Oil price analysts' forecasts
利用彭博社收集的分析师预测数据，比较分析师与期货合约的预测能力，并建立分析师公司的绩效排名。
Abstract Crude oil analysts provide forecasts on future spot prices, which are collected by Bloomberg. We exploit this survey to compare analysts' forecasting ability to futures contracts and also among analysts themselves. We address the problems arising from unstructured forecast data and use the Mean‐Squared Prediction Error (MSPE) relative to the no‐change forecast and the Diebold and Mariano test. The applied approach represents a substantial improvement compared with the standard MSPE methodology as it corrects for volatility and maturity effects on forecasting performance measures. Finally, we establish that futures prices supersede analyst forecasts and elaborate a performance‐based ranking of analyst firms.