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
Available Online October 2006.
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.
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Proceedings
9th Joint International Conference on Information Sciences (JCIS-06)
Part of series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
ISSN
1951-6851
DOI
https://doi.org/10.2991/jcis.2006.26How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

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  - 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.26
DO  - https://doi.org/10.2991/jcis.2006.26
ID  - Aguiar2006/10
ER  -