Earticle

초록

영어

This paper explores three types of risk that unsophisticated retail investors may be exposed to when purchasing a structured product. First, the retail investors who are not suciently knowledged about derivatives bear knowledge asymmetry risk against the issuer. Not many investors understand the valuation model of derivatives embedded in the structured products they purchase. Even in the case that they understand the model, they are not knowledgeable enough to gauge the fairness of input parameters required and may overpay. Secondly, the retail investors are exposed to information asymmetry against the issuer. The issuer can optimally time the issuance of overvalued structured products given their superior information set and also determine structural parameters to maximize potential prots. Finally, unwinding a delta hedge position of the issuer puts negative pressure on the underlying security price to their disadvantage at redemption dates. If the retail investors were sophisticated enough to infer such incentives of the issuer, such risk should be factored into the price of the structured product at its issuance. We build up a theoretical model for gauging the amount of required discount. In addition, we provide empirical evidence for issuance timing behavior of the issuer and for negative price impact of unwinding hedge positions around redemption dates by using Two Asset Reverse Convertibles (TARCs) in Korea.

목차

Abstract
 1 Introduction
 2 Retail-oriented Equity Structured Product Market and Two Asset Reverse Convertibles
 3 Dark Side I: Knowledge Asymmetry
 4 Dark Side II: Information Asymmetry
  4.1 Oering Price
  4.2 Reservation Price of the Issuer
  4.3 Premium
  4.4 Break-even Curve
  4.5 Determination of Optimal B
 5 Dark Side III: Delta Unwinding Risk
  5.1 Without Information Asymmetry Risk
  5.2 With Information Asymmetry Risk
 6 Empirical Analysis
  6.1 Data
  6.2 Empirical Analysis: Dark Side 1
  6.3 Empirical Analysis: Dark Side 2
  6.4 Empirical Analysis: Dark Side 3
 7 Conclusion
 Appendix
 References
 Table
 Figure

키워드

저자

• Dong-Hyun Ahn [ Department of Economics, Seoul National University. ] Corresponding author
• Young-Min Choi [ Department of Economics, Seoul National University. ]
• Young-Sik Kim [ Department of Economics, Seoul National University. ]
• Won-Suk Liu [ Department of Economics, Seoul National University. ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330