Title :
Covariance Adjusting and Asset Pricing: Under Investor Overconfidence
Author :
Tang, Xianyong ; Wang, Yonghai
Author_Institution :
Sch. of Economic & Manage., WuHan Univ., Wuhan, China
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;
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
DOI :
10.1109/ICMSS.2009.5304949
