DocumentCode
2178492
Title
Covariance Adjusting and Asset Pricing: Under Investor Overconfidence
Author
Tang, Xianyong ; Wang, Yonghai
Author_Institution
Sch. of Economic & Manage., WuHan Univ., Wuhan, China
fYear
2009
fDate
20-22 Sept. 2009
Firstpage
1
Lastpage
4
Abstract
This paper introduces a method to model asset price. The covariance would be adjusted in light of overconfidence, which make asset prices reflect both rational covariance risk and whole components arising from mispricing. The models imply, for same quantity, the price variation about positive signals is more drastic than that on the negative.
Keywords
covariance matrices; investment; pricing; risk analysis; asset pricing; covariance matrix; investor overconfidence; price variation; rational covariance risk; Asset management; Autocorrelation; Covariance matrix; Economic forecasting; Educational institutions; Information security; National security; Portfolios; Pricing; Psychology;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-4638-4
Electronic_ISBN
978-1-4244-4639-1
Type
conf
DOI
10.1109/ICMSS.2009.5304949
Filename
5304949
Link To Document