PERFORMANCE MEASUREMENT OF INVESTMENT COMPANIES WITH LOSS AVERSION IN TEHRAN STOCK EXCHANGE

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Abstract

This study measures the portfolio performance of listed investment companies in Tehran Stock Exchange (TSE) based on prospect theory. The criterion is measured by the ratio of gain to loss, to reflect risk-aversion in gains and risk-seeking in losses. The sample consists of 15 listed investment companies registered in TSE during 2003-2013. Research variables consist of portfolio return, market return, risk-free return, systematic risk, Treynor and Loss Aversion index. Hypotheses have been tested with Spearman correlation coefficient. The results show that Loss Aversion can be used as a new index for measuring portfolio performance.

Keywords: Investment Companies, Performance Measurement, Prospect Theory, Loss Aversion

How to cite this paper: Shams, S., Rezvani, F. (2015). Performance measurement of investment companies with loss aversion in Tehran Stock Exchange. Risk governance & control: Financial markets & institutions, 5(3), 81-87. https://doi.org/10.22495/rgcv5i3art7