Arbeitspapier
Estimating heterogeneous agents behavior with different investment horizons in stock markets
In addition to the traditional agent types of fundamentalists and chartists, a new dimension of investment horizon is included in evaluating historical performance of strategies. Based on the three stock markets of Japan, Hong Kong and Germany, it is found that investors with different investment horizons exist in al the markets. Regressions based on all the investment horizons produce better fitted results. Different markets can be characterized by different agents and different investment horizons. Ignorance of the heterogeneity of investment horizon may generate biased results due to the concern of omitting variables.
- Sprache
-
Englisch
- Erschienen in
-
Series: FinMaP-Working Paper ; No. 5
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
Investment horizon
Heterogeneous agents
Evolutionary selection
Behavioral finance
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chen, Zhenxi
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
- (wo)
-
Kiel
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chen, Zhenxi
- Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
Entstanden
- 2014
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