Oliver Entrop|Michael D. McKenzie|Marco Wilkens|Christoph Winkler
The performance of individual investors in structured financial products
University of Passau|University of Liverpool|University of Augsburg|University of Augsburg
paper first measure individual investors realized riskadjusted performance structured financial products represent one key financial innovations recent times based large database trades portfolio holdings 10652 retail investors discount bonus certificates common stocks find 1 investors typically realize negative alphas structured financial products even transaction costs ignored 2 underperformance increases product complexity results higher implicit price premiums charged issuing banks complex products investors poor selection products complex payoff specifications 3 investors also make poor choices selecting underlying assets structured product investments merely reflection poor stock selection abilities also leads significant underperformance equity portfolios 4 certificate stock investors prone disposition effect overall findings suggest retail investors may require form protection avoid incurring losses