Return Distribution under Behavioral Biases: A Numerical Simulation Study
Xiaoguang Yang 0, Fenghua Wen, Delong Huang, Qiujun Lan
0Academy of Mathematics and Systems Science, Academy of China
Available Online October 2006.
- https://doi.org/10.2991/jcis.2006.145How to use a DOI?
- Behavioral Finance, Over-reaction, Under-reaction, Disposition Effect, Numerical Simulation.
- 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.
- 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 -