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Dispersed Information and Asset Prices

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Academic year: 2021

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Figure 1: Forecast Dispersion vs. Accuracy (Scatter Plots)
Table 1 reports summary statistics (mean, median, 10th, 25th, 75th and 90th percentiles) for forecast dispersion and forecast accuracy in the two datasets, as well as the raw correlation between these two measures
Figure 2: Forecast Dispersion (Cumulative Distribution)
Figure 4: Excess weight on tail risks vs. Lower Bound
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