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Derivative Choices of Retail Investors : Evidence from Germany
Nicolaus, David - 2010
During the last few years, retail derivative markets have observed a strong growth in a number of financial retail markets around the world. Using a unique data set, we confront in this paper several lines of arguments that have been provided to explain the observed popularity of the instrument...
Persistent link: https://www.econbiz.de/10013135620
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Derivatives Traders’ Reaction to Mispricing in the Underlying Equity
Hayunga, Darren K. - 2012
This article examines trading behavior in the options market conditioned on mispricing in the underlying stock. We investigate the price equilibrium between the observed equity asset and the options-implied synthetic share as well as the relative divergence between the two prices. We find a...
Persistent link: https://www.econbiz.de/10013116041
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The Role of Financial Investors in Determining the Commodity Futures Risk Premium
Isleimeyyeh, Mohammad - 2020
clarify the debate about the effect of financialization on commodity markets. Theoretically, the futures risk premium is … market on the energy market became significantly greater for the futures risk premium in the period following the 2008 crisis …. Furthermore, hedging pressure is a strong explanatory variable for the futures risk premium in various circumstances …
Persistent link: https://www.econbiz.de/10012851801
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Spanning Tests for Assets with Option-Like Payoffs : The Case of Hedge Funds
Karehnke, Paul - 2020
We draw on the skewness literature to propose regression-based performance evaluation tests designed for investments with option-like returns. These tests deliver conclusions valid for all risk-averse mean-variance-skewness investors and can better account for non-linearities in returns than...
Persistent link: https://www.econbiz.de/10012855976
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A Novel Derivation and Interpretation of the Kelly Criterion
Kull, Andreas - 2021
This paper discusses multi-period investment processes under parameter uncer- tainty and criteria to maximize exponential growth. Applying an information- theoretical argument, we find, for a Bernoulli process, the least biased investment strategy consistent with an expected exponential growth...
Persistent link: https://www.econbiz.de/10013238253
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Hedging with Bitcoin Futures : The Effect of Liquidation Loss Aversion and Aggressive Trading
Alexander, Carol; Deng, Jun; Zou, Bin - 2021
We consider the hedging problem where a futures position can be automatically liquidated by theexchange without notice … statistical characteristics of the spot and futures extreme returns and parameters that characterise the hedger by loss aversion …
Persistent link: https://www.econbiz.de/10013250825
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Do Investors Really Need Complex Derivative Strategies? Evidence from Hedge Funds and Funds of Hedge Funds
Peltomaki, Jarkko - 2010
This study investigates the benefits of using a more complex derivative strategy of a fund in relation to their performance and risk characteristics using samples of 3,382 individual hedge funds and 761 funds of hedge funds. The results of the study are consistent with the hypothesis that the...
Persistent link: https://www.econbiz.de/10012715450
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What drives performance in the speculative market of short-term exchange-traded retail products?
Baller, Stefanie; Entrop, Oliver; Schober, Alexander; … - 2017
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'...
Persistent link: https://www.econbiz.de/10011849248
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Sentimental recovery
Pazarbasi, Altan; Schneider, Paul; Vilkov, Grigory - 2019 - This version: November 29, 2019
We investigate the market-compatible degree of agent heterogeneity by identifying and analyzing the full range of conditional beliefs consistent with observed asset prices and good-deal bounds. Our methodology neither makes assumptions on underlying processes nor does it use survey data. It can...
Persistent link: https://www.econbiz.de/10012134438
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Testing momentum effectfor the US market : from equity to option strategies
Siri, Julián R.; Serur, Juan A.; Dapena, José P. - 2017
Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be appropriately rewarded by expected returns. In modern financial markets, there are countless quantitative and systematic strategies which may test and eventually lead to excess returns when...
Persistent link: https://www.econbiz.de/10011757486