History of the Forecasters

Robert Brooks; J. Brian Gray

doi:10.3905/jpm.2004.443329

Primary Article

History of the Forecasters

Robert Brooks and J. Brian Gray

The Journal of Portfolio Management Fall 2004, 31 (1) 113-117; DOI: https://doi.org/10.3905/jpm.2004.443329

Robert Brooks

SouthTrust professor of financial management at the University of Alabama in Tuscaloosa, AL. rbrooks@cba.ua.edu

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For correspondence: rbrooks@cba.ua.edu

J. Brian Gray

Professor of statistics at the University of Alabama in Tuscaloosa. bgray@cba.ua.edu

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For correspondence: bgray@cba.ua.edu

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Abstract

An analysis of semiannual Wall Street Journal long-term interest rate forecasts made since 1982 by a panel of distinguished economic experts shows that the consensus forecast of long-term U.S. Treasury bond yield changes is poor. A naive forecast is more accurate.

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The Journal of Portfolio Management

Vol. 31, Issue 1

Fall 2004

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History of the Forecasters

Robert Brooks, J. Brian Gray

The Journal of Portfolio Management Oct 2004, 31 (1) 113-117; DOI: 10.3905/jpm.2004.443329