IDEAS home Printed from https://ideas.repec.org/p/xrs/sfbmaa/06-15.html
   My bibliography  Save this paper

Privatanleger am Optionsscheinmarkt

Author

Listed:
  • Glaser, Markus

    (Sonderforschungsbereich 504)

  • Schmitz, Philipp

    (Lehrstuhl für ABWL, Finanzwirtschaft, insb. Bankbetriebslehre)

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.

Suggested Citation

  • Glaser, Markus & Schmitz, Philipp, 2006. "Privatanleger am Optionsscheinmarkt," Sonderforschungsbereich 504 Publications 06-15, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    • Handle: RePEc:xrs:sfbmaa:06-15
    Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:xrs:sfbmaa:06-15. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Carsten Schmidt (email available below). General contact details of provider: https://edirc.repec.org/data/sfmande.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.