Alfred Ma , Tse-Mei Shu , Jieyu Chen , Man Foon Chau
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引用次数: 0
Abstract
An experimental study with a sample (N = 213, 49.8% male, 18-year-old or above) indicates that investment performance measures based on drawdown duration can capture investors’ preference when other investment measures focusing on risk-adjusted returns such as the Sharpe ratio fail to. Based on the result, the prevention-focused investors are found to be more sensitive to, and easily affected by the number of drawdown days than the promotion-focused investors. Performance measures based on drawdown duration can supplement traditional performance measures to capture investors’ preference.
期刊介绍：
Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments.
Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.
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