Avoiding regret in an agent-based asset pricing model

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Title: Avoiding regret in an agent-based asset pricing model
Author(s): Pruna, RT
Polukarov, M
Jennings, NR
Item Type: Journal Article
Abstract: We use an agent-based asset pricing model to test the implications of the disposition effect (avoiding regret) on investors' interactions and price settings. We show that it has a direct impact on the returns series produced by the model, altering important stylized facts such as its heavy tails and volatility clustering. Moreover, we show that the horizon over which investors compute their wealth has no effect on the dynamics produced by the model.
Publication Date: 28-Sep-2017
Date of Acceptance: 22-Sep-2017
URI: http://hdl.handle.net/10044/1/54644
DOI: https://dx.doi.org/10.1016/j.frl.2017.09.014
ISSN: 1544-6123
Publisher: Elsevier
Start Page: 273
End Page: 277
Journal / Book Title: Finance Research Letters
Volume: 24
Copyright Statement: © 2017, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Keywords: 1502 Banking, Finance And Investment
Publication Status: Published
Appears in Collections:Faculty of Engineering
Faculty of Natural Sciences

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