There is extensive evidence indicating a negative risk–return relation when a firm’s performance is measured based on accounting measures, such as its Return on Assets (ROA) and Return on Equity (ROE). Previous studies show that the risk-return paradox can be explained by the prospect theory, which predicts that managers’ risk attitudes are different for firms with differing performance. This study will test whether there is a risk-return paradox in the context of Indonesian companies. This study uses ROA and its standard deviation to define return and risk. Industry level and market level median ROA are used as reference points. Three control variables (firm size, leverage as a proxy of firm risk, and company age) are included in the model to increase the robustness of this research. A new sample of nine industries (about 488 firms) over a 10-year period (2008-2017) provides strong evidence that the risk-return paradox exists in Indonesia. In particular, firms which are below their target level are found to be risk takers (Hl) while organizations above their target level are risk averse (H2); moreover, the below-target slope was generally steeper than the above-target slope (H3). These results support the basic propositions of the prospect theory.

中文翻译：

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鲍曼悖论：基于前景理论的风险收益关系（印度尼西亚的一些最新证据）

有大量证据表明，在根据会计指标（例如资产回报率（ROA）和股本回报率（ROE））来衡量公司的绩效时，风险与收益之间存在负相关关系。先前的研究表明，风险-收益悖论可以用前景理论来解释，该理论预测，对于绩效不同的企业，经理的风险态度也不同。这项研究将测试在印尼公司的背景下是否存在风险回报悖论。这项研究使用ROA及其标准差来定义回报和风险。行业水平和市场水平的ROA中位数用作参考点。模型中包含三个控制变量（公司规模，作为公司风险代理的杠杆作用和公司年龄），以提高这项研究的稳健性。在十年（2008-2017年）内，对九个行业（约488家企业）的新样本提供了有力的证据，表明印尼存在风险回报悖论。特别是，低于目标水平的公司被认为是冒险者（H1），而高于目标水平的组织则被认为是风险厌恶者（H2）。此外，低于目标的斜率通常比高于目标的斜率（H3）陡。这些结果支持了前景理论的基本命题。