کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090431 | 1375631 | 2009 | 9 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: The price-setting behavior of banks: An analysis of open-end leverage certificates on the German market The price-setting behavior of banks: An analysis of open-end leverage certificates on the German market](/preview/png/5090431.png)
This paper presents the first analysis of open-end leverage certificates on the German market. The major innovations of these certificates are twofold. First, issuers announce a price-setting formula according to which they are willing to buy and sell the certificates over time. Second, the product's lifetime is potentially endless. Our main findings are that the price-setting formula is (i) designed to strongly favor the issuer and (ii) is consistent with the main outcome of the 'life cycle hypothesis' for structured financial products [Stoimenov, P.A., Wilkens, S., 2005. Are structured products 'fairly' priced? An analysis of the German market for equity-linked instruments. Journal of Banking and Finance 29, 2971-2993]. (iii) This holds for different product features and also in the presence of issuers' credit risk and jump risk in the underlying.
Journal: Journal of Banking & Finance - Volume 33, Issue 5, May 2009, Pages 874-882