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

DOI

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

© 2006, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Renato Aguiar
AU  - Roberto Moura Sales
AU  - Lucy Sousa
PY  - 2006/10
DA  - 2006/10
TI  - A Behavioral Fuzzy Model for Analysis of Overreaction and Underreaction in the Brazilian Stock Market
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SP  - 109
EP  - 112
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.26
DO  - 10.2991/jcis.2006.26
ID  - Aguiar2006/10
ER  -