Estimating heterogeneous agents behavior with different investment horizons in stock markets

Zhenxi Chen

No 5, FinMaP-Working Papers from Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents

Abstract: In addition to the traditional agent types of fundamentalists and chartists, a new dimension of investment horizon is included in evaluating historical performance of strategies. Based on the three stock markets of Japan, Hong Kong and Germany, it is found that investors with different investment horizons exist in al the markets. Regressions based on all the investment horizons produce better fitted results. Different markets can be characterized by different agents and different investment horizons. Ignorance of the heterogeneity of investment horizon may generate biased results due to the concern of omitting variables.

Keywords: Investment horizon; Heterogeneous agents; Evolutionary selection; Behavioral finance (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:fmpwps:5

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