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. Further, 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 instead of firm-specific information demand. This implies a low informational efficiency of retail investor speculation and investing activity.

We explore how news comovement drives a portion of stock return comovement using the Thomson Reuters international business news database. We develop a measure of news comovement similar in design to a well-known measure of stock return comovement and find that news helps explain country-level stock market comovement. Our results are novel in that we find that more news comovement is related to higher stock market comovement. The explanatory power of news comovement is found to be particularly strong in countries that have low total market capitalization, are more corrupt, and have lower accounting standards.

We study the trading behavior of retail investors in the market of leveraged bank-issued retail derivatives designed to trade excessively, speculate and gamble on ongoing trends and market movements. We analyze whether retail investors have private information and benefit disproportionately or whether they gamble. We answer this question along three dimensions: (i) profitability, (ii) news trading, and (iii) sensitivity to implicit trading costs. We distinguish derivatives by the type of underlying (index vs. individual stocks). We find that raw returns are negative for derivatives with stock as underlying, and only partially positive for those with index as underlying. Nevertheless, risk-adjusted returns show a poor performance with sharpe ratios below one. We show that retail investors are attracted by news, but do not have private information prior to news events. Finally, we categorize investors according to their sensitivity to implicit trading costs. We find that non-sensitive investors perform worse than sensitive investors.

This paper studies the effects of the introduction of the French financial transaction tax in August 2012. With the tax, the French government aims to generate revenues for financing the burdens of the financial crisis and to curb short-term trading. We find that the financial transaction tax has a strong impact on trading intensity and liquidity supplier behavior. Trading volume decreases by about one-fifth compared to the pre-event period. While liquidity suppliers reduce the number of quote and price updates and post less volume at best prices, there is no evidence that spreads increase. Our results suggest that policy makers need to be well aware of the links between tax design and investor behavior, before introducing a financial transaction tax.

SAS/IML bietet seit den 80er Jahren mit mehr als 300 Funktionen eine umfangreiche Bibliothek zur statistischen Programmierung in SAS. In diesem Paper zeigen wir die Vorteile von SAS/IML im Vergleich zu klassischen DATA Steps an einem einfachen finanzwirtschaftlichen Beispiel auf. Ziel dabei ist die Berechnung einer Liquiditätskennzahl für Aktien mit Hilfe von SAS/IML Features, wie beispielsweise Vektor-Operationen, Data Loop, oder Sortierungsroutinen. Wir veranschaulichen dabei, dass neben einer einfachen Programmierung auch die Performance bei SAS/IML überzeugt.

This thesis studies both issuing investment banks and investors in the market for structured products. I analyze whether issuers exploit investor ignorance and whether investors benefit from this new market segment. My findings suggest that issuers use their exclusive position to increase their rents on the expense of retail investors. The degree of exploitation varies strongly between product types and issuers. Examining retail investor trades in short term speculation products reveals that investors do not perform well in general and have, on average, no informational advantage. (Non-)profitability is driven to a large extent by transaction costs. Analyzing retail investor trades with respect to the risk incurred reveals a poor investment on average. Investors expose themselves, i.e. their wealth, to great risk in order to realize potential profits.

In diesem Artikel zeigen wir, wie SAS eingesetzt werden kann, um Methoden zur Optionspreismodellierung mithilfe von PROC FCMP zu implementieren. Wir nutzen eine ad-hoc Erweiterung des gängigen Black-Scholes Optionspreismodell zur Bewertung beliebiger Derivate. Wir erhalten den dafür notwendigen Voltilitätsparameter implizit aus gehandelten EUREX Optionen. Dabei verdeutlichen wir, welche SAS Funktionen nötig sind und welche Probleme auftreten können.

Angesichts seiner Flexibilität für unterschiedliche Marktphasen und individuelle Anlegerpräferenzen sehen die Autoren im Zertifikatemarkt eine sinnvolle Ergänzung zur traditionellen Geldanlage in Aktien und Anleihen. Aus ihrer Sicht begründet dieser erweiterte Marktzugang für Privatanleger indirekt durchaus einen Preis in Form einer Produktmarge. Wie hoch diese Prämie für Privatanleger ausfallen darf, halten sie aufgrund einer mangelnden Transparenz allerdings für kaum einsehbar und nur durch komplexe finanzmathematische Modelle ermittelbar. Um die Attraktivität des grundsätzlich positiv bewerteten Zertifikatemarktes für den Privatanleger weiter zu erhöhen, plädieren sie für transparentere Strukturen im Sinne einer verbesserten Informationspolitik.(Red.)