Privatanleger am Optionsscheinmarkt
Abstract
Although bank-issued warrants are increasingly popular, little is known about institutional details of this market and about which investors trade and how these investors trade in those securities. In this paper, we try to fill this gap. In the first part, we extensively describe institutional details of one of the biggest markets for bank-issued warrants, i.e. the German market. In the next part, we analyze warrant transaction behavior of 1.500 individual investors over a 51 month period. This unique data set consists of more than 100.000 transactions in more than 8.000 individual warrants. We show that warrant traders are younger than investors who only invest in the stock market and that they pursue a high risk investment strategy in several dimensions. Furthermore, they earn positive gross returns. However, these returns are mainly driven by investments in call warrants during the boom period until March 2000. Furthermore, we present several other stylised facts of individual warrant investor behavior that are extensively documented for stock market investors. For example, warrant traders are prone to the disposition effect.Download Info
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Bibliographic Info
Paper provided by Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim in its series Sonderforschungsbereich 504 Publications with number 06-15.Length: 46 pages
Date of creation: 20 Dec 2006
Date of revision:
Handle: RePEc:xrs:sfbmaa:06-15
Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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