Economic Benefits of Derivatives for Long Term Investments-Equity Linked Securities

Q4 Economics, Econometrics and Finance
Byunghoon Kang
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引用次数: 1

Abstract

In this paper, we examined the economic benefits of derivatives in the aspect of investment assets. Our study differs from previous studies in that it analyzed the differences in the economic benefits of derivatives between for short term investors and for long term investors, and focused on the equity linked securities (ELS) rather than plain vanilla derivatives. We found the following results from the analysis over 1 to 20 years of investment horizons for four different types of equity linked securities, including ‘Auto-callable ELS’, ‘Knock-out ELS’, ‘Digital ELS’ and ‘Reverse Convertible ELS.’ First, equity linked securities contribute to improving the performance of the optimal portfolio for most investors, except for some investors who have extremely low degrees of risk aversion. Second, these economic benefits of equity linked securities are consistently observed regardless of investment horizon. Third, investment demand for equity linked securities is higher for investors with a medium-level of risk aversion rather than for aggressive or conservative investors. In addition, equity linked securities are mainly used as substitutes for risk-free bonds rather than risky assets (i.e., stocks). Finally, most of our results are still valid even when different market environments are assumed or alternative decision rules are used to derive investors’ optimal portfolio.
长期投资衍生品的经济效益-股票挂钩证券
本文从投资资产的角度考察了衍生品的经济效益。我们的研究与以往的研究不同之处在于,它分析了衍生品在短期投资者和长期投资者之间的经济效益差异,并且侧重于股票关联证券(ELS)而不是普通的衍生品。通过对四种不同类型的股票关联证券(包括“自动赎回ELS”、“淘汰ELS”、“数字ELS”和“反向可转换ELS”)1至20年的投资期限进行分析,我们发现了以下结果。首先,除了一些风险厌恶程度极低的投资者外,对大多数投资者来说,股票挂钩证券有助于提高最优投资组合的绩效。其次,无论投资期限如何,股票挂钩证券的这些经济效益都是一致的。第三,风险厌恶程度中等的投资者对股票挂钩证券的投资需求高于激进或保守的投资者。此外,股票挂钩证券主要是作为无风险债券的替代品,而不是风险资产(即股票)。最后,即使假设不同的市场环境或使用不同的决策规则来推导投资者的最优投资组合,我们的大多数结果仍然有效。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
1.30
自引率
0.00%
发文量
13
审稿时长
8 weeks
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