Arbeitspapier
Investors with too many options?
During the last decade, markets for covered warrants (bank-issued options) have flourished in Europe and Asia. In these markets, investors often face a choice between many instruments that differ only slightly from each other. Based on retail trades in call options on the German DAX index, this paper documents substantial price dispersion across securities that are close substitutes. Moreover, investors generally fail to identify attractively priced options. The results suggest that the observed product proliferation imposes a substantial search cost on investors even though the products are homogenous and their pricing is well understood. The search cost is estimated to average 1% of the amount invested, the same order of magnitude as the average spread.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1197
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Contingent Pricing; Futures Pricing; option pricing
Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- Thema
-
investor behavior
OTC derivatives
price dispersion
search costs
OTC-Handel
Optionsgeschäft
Preisstreuung
Anlageverhalten
Informationskosten
Deutschland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dorn, Daniel
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Dorn, Daniel
- European Central Bank (ECB)
Entstanden
- 2010
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