کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
883461 1471641 2016 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Past returns and the perceived Sharpe ratio
ترجمه فارسی عنوان
بازده گذشته و نسبت شارپ درک شده
کلمات کلیدی
بازده مورد انتظار؛ ریسک درک شده؛ نسبت شارپ درک شده؛ کارایی بازار؛ پیاده روی تصادفی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• Human perception contradicts the assertions that high return is accompanied by high risk.
• Realized returns are positively correlated with perceived returns.
• Realized returns are negatively correlated with perceived risk.
• Higher perceived Sharpe ratios are also followed by more actual stock buying.

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Behavior & Organization - Volume 123, March 2016, Pages 149–167
نویسندگان
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