过度自信_后悔厌恶对收益率分布影响的数值模拟研究.pdfVIP

2007 7 7 : 1000-6788( 2007) 07- 0010- 09 1, 2 1 3 1 文凤华 , 黄德龙 , 兰秋军 , 杨晓光 ( 1 , 100080 ; 2 , 410076; 3 , 410082) : , , : , . , , , ; , ; , ; , . : ; ; ; ; : F8309 : A Numerical Simulation or In luence o Overcon idence and Regret Aversion on Return Distribution 1, 2 1 3 1 WEN Feng-hua , HUANG De- long , LAN Qiu-jun , YANG Xiao-guang ( 1Academy o Mathematics and System s Science, CAS, Beij ing 100080 , China; 2School o Economics, Changsha University o Science Technology, Changsha 410076, China; 3College o Business Administration, Hunan University, Changsha 410082, China) Abstract: According to behavioral inance, investors behavioral biases w ill be re lected in the distribution o the return rate. This paper constructs a numerical simulation model to simulate the return rate distribution under the in luences o overcon idence and regret aversion and shows that , compared w ith normal distribution under the E icient Market Hypothesis, the simulated distributions have higher peaks and atter tails, and they are skew ed to le t with the le t tails thicker than the right ones . Moreover, the heights o peaks and the thickness o tails w ill decrease as the time horizons or the returns become longer. Further numerical experiments illustrate that , w hen the time lag o reaction increase, the kurtosis o the simulated distribution has an obvious increase, and the le t tail tends to decrease; w hen under- reaction aggravates, the kurtosis and the thic