title: |
Return Distribution under Behavioral Biases: A Numerical Simulation Study |
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publication: |
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part of series: |
Advances in Intelligent Systems Research | |
ISBN: |
978-90-78677-01-7 | |
ISSN: |
1951-6851 | |
DOI: |
doi:10.2991/jcis.2006.145 (how to use a DOI) | |
author(s): |
Xiaoguang Yang, Fenghua Wen, Delong Huang, Qiujun Lan |
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corresponding author: |
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publication date: |
October 2006 |
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keywords: |
Behavioral Finance, Over-reaction, Under-reaction, Disposition Effect, Numerical Simulation. |
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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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copyright: |
©
Atlantis Press. This article is distributed under the
terms of the Creative Commons Attribution License, which permits
non-commercial use, distribution and reproduction in any medium,
provided the original work is properly cited. |
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full text: |