投资业绩衡量标准重要吗？监管重点理论的视角

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE Journal of Behavioral and Experimental Finance Pub Date : 2024-03-01 DOI:10.1016/j.jbef.2024.100898

Alfred Ma , Tse-Mei Shu , Jieyu Chen , Man Foon Chau

{"title":"投资业绩衡量标准重要吗？监管重点理论的视角","authors":"Alfred Ma , Tse-Mei Shu , Jieyu Chen , Man Foon Chau","doi":"10.1016/j.jbef.2024.100898","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":"41 ","pages":"Article 100898"},"PeriodicalIF":4.3000,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Does the investment performance measure matter? A perspective from regulatory focus theory\",\"authors\":\"Alfred Ma , Tse-Mei Shu , Jieyu Chen , Man Foon Chau\",\"doi\":\"10.1016/j.jbef.2024.100898\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":47026,\"journal\":{\"name\":\"Journal of Behavioral and Experimental Finance\",\"volume\":\"41 \",\"pages\":\"Article 100898\"},\"PeriodicalIF\":4.3000,\"publicationDate\":\"2024-03-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Behavioral and Experimental Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2214635024000133\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Behavioral and Experimental Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2214635024000133","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

一项以样本（N = 213，49.8% 为男性，18 岁或以上）为对象的实验研究表明，基于缩水天数的投资绩效衡量标准能够捕捉到投资者的偏好，而其他侧重于风险调整收益的投资衡量标准（如夏普比率）则无法捕捉到投资者的偏好。根据这一结果，预防型投资者比促销型投资者对缩水天数更敏感，也更容易受到缩水天数的影响。基于缩水持续时间的绩效衡量方法可作为传统绩效衡量方法的补充，以捕捉投资者的偏好。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

Does the investment performance measure matter? A perspective from regulatory focus theory

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Behavioral and Experimental Finance BUSINESS, FINANCE-

CiteScore

13.20

自引率

6.10%

发文量

审稿时长

69 days

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.