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Doctoral Thesis
DOI
10.11606/T.3.2017.tde-05042017-143441
Document
Author
Full name
Renato Aparecido Aguiar
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2007
Supervisor
Committee
Sales, Roberto Moura (President)
Costa, Oswaldo Luiz do Valle
Kimura, Herbert
Sousa, Lucy Aparecida de
Yoneyama, Takashi
Title in Portuguese
Um modelo fuzzy comportamental para análise de sobre-reação e sub-reação no mercado de ações.
Keywords in Portuguese
Ações
Lógica Fuzzy (Aplicações)
Mercado financeiro
Abstract in Portuguese
Neste trabalho é proposto um novo modelo para análise empírica de sobre-reação e sub-reação no mercado de ações. O modelo proposto é baseado em uma técnica de classificação de padrão fuzzy, que permite estabelecer uma relação com as heurísticas de representatividade e ancoramento, oriundas da teoria de finanças comportamentais. O modelo é usado para classificar ações com base nos índices financeiros de companhias abertas. Resultados numéricos ilustram o procedimento de análise para ações do setor de petróleo/petroquímica e do setor têxtil do mercado brasileiro, com indicadores financeiros relativos ao período de 1994 a 2005.
Title in English
Sem título
Keywords in English
Behavioral finance
Fuzzy sets
Overreaction
Stocks classification
Underreaction
Abstract in English
In this work a new model for empirical analysis of stock market overreaction and underreaction is proposed. Such model is based on a fuzzy pattern classification technique, which is strongly connected to the representativeness and anchoring heuristics from behavioral finance. The proposed model is used for stock classification by exploring financial ratios of public companies. Numerical results illustrate the analysis procedure in the cases of the petroleum/petrochemical and textile stocks from the Brazilian market, with financial ratios ranging from 1994 to 2005.
 
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Publishing Date
2017-04-05
 
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