A Behavioral Fuzzy Model for Analysis of Overreaction and Underreaction in the Brazilian Stock Market
Renato Aguiar 0, Roberto Moura Sales, Lucy Sousa
0Escola Politécnica da Universidade de São Paulo
Available Online October 2006.
- 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.
- 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 SP - 109 EP - 112 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 -