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- W3125978685 abstract "We study the trading behavior of retail investors in the market of leveraged bank-issued retail derivatives, which are designed to encourage excessive trading and speculation. We investigate whether retail investors have private information and benefit disproportionately or whether they gamble without private information. We answer this question along three dimensions: (i) profitability, (ii) news trading, and (iii) transaction costs. We distinguish between derivatives by the type of underlying (index vs. individual stocks). We find that raw returns are negative for derivatives with stocks as the underlying, and only partially positive for those with index as the underlying. Nevertheless, risk-adjusted returns show poor performance, with Sharpe ratios below 0.30. We show that retail investors are attracted by news, but do not have private information prior to news events." @default.
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- W3125978685 date "2014-04-05" @default.
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- W3125978685 title "(Un)skilled leveraged trading of retail investors" @default.
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- W3125978685 doi "https://doi.org/10.1007/s11408-014-0225-1" @default.
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