Baller, Stefanie
[VerfasserIn]
;
Entrop, Oliver
[Sonstige Person, Familie und Körperschaft];
Schober, Alexander
[Sonstige Person, Familie und Körperschaft];
Wilkens, Marco
[Sonstige Person, Familie und Körperschaft]
What drives Performance in the Speculative Market of Short-term Exchange-traded Retail Products?
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 2016 erstellt
Beschreibung:
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