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

Author

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

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.

Suggested Citation

  • Ma, Alfred & Shu, Tse-Mei & Chen, Jieyu & Chau, Man Foon, 2024. "Does the investment performance measure matter? A perspective from regulatory focus theory," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
    • Handle: RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000133
    DOI: 10.1016/j.jbef.2024.100898
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