Empirical analyses of the trading behavior of individual investors in the warrant market:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2007
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVI, 172 S. graph. Darst. |
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| adam_text | Titel: Empirical analyses of the trading behavior of individual investors in the warrant market
Autor: Schmitz, Philipp
Jahr: 2007
Contents
List of Figures vi
List of Tables ix
List of Symbols xiii
List of Abbreviations xv
1 General Introduction 1
1.1 Motivation..................................... 1
1.2 Objects under Investigation........................... 3
1.2.1 Online Broker Investors ......................... 3
1.2.2 Bank-Issued Warrants .......................... 4
1.3 Main Research Questions............................. 6
1.4 Outline of the Thesis and Main Results..................... 7
2 The Market for Bank-Issued Warrants in Germany 11
2.1 Introduction.................................... 11
2.2 Warrants vs. Options............................... 12
2.3 The German Warrant Market.......................... 14
2.3.1 Institutional Aspects of the Warrant Market in Germany....... 14
2.3.1.1 Marketplaces in Germany................... 14
2.3.1.2 Issuers and Market Makers .................. 14
2.3.2 Development of the German Warrant Market ............. 15
2.4 The German Warrant Market Compared to International Warrant Markets . 16
2.5 Conclusion..................................... 20
3 Characteristics and Behavior of Individual Warrant Investors 21
3.1 Introduction.................................... 21
3.2 Description of the Data.............................. 22
3.3 Demographics of the Warrant Investors and Determinants of their Number
of Transactions.................................. 23
3.4 Descriptive Statistics of the Trading Behavior of Individual Warrant. Investors 25
3.4.1 Transactions and Trading Volume per Account and Warrant..... 25
3.4.2 Transactions and Trading Volume Over Time ............. 28
3.4.3 Issuers................................... 31
3.4.4 Underlyings................................
3.4.5 Call and Put Warrants.......................... 34
3.4.6 Time to Maturity.............................
3.4.7 Round-Trip Trades............................ 37
3.4.8 Holding Periods.............................. 40
3.4.9 Returns.................................. 42
3.5 Conclusion..................................... 45
4 Buying and Selling Behavior of Individual Investors in Warrants 49
4.1 Introduction.................................... 49
4.2 Related Literature ................................ 50
4.2.1 Individual Investors Behavior in the Stock Market .......... 50
4.2.1.1 Trading Volume......................... 51
4.2.1.2 Returns............................. 52
4.2.1.3 Buying Behavior........................ 53
4.2.1.4 Selling Behavior........................ 54
4.2.2 Individual Investors Behavior in Derivative Markets ......... 55
4.3 Description of the Data.............................. 56
4.4 Methodology and Results............................. 00
4.4.1 Determinants of the Buying Behavior.................. 60
4.4.1.1 Call Purchases......................... 04
4.4.1.2 Put Purchases ......................... 66
4.4.1.3 Call vs. Put Purchases..................... 68
4.4.2 Determinants of the Selling Behavior.................. 71
4.4.2.1 Call Sales............................ 73
4.4.2.2 Put Sales............................ 75
4.4.2.3 Call vs. Put Sales........................ 75
4.5 Conclusion..................................... 77
5 Market and Individual Investors Reactions to Corporate News in the
Media 81
5.1 Introduction.................................... 81
5.2 Related Literature ................................ 83
5.2.1 Models Explaining Underreaction to News............... 83
5.2.2 Empirical Literature on Market Reactions to News.......... 86
