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  • 标题:The Demand Function for Bank-Issued Warrants
  • 本地全文:下载
  • 作者:Rainer Baule ; Philip Blonski
  • 期刊名称:Applied Finance Letters
  • 印刷版ISSN:2253-5799
  • 电子版ISSN:2253-5802
  • 出版年度:2015
  • 卷号:4
  • 期号:1and2
  • 页码:12-19
  • DOI:10.24135/afl.v4i1and2.28
  • 出版社:Tuwhera Open Access Publisher
  • 摘要:Bank-issued warrants are securitized options which are particularly designed to give smaller individual investors the opportunity to participate in the derivative markets. As banks incorporate potentially different margins on top of the theoretical fair values of the products, investors face the problem of choosing an optimal product. While previous literature has characterized individual investors as “noise traders”, this paper finds that they do act pricesensitively. In particular, we provide evidence that demand decreases with increasing margins, but also show that larger investors still realize lower margins than smaller investors.
  • 关键词:bank-issued options; price sensitivity; retail derivatives; retail investors; warrants
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