%0 Journal Article
%T Numerical Simulation for Influence of Overconfidence and Regret Aversion on Return Distribution<br>过度自信、后悔厌恶对收益率分布影响的数值模拟研究
%A WEN Feng-hua
%A HUANG De-long
%A LAN Qiu-jun
%A YANG Xiao-guang
%A <br>文凤华
%A 黄德龙
%A 兰秋军
%A 杨晓光
%J 系统工程理论与实践
%D 2007
%I 
%X According to behavioral finance,investors' behavioral biases will be reflected in the distribution of the return rate.This paper constructs a numerical simulation model to simulate the return rate distribution under the influences of overconfidence and regret aversion and shows that,compared with normal distribution under the Efficient Market Hypothesis,the simulated distributions have higher peaks and fatter tails,and they are skewed to left with the left tails thicker than the right ones.Moreover,the heights of peaks and the thickness of tails will decrease as the time horizons for the returns become longer.Further numerical experiments illustrate that,when the time lag of reaction increase,the kurtosis of the simulated distribution has an obvious increase,and the left tail tends to decrease;when under-reaction aggravates,the kurtosis and the thickness exhibit a concurrent increase;when the degree of over-reaction becomes large, the right tail has an obvious increase;the right tail is insensitive,while the thickness of the left tail tends to decrease with the increasing of the disposition effect.
%K overconfidence
%K regret aversion
%K disposition effect
%K overreaction
%K numerical simulation<br>过度自信
%K 后悔厌恶
%K 处置效应
%K 过度反应
%K 数值模拟
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=FCDD20EBB6276B59&yid=A732AF04DDA03BB3&vid=DB817633AA4F79B9&iid=DF92D298D3FF1E6E&sid=F3090AE9B60B7ED1&eid=13553B2D12F347E8&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=13