Investor heuristics measurement and return predictability - a behavioural finance study
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/122620 |
Resumo: | This paper presents literature-based investor heuristic measurement variables to explain and predict excess returns in the U.S market. These variables are part of a behavioural model that aims to measure the anchoring, availability, confirmation, overconfidence, and representativeness heuristics. Empirical evidence, based on the NASDAQ100 index, suggests that the behavioural model is able to explain excess returns and that it can be incorporated in the Fama-French Three-Factor Model (hybrid model)to enhance the traditional models’ explanatory capabilities of regular stock returns. Lastly ,this paper presents several in-and out-of-sample forecasts that support the return predictability of the behavioural and hybrid models. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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7160 |
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Investor heuristics measurement and return predictability - a behavioural finance studyBehavioural financeAnchoring biasAvailability biasConfirmation biasOverconfidence biasRepresentativeness biasHeuristics measurementReturn predictabilityDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper presents literature-based investor heuristic measurement variables to explain and predict excess returns in the U.S market. These variables are part of a behavioural model that aims to measure the anchoring, availability, confirmation, overconfidence, and representativeness heuristics. Empirical evidence, based on the NASDAQ100 index, suggests that the behavioural model is able to explain excess returns and that it can be incorporated in the Fama-French Three-Factor Model (hybrid model)to enhance the traditional models’ explanatory capabilities of regular stock returns. Lastly ,this paper presents several in-and out-of-sample forecasts that support the return predictability of the behavioural and hybrid models.Ribeiro, Gonçalo SommerRUNZeferino, Fábio Rafael Morais2021-08-17T14:30:09Z2021-01-122021-012021-01-12T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/122620TID:202740960enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:04:12Zoai:run.unl.pt:10362/122620Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:44:48.753119Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Investor heuristics measurement and return predictability - a behavioural finance study |
title |
Investor heuristics measurement and return predictability - a behavioural finance study |
spellingShingle |
Investor heuristics measurement and return predictability - a behavioural finance study Zeferino, Fábio Rafael Morais Behavioural finance Anchoring bias Availability bias Confirmation bias Overconfidence bias Representativeness bias Heuristics measurement Return predictability Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Investor heuristics measurement and return predictability - a behavioural finance study |
title_full |
Investor heuristics measurement and return predictability - a behavioural finance study |
title_fullStr |
Investor heuristics measurement and return predictability - a behavioural finance study |
title_full_unstemmed |
Investor heuristics measurement and return predictability - a behavioural finance study |
title_sort |
Investor heuristics measurement and return predictability - a behavioural finance study |
author |
Zeferino, Fábio Rafael Morais |
author_facet |
Zeferino, Fábio Rafael Morais |
author_role |
author |
dc.contributor.none.fl_str_mv |
Ribeiro, Gonçalo Sommer RUN |
dc.contributor.author.fl_str_mv |
Zeferino, Fábio Rafael Morais |
dc.subject.por.fl_str_mv |
Behavioural finance Anchoring bias Availability bias Confirmation bias Overconfidence bias Representativeness bias Heuristics measurement Return predictability Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Behavioural finance Anchoring bias Availability bias Confirmation bias Overconfidence bias Representativeness bias Heuristics measurement Return predictability Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
This paper presents literature-based investor heuristic measurement variables to explain and predict excess returns in the U.S market. These variables are part of a behavioural model that aims to measure the anchoring, availability, confirmation, overconfidence, and representativeness heuristics. Empirical evidence, based on the NASDAQ100 index, suggests that the behavioural model is able to explain excess returns and that it can be incorporated in the Fama-French Three-Factor Model (hybrid model)to enhance the traditional models’ explanatory capabilities of regular stock returns. Lastly ,this paper presents several in-and out-of-sample forecasts that support the return predictability of the behavioural and hybrid models. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-08-17T14:30:09Z 2021-01-12 2021-01 2021-01-12T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/122620 TID:202740960 |
url |
http://hdl.handle.net/10362/122620 |
identifier_str_mv |
TID:202740960 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
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1799138055054950401 |