A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction

DOI10.1016/j.ejor.2009.07.005zbMath1176.91163MaRDI QIDQ1043346

Wing-Keung Wong, Kin-Tak Lam, Taisheng Liu

Publication date: 7 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.07.005

zbMATH Keywords

stock price; Bayesian model; stock return; overreaction; underreaction; representative and conservative heuristics

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91B84: Economic time series analysis

91G50: Corporate finance (dividends, real options, etc.)