A Behavioral Fuzzy Model for Analysis of Overreaction and Underreaction in the Brazilian Stock Market
- Renato Aguiar 0, Roberto Moura Sales, Lucy Sousa
- Corresponding Author
- Renato Aguiar
0Escola Politécnica da Universidade de São Paulo
- https://doi.org/10.2991/jcis.2006.26How to use a DOI?
- Overreaction, Underreaction, Fuzzy Sets, Behavioral Finance, Stock Classification
- 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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Cite this article
TY - CONF AU - Aguiar, Renato AU - Moura Sales, Roberto AU - Sousa, Lucy DA - 2006/10/05 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 ER -