Past returns and the perceived Sharpe ratio
| Autor: | Haim Levy, Chris Veld, Yulia V. Veld-Merkoulova, Guy Kaplanski |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Organizational Behavior and Human Resource Management
Economics and Econometrics 050208 finance media_common.quotation_subject Sharpe ratio 05 social sciences Market efficiency Risk perception Perception 0502 economics and business Value (economics) Econometrics Economics Expected return Portfolio 050207 economics psychological phenomena and processes media_common |
| Zdroj: | Journal of Economic Behavior & Organization. 123:149-167 |
| ISSN: | 0167-2681 |
| Popis: | We find that human perception contradicts the market efficiency assertions that high expected returns are accompanied by high risk and that past returns are not correlated with future returns. A survey of investors reveals that the last month realized returns are positively correlated with next month perceived returns and that they are negatively correlated with perceived risk. Neither expected return nor perceived risk captures the entire effect. Thus, in the human mind the “perceived Sharpe ratio” is positively correlated with short-term past returns. The effect does not depend on gender, education, income, and portfolio value, but it is more profound among older investors. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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