Return Distribution under Behavioral Biases: A Numerical Simulation Study

DOI

10.2991/jcis.2006.145How to use a DOI?

Keywords

Behavioral Finance, Over-reaction, Under-reaction, Disposition Effect, Numerical Simulation.

Abstract

Investors’ overconfidence and regret aversion lead to behavioral biases, such as over-reaction、under-reaction and disposition effect. By constructing a numerical simulation model, this paper shows that, return distributions under the behavioral biases have higher peaks and fatter tails, and they are skew to left with the left tails thicker than the right ones, compared with normal distribution under Effective Market Hypothesis. Performances of return distributions under different degrees of the behavioral biases are also investigated.

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/).

Download article (PDF)

TY  - CONF
AU  - Xiaoguang Yang
AU  - Fenghua Wen
AU  - Delong Huang
AU  - Qiujun Lan
PY  - 2006/10
DA  - 2006/10
TI  - Return Distribution under Behavioral Biases: A Numerical Simulation Study
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.145
DO  - 10.2991/jcis.2006.145
ID  - Yang2006/10
ER  -