Engineering lemons

• 成果类型: Article
• 署名作者: Vokata, Petra
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.04.035
• 发表日期: 2021
• 页码: 737-755
• 关键词: Household finance; financial innovation; hidden costs; complexity; Structured products

摘要

Recent complex financial products sold to households contradict the basic premise of canonical innovation theories: Financial innovation benefits its adopters. In my 2006-2015 sample of over 28,0 0 0 yield enhancement products (YEP), the securities offer attractive yields but negative returns. The products lose money both ex ante and ex post due to their embedded fees. On average, YEPs charge 6-7% in annual fees and subsequently lose 6- 7% relative to risk-adjusted benchmarks. Simple and cheap combinations of listed options often statewise dominate YEPs. Competition, disclosure, or learning do not eliminate this inferior financial innovation over my sample period. (c) 2021 Elsevier B.V. All rights reserved.