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DTSTART:20251026T030000
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UID:calendar.137318.field_date.0@www.tse-fr.eu
DTSTAMP:20260309T032301Z
CREATED:20250513T101001Z
DESCRIPTION:David Thesmar (MIT Sloan)\, “Expectations Formation with Fat-ta
 iled Processes: Evidence and Theory”\, June 16\, 2025\, 14:00\, room A3.\n
 \nThis paper studies expectations formation when the underlying process ha
 s fat tails. Using a large sample of firm sales growth expectations\, we d
 ocument three facts: (i) the relationship between forecast revisions and f
 uture forecast errors is strongly non-linear\, (ii) the distribution of sa
 les growth has fat tails\, and (iii) extreme values of sales growth tend t
 o mean-revert. We formally show that these three facts are consistent with
  a model in which the underlying process\nis non-Gaussian\, but forecaster
 s fail to recognize this fully. We estimate this model and show it quantit
 atively explains our three facts. Finally\, we show the model is consisten
 t with evidence from an online forecasting experiment where the underlying
  process is non-Gaussian and the non-linearity in the momentum of stock re
 turns.
DTSTART;TZID=Europe/Paris:20250616T150000
DTEND;TZID=Europe/Paris:20250616T150000
LAST-MODIFIED:20250614T001002Z
LOCATION:June 16\, 2025\, 14:00\, room A3
SUMMARY:Expectations Formation with Fat-tailed Processes: Evidence and Theo
 ry
URL;TYPE=URI:https://www.tse-fr.eu/seminars/2025-expectations-formation-fat
 -tailed-processes-evidence-and-theory
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