The dark side of financial innovation: A case study of the pricing of a retail financial product

• 成果类型: Article
• 署名作者: Henderson, Brian J.; Pearson, Neil D.
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; George Washington University; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.12.006
• 发表日期: 2011
• 页码: 227-247
• 关键词: Structured products; financial innovation; derivatives; pricing

摘要

The offering prices of 64 issues of a popular retail structured equity product were, on average. almost 8% greater than estimates of the products' fair market values obtained using option pricing methods. Under reasonable assumptions about the underlying stocks' expected returns, the mean expected return estimate on the structured products is slightly below zero. The products do not provide tax, liquidity, or other benefits, and it is difficult to rationalize their purchase by informed rational investors. Our findings are, however, consistent with the recent hypothesis that issuing firms might shroud some aspects of innovative securities or introduce complexity to exploit uninformed investors. (C) 2010 Elsevier B.V. All rights reserved.