A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction

DOI10.1016/j.ejor.2009.07.005zbMath1176.91163OpenAlexW2048159831MaRDI QIDQ1043346

Taisheng Liu, Wing-Keung Wong, Kin-Tak Lam

Publication date: 7 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.07.005

zbMATH Keywords

stock priceBayesian modelstock returnoverreactionunderreactionrepresentative and conservative heuristics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (7)

Enhancement of equity portfolio performance using data envelopment analysis ⋮ An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment ⋮ Comparison of the multicriteria decision-making methods for equity portfolio selection: the U.S. evidence ⋮ Strategic trading with information acquisition and long-memory stochastic liquidity ⋮ Segregation and integration: a study of the behaviors of investors with extended value functions ⋮ Test statistics for prospect and Markowitz stochastic dominances with applications ⋮ Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency

Cites Work

• Learning to be rational
• Robust estimation in capital asset pricing model
• Evaluation of firm's loss due to incomplete information in real investment decision
• On the estimation of cost of capital and its reliability
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