Estimating heterogeneous agents behavior with different investment horizons in stock markets

by Zhenxi Chen

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.

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Year of publication:	2014
Authors:	Chen, Zhenxi
Publisher:	Kiel : Univ.
Subject:	Investment horizon \| Heterogeneous agents \| Evolutionary selection \| Behavioral finance \| Theorie \| Theory \| Anlageverhalten \| Behavioural finance \| Kapitalanlage \| Financial investment \| Aktienmarkt \| Stock market \| Portfolio-Management \| Portfolio selection \| Agentenbasierte Modellierung \| Agent-based modeling

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Extent:	Online-Ressource (30 S.) graph. Darst.
Series:	Finmap working paper. - Kiel : Univ., ZDB-ID 2785854-6. - Vol. 5
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzung: Acrobat Reader
Other identifiers:	hdl:10419/102268 [Handle]
Classification:	G12 - Asset Pricing ; C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010406880