Return Distribution under Behavioral Biases: A Numerical Simulation Study
Authors
Xiaoguang Yang1, Fenghua Wen, Delong Huang, Qiujun Lan
1Academy of Mathematics and Systems Science, Academy of China
Corresponding Author
Xiaoguang Yang
Available Online October 2006.
- DOI
- 10.2991/jcis.2006.145How to use a DOI?
- Keywords
- Behavioral Finance, Over-reaction, Under-reaction, Disposition Effect, Numerical Simulation.
- Abstract
Investors’ overconfidence and regret aversion lead to behavioral biases, such as over-reaction、under-reaction and disposition effect. By constructing a numerical simulation model, this paper shows that, return distributions under the behavioral biases have higher peaks and fatter tails, and they are skew to left with the left tails thicker than the right ones, compared with normal distribution under Effective Market Hypothesis. Performances of return distributions under different degrees of the behavioral biases are also investigated.
- Copyright
- © 2006, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Xiaoguang Yang AU - Fenghua Wen AU - Delong Huang AU - Qiujun Lan PY - 2006/10 DA - 2006/10 TI - Return Distribution under Behavioral Biases: A Numerical Simulation Study BT - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06) PB - Atlantis Press SN - 1951-6851 UR - https://doi.org/10.2991/jcis.2006.145 DO - 10.2991/jcis.2006.145 ID - Yang2006/10 ER -