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Research Of The Subjective Model Of Returns Distribution Based On The Behavioral Finance Theories

Posted on:2007-02-28Degree:DoctorType:Dissertation
Country:ChinaCandidate:D Y DongFull Text:PDF
GTID:1119360212459946Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
Factors influencing financial market are numerous and difficult to deal with. Returns distribution, however, is an observable result in financial market. The research on returns distribution is of great significance for exploring the inherent principle of financial market. Under the frame of the traditional dominating financial theories, the researches on returns distribution model have came out with many great results. However, there are still many fields need to be studied. The evolution of behavioral finance provides a new way for studying the returns distribution. By combining behavior theories and financial analysis, the behavioral finance queries the efficient market hypothesis from the angle of human' s irrational decision behavior. The basic conclusion is that the security price is not only decided by its inner factors, but also, to a large extent, affected by the behaviors of market participants. And the latter impact is essential and perennial.This paper takes the basic conclusion of the behavioral finance theories as fundamental hypothesis for returns distribution' s research and thus revises the basic hypotheses of main returns distribution models and establishes a subjective model of returns distribution. Based on the subjective model of returns distribution, the methods to analyze inner value factors and behavioral factors are proposed. With these two inter-complementary researches, this paper investigates empirically the operation features and the actual situation of China securities market under the behavioral finance theories frame. From a new point of view, reinforces the comprehension of the realistic finance markets. The concrete researches include below content.
Keywords/Search Tags:distribution of return, behavioral finance, prospect theory, fat tail, intrinsic value, decision preference, investor sentiment, bounded rational, behavior investment strategies, weekend effect
PDF Full Text Request
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