Privatanleger am Optionsscheinmarkt

Markus Glaser () and Philipp Schmitz ()
Additional contact information
Markus Glaser: Sonderforschungsbereich 504, Postal: L 13, 15, D-68131 Mannheim
Philipp Schmitz: Lehrstuhl für ABWL, Finanzwirtschaft, insb. Bankbetriebslehre, Postal: L 5, 2, D-68131 Mannheim

No 06-15, Sonderforschungsbereich 504 Publications from Sonderforschungsbereich 504, Universität Mannheim, Sonderforschungsbereich 504, University of Mannheim

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.

Pages: 46 pages
Date: 2006-12-20
Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:xrs:sfbmaa:06-15

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Sonderforschungsbereich 504 Publications from Sonderforschungsbereich 504, Universität Mannheim Contact information at EDIRC., Sonderforschungsbereich 504, University of Mannheim
Bibliographic data for series maintained by Carsten Schmidt ( this e-mail address is bad, please contact ).