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  1. The price effects of innovative security design
    Autor*in: Célérier, Claire; Liao, Gordon; Vallée, Boris
    Erschienen: [2021]
    Verlag:  [University of Toronto - Rotman School of Management], [Toronto]

    This paper investigates the effects of the issuance of retail products with non-linear payoffs on option prices. For a given underlying asset, when the outstanding volume of products embedding a short-put position increases, implied volatility at the... mehr

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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    This paper investigates the effects of the issuance of retail products with non-linear payoffs on option prices. For a given underlying asset, when the outstanding volume of products embedding a short-put position increases, implied volatility at the corresponding strike decreases. A similar pattern exists for the dividend term structure: larger outstanding volumes of retail structured products are associated with a flattened dividend term structured. A simple trading strategy exploiting this pattern leads to a Sharpe ratio above 2. These results are consistent with the existence of segmented markets and speak to the equilibrium effects of the retail demand for innovative securities

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: [Rotman School of Management working paper ; no. 3881268]
    Schlagworte: Security Design; Volatility; Dividend; Options; Structured Products; Market Segmentation
    Umfang: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  2. Dynamic asset-backed security design
    Autor*in: Ozdenoren, Emre; Yuan, Kathy; Zhang, Shengxing
    Erschienen: May 2022
    Verlag:  [LSE Financial Markets Group], [London]

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Discussion paper / [Financial Markets Group] ; no 856
    Paul Woolley Centre working paper ; no 86
    Schlagworte: Liquidity; Dynamic Price Feedback; Tradable Assets; Inter-temporal Coordination; Security Design; Multiple Equilibria; Self-fulfilling Prices; Financial Fragility; Haircut; Repo; Repo Runs; Credit Crunch; Asset-Backed Security; Collateral; Limited Commitment; Adverse Selection; Market-Based Financial Intermediation
    Umfang: 1 Online-Ressource, Illustrationen
  3. Salient Attributes and Household Demand for Security Designs
    Autor*in: Vokata, Petra
    Erschienen: [2023]
    Verlag:  SSRN, [S.l.]

    Using a large database of complex securities, I study how salient attributes of security design distort household investment decisions. I show banks add non-standard (fine-print) conditions to artificially increase advertised rates of headline return... mehr

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    Resolving-System (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    Using a large database of complex securities, I study how salient attributes of security design distort household investment decisions. I show banks add non-standard (fine-print) conditions to artificially increase advertised rates of headline return and downside protection-a phenomenon I term "enhancement." Enhancement increases headline returns by 11 percentage points, on average, but does not increase realized returns. Flexibly controlling for all other product attributes and using high-frequency shocks to structuring costs of enhancement for identification, I find demand is highly elastic to enhancement. Enhancement is costly to investors: a one standard deviation decrease implies savings of more than $1 billion in fees

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Fisher College of Business Working Paper ; No. 2023-03-007
    Schlagworte: Salience; Security Design; Reaching for Yield; Household Finance
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (68 p)
    Bemerkung(en):

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 4, 2023 erstellt
  4. Screening with Securities
    Autor*in: Inostroza, Nicolas; Figueroa, Nicolás
    Erschienen: 2023
    Verlag:  SSRN, [S.l.]

    A liquidity-constrained asset owner designs an asset-backed security to raise funds from an informed liquidity supplier. Information insensitive securities reduce the liquidity supplier's informational rents. The issuer optimally screens the... mehr

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    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    A liquidity-constrained asset owner designs an asset-backed security to raise funds from an informed liquidity supplier. Information insensitive securities reduce the liquidity supplier's informational rents. The issuer optimally screens the liquidity supplier's private information by offering a menu of debt contracts with face values monotonically ordered in the liquidity supplier's valuation. We leverage this characterization to show that when the liquidity supplier's private information becomes more accurate (Lehmann (1988)), the issuer optimally offers debt contracts with smaller face values. Surprisingly, the concavity of debt on the asset's future cashflows implies that the issuer may be better off when trading with a more informed liquidity supplier. Our results challenge the idea that, when trading securities, the informed party should obtain an information sensitive security and provide a novel rationale for the emergence of venture debt and the prevalence of collateralized lending

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Rotman School of Management Working Paper ; No. 4308415
    Schlagworte: Security Design; Informed Investors; Informational Rents; Information Sensitivity; Lehmann order
    Weitere Schlagworte: Array; Array
    Umfang: 1 Online-Ressource (53 p)
    Bemerkung(en):

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 21, 2022 erstellt