5.2.2.1 Corporate News ........................ 87
5.2.2.2 Corporate News in the Media................. 88
5.2.3 Empirical Literature on Individual Investors Reactions to News ... 90
5.3 Description of the Data.............................. 91
5.4 Market Reactions to Corporate News in the Media .............. 94
5.4.1 General Results.............................. 95
5.4.1.1 Abnormal Returns....................... 97
5.4.1.2 Abnormal Volume....................... 99
5.4.2 Information Diffusion........................... 101
5.4.2.1 Multiple News Shocks..................... 101
5.4.2.2 Size............................... 104
5.4.2.3 Relative Attention....................... 104
5.4.2.4 Ad hoc announcements .................... 106
5.4.3 Multivariate Results........................... 112
5.5 Individual Investors Reactions to Corporate News in the Media....... 114
5.6 Conclusion..................................... 121
6 Warrant Investors Sentiment and Stock Returns 123
6.1 Introduction....................................123
6.2 Sentiment Measures and Related Literature ..................125
6.3 Data Set and Methodology............................131
6.4 Empirical Results.................................138
6.4.1 Mutual Influence of Sentiment and Stock Markets: VAR Regression
Results...................................138
6.4.2 Mutual Influence of Sentiment and Stock Markets: Granger-Causality
Tests....................................145
6.4.3 Discussion.................................145
6.4.4 Robustness................................149
6.5 Conclusion.....................................152
7 General Conclusion and Suggestions for Further Work 155
Bibliography 159
|
| adam_txt |
Titel: Empirical analyses of the trading behavior of individual investors in the warrant market
Autor: Schmitz, Philipp
Jahr: 2007
Contents
List of Figures vi
List of Tables ix
List of Symbols xiii
List of Abbreviations xv
1 General Introduction 1
1.1 Motivation. 1
1.2 Objects under Investigation. 3
1.2.1 Online Broker Investors . 3
1.2.2 Bank-Issued Warrants . 4
1.3 Main Research Questions. 6
1.4 Outline of the Thesis and Main Results. 7
2 The Market for Bank-Issued Warrants in Germany 11
2.1 Introduction. 11
2.2 Warrants vs. Options. 12
2.3 The German Warrant Market. 14
2.3.1 Institutional Aspects of the Warrant Market in Germany. 14
2.3.1.1 Marketplaces in Germany. 14
2.3.1.2 Issuers and Market Makers . 14
2.3.2 Development of the German Warrant Market . 15
2.4 The German Warrant Market Compared to International Warrant Markets . 16
2.5 Conclusion. 20
3 Characteristics and Behavior of Individual Warrant Investors 21
3.1 Introduction. 21
3.2 Description of the Data. 22
3.3 Demographics of the Warrant Investors and Determinants of their Number
of Transactions. 23
3.4 Descriptive Statistics of the Trading Behavior of Individual Warrant. Investors 25
3.4.1 Transactions and Trading Volume per Account and Warrant. 25
3.4.2 Transactions and Trading Volume Over Time . 28
3.4.3 Issuers. 31
3.4.4 Underlyings.
3.4.5 Call and Put Warrants. 34
3.4.6 Time to Maturity.
3.4.7 Round-Trip Trades. 37
3.4.8 Holding Periods. 40
3.4.9 Returns. 42
3.5 Conclusion. 45
4 Buying and Selling Behavior of Individual Investors in Warrants 49
4.1 Introduction. 49
4.2 Related Literature . 50
4.2.1 Individual Investors' Behavior in the Stock Market . 50
4.2.1.1 Trading Volume. 51
4.2.1.2 Returns. 52
4.2.1.3 Buying Behavior. 53
4.2.1.4 Selling Behavior. 54
4.2.2 Individual Investors' Behavior in Derivative Markets . 55
4.3 Description of the Data. 56
4.4 Methodology and Results. 00
4.4.1 Determinants of the Buying Behavior. 60
4.4.1.1 Call Purchases. 04
4.4.1.2 Put Purchases . 66
4.4.1.3 Call vs. Put Purchases. 68
4.4.2 Determinants of the Selling Behavior. 71
4.4.2.1 Call Sales. 73
4.4.2.2 Put Sales. 75
4.4.2.3 Call vs. Put Sales. 75
4.5 Conclusion. 77
