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

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

Journal of Behavioral and Experimental Finance, 2024, vol. 41, issue C

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.

Keywords: Regulatory focus theory; Investment performance measures; Sharpe ratio (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000133

DOI: 10.1016/j.jbef.2024.100898

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