We analyze retail order flow in terms of intraday feedback trading patterns. Using a unique
data set of exchange trades and high‐frequency quotes, we first provide evidence that retail …

Issuers of structured products have great power when setting the price of their securities.
Each issuer is the sole liquidity provider in the secondary market for her products, and short …

We theoretically explain the empirical findings for prices of derivative warrants (DWs). For
this, we consider the short-selling costs of underlying assets and the different features of DW …

In this paper we study the bid–ask spread of covered warrants, which are securitized
derivatives also referred to as bank-issued options. We find that most of the factors affecting …

We analyze intra-day feedback effects in retail order flow and the pricing of bank-issued
warrants. Using a unique data set of exchange trades and high-frequency quotes, we first …

Hemos incluido un apartado dedicado a la evolución de la investigación en mercados e
instituciones financieros en nuestro país, dado que se trata de una publicación de la …

In Italia esistono due mercati regolamentati di strumenti finanziari derivati accessibili agli
investitori retail entrambi gestiti da Borsa Italiana: il SeDex, dove sono trattati covered …

Covered warrants are option-like securities issued by large banks and listed on stock
exchanges. They are the result of strategies in product innovation on exchange-traded …

In the first essay, I empirically investigate the effect of financial frictions and exogenous
demand pressure on both prices and returns of options. Historically, observed option returns …

본 논문은 한국 거래소의 주식시장과 파생상품시장에서의 투자자 움직임을 비교 분석하는 세
개의 소 주제로 구성되어 있다. 주식시장, 선물시장, 그리고 주식워런트 (equity linked warrant) …