• Media type: E-Book
  • Title: What drives performance in the speculative market of short-term exchange-traded retail products?
  • Contributor: Baller, Stefanie [VerfasserIn]; Entrop, Oliver [VerfasserIn]; Schober, Alexander [VerfasserIn]; Wilkens, Marco [VerfasserIn]
  • Published: Passau: Universität Passau, Wirtschaftswissenschaftlichen Fakultät, [2017]
  • Published in: Passauer Diskussionspapiere / Betriebswirtschaftliche Reihe ; 26
  • Extent: 1 Online-Ressource (circa 59 Seiten); Illustrationen
  • Language: English
  • Identifier:
  • Origination:
  • Keywords: Graue Literatur
  • Description: This paper considers the realized returns of individual investors in warrants and leverage certificates. First, we derive a general formula that analytically decomposes the return into several economically meaningful components that are related to investor's trading behavior and the issuers' price-setting strategy. Second, we use a large trade dataset to analyze returns along these components and also link them to investors' risk taking strategy. Our main findings are threefold: (i) The overall performance is poor. (ii) Investors show neutral timing skills, while the main performance driver is the issuers' price-setting. (iii) Higher risk taking by investors diminishes the performance further. Our results imply that retail investors do not achieve a pecuniary benefit from the considered financial innovations.
  • Footnote:
  • Access State: Open Access