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*
Accuracy and Forecast Standard Error of Prediction Markets
Joyce Berg, Forrest Nelson and Thomas Rietz
Departments of Accounting, Economics and Finance
Henry B. Tippie College of Business Administration
University of Iowa
Working Draft
July 2003
*
For many helpful comments and suggestions, we thank Bob Forsythe, George Neumann, Gene Savin, Toni
Whited and participants in the Department of Finance Seminar at the University of Iowa Tippie College of
Business.
Accuracy and Forecast Standard Error of Prediction Markets
Abstract
“Prediction markets” are designed specifically to forecast events. Though such markets have been conduced
for more than a decade, to date there is no analysis of their long-run predictive properties. We provide the
first systematic evidence on the long-run predictive power of these markets by studying ex post accuracy and
means of measuring ex ante forecast standard errors. Ex post, prediction markets prove accurate at long and
short forecasting horizons, in absolute terms and relative to natural alternative forecasts. We use efficient
markets theory and some special properties of the markets to develop forecast standard errors. Both time
series and inter-market pricing relationships suggest that markets generate efficient random walks in prices.
Thus, random walk projections generate reasonable confidence intervals. These confidence intervals differ
dramatically from margins of error quoted in polls. We argue this is reasonable because polls do not attempt
to, nor can
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