# Return Distribution under Behavioral Biases: A Numerical Simulation Study

Authors
Xiaoguang Yang 0, Fenghua Wen, Delong Huang, Qiujun Lan
Corresponding Author
Xiaoguang Yang
Available Online October 2006.
DOI
https://doi.org/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.
Open Access

Proceedings
Part of series
Publication Date
October 2006
ISBN
978-90-78677-01-7
ISSN
1951-6851
DOI
https://doi.org/10.2991/jcis.2006.145How to use a DOI?
Open Access

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
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.145
DO  - https://doi.org/10.2991/jcis.2006.145
ID  - Yang2006/10
ER  -
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