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Retail investor information demand – speculating and investing in structured products

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  • Sebastian Schroff
  • Stephan Meyer
  • Hans-Peter Burghof

Abstract

We study the impact of retail investor information demand on trading in bank-issued investment and leverage structured products, which are specifically designed for retail investors. Stock-specific information demand positively predicts speculative trading activity. Furthermore, we find a positive relationship between market-wide information demand and order aggressiveness and order uncertainty for speculating and investing activity. Whereas information supply is associated with speculative long positions, information demand does not induce investors to be predominantly long or short. Finally, we do not find retail investor information demand to contribute to an upward price pressure on security prices. In contrast, information supply exerts negative price pressure. Overall, retail investor trading in individual stocks is much more strongly influenced by market-wide information demand instead of firm-specific information demand. This implies a low informational efficiency of retail investor speculation and investing activity.

Suggested Citation

  • Sebastian Schroff & Stephan Meyer & Hans-Peter Burghof, 2016. "Retail investor information demand – speculating and investing in structured products," The European Journal of Finance, Taylor & Francis Journals, vol. 22(11), pages 1063-1085, September.
    • Handle: RePEc:taf:eurjfi:v:22:y:2016:i:11:p:1063-1085
    DOI: 10.1080/1351847X.2015.1020392
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    Cited by:

    1. Chu, Gang & Dowling, Michael & Shen, Dehua & Zhang, Yongjie, 2023. "Information demand density matters: Evidence from the post-earnings announcement drift," International Review of Financial Analysis, Elsevier, vol. 86(C).
    2. Gang Chu & Xiao Li & Dehua Shen & Yongjie Zhang, 2021. "Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 397-427, September.

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