Three essays on individual investors' and issuers' behavior in the market for speculative exchange-traded retail products:
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
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Passau
2016
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| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 182 Seiten Diagramme |
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Datensatz im Suchindex
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| adam_text | Titel: Three essays on individual investors and issuers behavior in the market for speculative exchange-t
Autor: Baller, Stefanie
Jahr: 2016
Table of Contents
Page
Einleitung 4
Market Makers Optimal Price-Setting Policy for Exchange-Traded Certificates
1 Introduction.......................................19
2 Market Design and Model..............................................................23
2.1 Market Design..................................................................23
2.2 General Model Setup............................................................25
2.3 Model Solution..................................................................29
2.3.1 Special Case 1: Holding until Maturity............................29
2.3.2 Special Case 2: Selling back at the next Point in Time ..........30
2.3.3 General Case..........................................................35
2.3.4 Summary and Hypotheses ..........................................36
3 Empirical Analysis......................................................................37
3.1 Leverage Certificates............................................................37
3.2 Dataset and Valuation..........................................................39
3.2.1 Dataset................................................................39
3.2.2 Valuation..............................................................43
3.3 Regression Analysis Design....................................................46
3.4 Regression Results..............................................................52
4 Conclusion ..............................................................................57
Appendix A Optimal Spread in Special Case 2............................................61
Appendix B Special Case 1: Holding until Maturity ......................................62
Appendix C Special Case 2: Selling back at the next Point in Time......................63
Appendix D General Case....................................................................64
References..................................................................................66
Tables........................................................................................71
Figures ..............................................................................77
What drives Performance in the Speculative Market of Short-Term Exchange-
Traded Retail Products?
1 Introduction..............................................................................83
2 Product Design, Return and Risk Measures..........................................88
2.1 Product Design..................................................................88
2.2 Return Measures................................................................90
2.3 Decomposing the Return ......................................................91
2.4 Exposures and Sensitivities....................................................95
2.5 Valuation........................................................................96
3 Dataset..................................................................................97
3.1 General Trade Characteristics..................................................97
3.2 Investors Characteristics......................................................99
4 Empirical Findings...................................101
4.1 Analysis of the Return.............................101
4.1.1 Overall Investors Performance...................101
4.1.2 Decomposing Investors Performance................102
4.1.3 Fair Value Component and Market Timing............105
4.2 Analysis of Risk Taking............................108
4.2.1 Risk Taking: DAX and Volatility Exposure............108
4.2.2 Investors Characteristics and Risk Taking............109
4.2.3 Investors Performance and Risk Taking..............110
4.3 Multivariate Analysis .............................113
5 Conclusion .......................................115
Appendix A Decomposing the Returns: General Case ..................117
Appendix B Sensitivities...................................118
References...........................................120
Figures ............................................123
Tables.............................................125
Risk Taking in the Market of Speculative Exchange-Traded Retail Products:
Do Socio-Economic Factors matter?
1 Introduction.......................................137
2 Product Design, Risk Taking and Measuring Performance.............140
2.1 Market and Products .............................140
2.2 Measuring Risk Taking ............................142
2.3 Measuring Performance............................144
2.4 Valuation....................................145
3 Dataset.........................................146
3.1 Trade Data...................................146
3.2 Investor Data..................................148
4 Empirical Analysis...................................151
4.1 Risk Taking...................................151
4.1.1 Analysis Design...........................151
4.1.2 Univariate Results..........................154
4.1.3 Risk Taking and Socio-Economic Variables............156
4.1.4 Risk Taking and Trading Environment ..............158
4.2 Risk Taking Persistence................................160
4.3 Risk Taking and Performance.........................162
5 Conclusion .......................................166
References...........................................168
Figures ............................................170
Tables............................................175
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| spelling | Baller, Stefanie Verfasser aut Three essays on individual investors' and issuers' behavior in the market for speculative exchange-traded retail products vorgelegt von Stefanie Baller Passau 2016 182 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Dissertation Universität Passau 2016 Markt (DE-588)4037621-7 gnd rswk-swf Strukturiertes Finanzprodukt (DE-588)4656104-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Strukturiertes Finanzprodukt (DE-588)4656104-3 s Markt (DE-588)4037621-7 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029430321&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Baller, Stefanie Three essays on individual investors' and issuers' behavior in the market for speculative exchange-traded retail products Markt (DE-588)4037621-7 gnd Strukturiertes Finanzprodukt (DE-588)4656104-3 gnd |
| subject_GND | (DE-588)4037621-7 (DE-588)4656104-3 (DE-588)4113937-9 |
| title | Three essays on individual investors' and issuers' behavior in the market for speculative exchange-traded retail products |
| title_auth | Three essays on individual investors' and issuers' behavior in the market for speculative exchange-traded retail products |
| title_exact_search | Three essays on individual investors' and issuers' behavior in the market for speculative exchange-traded retail products |
| title_full | Three essays on individual investors' and issuers' behavior in the market for speculative exchange-traded retail products vorgelegt von Stefanie Baller |
| title_fullStr | Three essays on individual investors' and issuers' behavior in the market for speculative exchange-traded retail products vorgelegt von Stefanie Baller |
| title_full_unstemmed | Three essays on individual investors' and issuers' behavior in the market for speculative exchange-traded retail products vorgelegt von Stefanie Baller |
| title_short | Three essays on individual investors' and issuers' behavior in the market for speculative exchange-traded retail products |
| title_sort | three essays on individual investors and issuers behavior in the market for speculative exchange traded retail products |
| topic | Markt (DE-588)4037621-7 gnd Strukturiertes Finanzprodukt (DE-588)4656104-3 gnd |
| topic_facet | Markt Strukturiertes Finanzprodukt Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029430321&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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