Earticle

초록

영어

This paper documents that median holding period in structured products based on market index is less than a day from initial purchase to liquidation even for retail investors. Less than 6% of all series ever traded by retail investors are held until maturity. More importantly, buy-and-hold strategies perform worse than frequent trading. Based on a unique proprietary dataset that provides the details of all transactions - including account identifier and direction of the trade - in the Korean ELW (equity linked warrant) market between 2009 and 2011, we find that both HFT (high frequency trader) accounts and non-HFT accounts perform worse when either average holding period is long or average end-of-the-day position is large. Such failure of buy-and-hold strategy likely reflects time decaying properties, i.e. theta, of option-like products. Our findings suggest that measuring expected returns for options simply assuming that they are held until maturity may underestimate the true expected return.

목차

Abstract
 1. Literature Review
 2. Data and Sample
  (1) Data Source and Structure
  (2) Identifying High Frequency Traders (HFTs)
  (3) Descriptive Statistics
 3. Measurement of Returns and Risk-Adjusted Performance
 4. Empirical Results
  (1) Profitability Measures by Investor Type: Unconditional Analysis
  (2) Distribution of Holding Periods and Day End Positions
  (3) Frequent Trading and Sharpe Ratios: Bivariate Analysis
  (4) Frequent Trading and Sharpe Ratios: Multivariate Analysis
 5. Conclusion
 References
 Table
 Figure
 Appendix

키워드

저자

• Youngsoo Choi [ Professor of Mathematics, Hankuk University of Foreign Studies ]
• Woojin Kim [ Associate Professor of Finance, Seoul National University Business School ]
• Eunji Kwon [ Hankuk University of Foreign Studies ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330