논문검색
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[2014]
Does the Moment Timing Ability of the Issuer Exist? : Evidence in Structured Equity Products
- 작성자
- 최영민, 김영식, 유운석
내용
We explore ‘information asymmetry’ problems in retail structured product markets. For reverse
convertibles, which is the most popular retail structured product in Korea, we introduce a simple
pricing model allowing investors who are unconscious of their lack of information regarding the
transitional density of underlying asset. The model, on which we investigate empirical evidences
for the issuer behavior of exploiting superior information, finds the conditions for the issuer to
sell reverse convertibles at prices above fair. Using reverse convertible data that actually issued
for Korean retail investors, we show that issuers tend to issue reverse convertibles more when
(i) the market index is around local peak, (ii) the market volatility is around local trough, or (iii)
underlying asset is overpriced relative to the market. The results, consistent with our theoretical
implications, are the evidence of issuer’s timing ability therefore verifying the presence of the
information asymmetry in retail structured market. It may also provide implications for understanding
the popularity of retail products in a behavioral aspect.
Keywords：Structured Equity Product, Information Asymmetry, Timing Behavior, Retail Investors,
Overconfidence
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