Topic:A Quantitative Behavioral Model and Its Implications for Market Volatility, Underreaction, and verreaction
Presenter：Kin Lam，Department of Finance & Decision Sciences, Hong Kong Baptist University
Time: January 9, 2009（Friday）3：00—4：30 PM
Venue: Room 501, Jiageng Bld 2
Chair： Zhe Shen, assistant professor in finance, IFAS
Abstract：
This paper develops a model of weight assignments using a pseudo-Bayesian approach that reflects investors!ˉ behavioral biases. In this parsimonious model of investor sentiment, weights induced by investors!ˉ conservative and representative heuristics are assigned to observations of the earning shocks of stock prices. Such weight ssignments enable us to provide a quantitative link between some market anomalies and investors!ˉ behavioral biases. The seriousness of an anomaly can be quantitatively assessed by investigating into its dependency on weights. New results other than the short- run overreaction and long-run overreaction can be derived and new hypotheses can be formed.
Presenter Introduction：
LAM, Kin is a Chair Professor from Department of Finance & Decision Sciences of Hong Kong Baptist University. He got his BA in HKU, and PhD in Wisconsin-Madison. His Research Interests are Investment Theory and Portfolio Management, Modelling of Price Movements in Financial Market, Financial Derivatives and Risk Management and Applied Statistics and Probability.
Download：paper.pdf