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

A Behavioral Fuzzy Model for Analysis of Overreaction and Underreaction in the Brazilian Stock Market

Authors
Renato Aguiar 0, Roberto Moura Sales, Lucy Sousa
Corresponding author
Renato Aguiar
0Escola Politécnica da Universidade de São Paulo
DOI
https://doi.org/10.2991/jcis.2006.26How to use a DOI?
Keywords
Overreaction, Underreaction, Fuzzy Sets, Behavioral Finance, Stock Classification
Abstract
In this paper empirical tests for the overreaction and underreaction hypothesis in the Brazilian stock market are presented. For these tests, due to the complexity of these phenomena, a new model based on the fuzzy set theory is proposed. It is shown that such model is strongly connected with two heuristics of behavioral finance: representativeness and anchoring. The proposed model is used to form portfolios based on financial indexes of open firms. The analysis is applied for stocks from petrol/petrochemical and textile firms, with financial indexes ranging from 1994 to 2005.
Copyright
© The authors. This article is distributed under the terms of the Creative Commons Attribution License 4.0, which permits non-commercial use, distribution and reproduction in any medium, provided the original work is properly cited. See for details: https://creativecommons.org/licenses/by-nc/4.0/
Open Access | Under Creative Commons license CC BY-NC 4.0

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@inproceedings{Aguiar2006,
  title={A Behavioral Fuzzy Model for Analysis of Overreaction and Underreaction in the Brazilian Stock Market},
  author={Aguiar, Renato and Moura Sales, Roberto and Sousa, Lucy},
  year={2006},
  booktitle={9th Joint International Conference on Information Sciences (JCIS-06)},
  issn={1951-6851},
  isbn={978-90-78677-01-7},
  url={http://dx.doi.org/10.2991/jcis.2006.26},
  doi={10.2991/jcis.2006.26},
  publisher={Atlantis Press}
}
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