کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5089948 1375611 2011 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The order flow of discount certificates and issuer pricing behavior
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The order flow of discount certificates and issuer pricing behavior
چکیده انگلیسی
We analyze the order flow of discount certificates, its dependence on product age, and the implications for issuer pricing behavior. Based on a unique data set of exchange trades and issuer quotes, we find that for tax reasons investors prefer to buy products that mature in just over 1 year from the date of purchase. Furthermore, they tend to sell products back preferably close to maturity. These patterns in the trade direction allow us to separate the issuer pricing behavior from (i) the life cycle and (ii) the order flow. We find evidence that 7 out of 11 issuers anticipate the order flow and price in an additional margin in phases of positive expected net sales.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 35, Issue 11, November 2011, Pages 3120-3133
نویسندگان
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