title: |
A Behavioral Fuzzy Model for Analysis of Overreaction and Underreaction in the Brazilian Stock Market |
|
publication: |
||
part of series: |
Advances in Intelligent Systems Research | |
ISBN: |
978-90-78677-01-7 | |
ISSN: |
1951-6851 | |
DOI: |
doi:10.2991/jcis.2006.26 (how to use a DOI) | |
author(s): |
Renato Aguiar, Roberto Moura Sales, Lucy Sousa |
|
corresponding author: |
||
publication date: |
October 2006 |
|
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: |
©
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. |
|
full text: |