In this research, we employ Agent-Based Modeling to analyze how asset prices are affected by investors’ Behavior. We construct a virtual financial markets that contains several types of investors: fundamentalists and non-fudamentalists. In this analysis, we place focus on the influence of overconfident investors on financial markets. As a result of intensive analysis, we find that overconfident...

This paper provides an empirical analysis of the trading behavior and the impact of new investors on the bubble surrounding the Baosteel call warrant, the first derivative traded in China after a nine-year suspension. First, we find that the new investors initiated the bubble. Second, echoing common wisdom, we empirically show that the continuous entries of new investors sustained the bubble. T...

Many institutional and individual investors have an asset allocation policy that calls for investing a specified percentage of the total value of a portfolio in each of several asset classes. To conform with such a policy as market values change requires selling assets that performed relatively well and buying those that performed relatively poorly. Such a strategy is clearly contrarian and can...

This study empirically investigates the relationship between the timeliness of the financial reporting and the corporate governance proxies for companies listed on the Tunisian stock exchange during 2009.It investigates the role of the corporate governance mechanisms on the timeliness of corporate financial reporting besides; it investigates the relationship between the company size, leverage, ...

Is it possible to obtain an objective and quantifiable measure of risk backed up by choices made by some specific groups of rational investors? To answer this question, in this paper we establish some behavior foundations for various types of VaR models, including VaR and conditional-VaR, as measures of downside risk. Though supported to some extent with unanimous choices by some specific group...

This paper presents an equilibrium model of the term structure of interest rates when investors have heterogeneous preferences. The basic model considers a pure exchange economy of two classes of investors with different (but constant) relative risk-aversion and gives closed-form solutions to bond prices. We sue the model to examine the effect of preference heterogeneity on the behavior of bond...