Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)

Return Distribution under Behavioral Biases: A Numerical Simulation Study

Authors
Xiaoguang Yang 0, Fenghua Wen, Delong Huang, Qiujun Lan
Corresponding Author
Xiaoguang Yang
0Academy of Mathematics and Systems Science, Academy of China
Available Online October 2006.
DOI
https://doi.org/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.
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Proceedings
9th Joint International Conference on Information Sciences (JCIS-06)
Part of series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
ISSN
1951-6851
DOI
https://doi.org/10.2991/jcis.2006.145How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

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  - 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  - https://doi.org/10.2991/jcis.2006.145
ID  - Yang2006/10
ER  -