothed) data
The Limitations of Historical Estimates：
-changes in regime，give rise to the statistical problem of nonstationarity，use the longest data history
-the number of observations must exceed the number of variables
-data may be asynchronous, time zone differences, Lower-frequency data (e.g., monthly or quarterly) are less susceptible to asynchrony
-whether data are normally distributed
Ex Post Risk Can Be a Biased Measure of Ex Ante Risk:
对于未来风险和回报的估计存在的偏差。
-Looking backward, we are likely to underestimate ex ante risk and overestimate ex ante anticipated returns.
比索问题指出，我们往往在评估未来风险时存在一种偏差，低估了可能发生的不利情况的概率或影响。同时，我们也倾向于高估未来预期的回报，可能过于乐观地估计投资的收益。
-If our data series includes even one observation of a rare event, we may substantially overstate the likelihood of such events happening in the future.
这是「比索问题」的相反情况，意味着在投资决策中，人们倾向于高估可能的风险，并低估预期的收益。投资者可能过度担心潜在的风险，导致他们对于投资项目的预期收益持较为保守的估计。这可能是因为投资者更关注负面事件的潜在影响，或者是由于心理因素和行为偏差导致的风险厌恶。
Biases in Analysts’ Methods:
-Data-mining bias. bear in mind that correlation does not imply causation
-Time-period bias
The Failure to Account for Conditioning Information
Misinterpretation of Correlations
Psychological Biases:
-Anchoring bias
-Status quo bias,projecting continuation of the trend
-Confirmation bias
-Overconfidence bias
-Prudence bias
-Availability bias,a very strong impression on …so …has…convinced to
Model Uncertainty:
-Model uncertainty
-Parameter uncertainty
-Input uncertainty
25 Jun 2023 - by toptradeready.com