5 Market and Individual Investors' Reactions to Corporate News in the
Media 81
5.1 Introduction. 81
5.2 Related Literature . 83
5.2.1 Models Explaining Underreaction to News. 83
5.2.2 Empirical Literature on Market Reactions to News. 86
5.2.2.1 Corporate News . 87
5.2.2.2 Corporate News in the Media. 88
5.2.3 Empirical Literature on Individual Investors' Reactions to News . 90
5.3 Description of the Data. 91
5.4 Market Reactions to Corporate News in the Media . 94
5.4.1 General Results. 95
5.4.1.1 Abnormal Returns. 97
5.4.1.2 Abnormal Volume. 99
5.4.2 Information Diffusion. 101
5.4.2.1 Multiple News Shocks. 101
5.4.2.2 Size. 104
5.4.2.3 Relative Attention. 104
5.4.2.4 Ad hoc announcements . 106
5.4.3 Multivariate Results. 112
5.5 Individual Investors' Reactions to Corporate News in the Media. 114
5.6 Conclusion. 121
6 Warrant Investors' Sentiment and Stock Returns 123
6.1 Introduction.123
6.2 Sentiment Measures and Related Literature .125
6.3 Data Set and Methodology.131
6.4 Empirical Results.138
6.4.1 Mutual Influence of Sentiment and Stock Markets: VAR Regression
Results.138
6.4.2 Mutual Influence of Sentiment and Stock Markets: Granger-Causality
Tests.145
6.4.3 Discussion.145
6.4.4 Robustness.149
6.5 Conclusion.152
7 General Conclusion and Suggestions for Further Work 155
Bibliography 159 |
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| spelling | Schmitz, Philipp 1977- Verfasser (DE-588)133180727 aut Empirical analyses of the trading behavior of individual investors in the warrant market Philipp Schmitz 2007 XVI, 172 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mannheim, Univ., Diss., 2007 Investments Stock warrants Anlageverhalten (DE-588)4214003-1 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Optionsschein (DE-588)4172658-3 gnd rswk-swf Privater Anleger (DE-588)4389910-9 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4113937-9 Hochschulschrift gnd-content Kapitalmarkt (DE-588)4029578-3 s Optionsschein (DE-588)4172658-3 s Privater Anleger (DE-588)4389910-9 s Anlageverhalten (DE-588)4214003-1 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016264627&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schmitz, Philipp 1977- Empirical analyses of the trading behavior of individual investors in the warrant market Investments Stock warrants Anlageverhalten (DE-588)4214003-1 gnd Kapitalmarkt (DE-588)4029578-3 gnd Optionsschein (DE-588)4172658-3 gnd Privater Anleger (DE-588)4389910-9 gnd |
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| title | Empirical analyses of the trading behavior of individual investors in the warrant market |
| title_auth | Empirical analyses of the trading behavior of individual investors in the warrant market |
| title_exact_search | Empirical analyses of the trading behavior of individual investors in the warrant market |
| title_exact_search_txtP | Empirical analyses of the trading behavior of individual investors in the warrant market |
| title_full | Empirical analyses of the trading behavior of individual investors in the warrant market Philipp Schmitz |
| title_fullStr | Empirical analyses of the trading behavior of individual investors in the warrant market Philipp Schmitz |
| title_full_unstemmed | Empirical analyses of the trading behavior of individual investors in the warrant market Philipp Schmitz |
| title_short | Empirical analyses of the trading behavior of individual investors in the warrant market |
| title_sort | empirical analyses of the trading behavior of individual investors in the warrant market |
| topic | Investments Stock warrants Anlageverhalten (DE-588)4214003-1 gnd Kapitalmarkt (DE-588)4029578-3 gnd Optionsschein (DE-588)4172658-3 gnd Privater Anleger (DE-588)4389910-9 gnd |
| topic_facet | Investments Stock warrants Anlageverhalten Kapitalmarkt Optionsschein Privater Anleger Aufsatzsammlung Hochschulschrift |
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