Retail Derivatives and Sentiment: A Sentiment Measure Constructed from Issuances of Retail Structured Equity Products

ABSTRACT We use retail structured equity product (SEP) issuances to construct a new sentiment measure for large capitalization stocks. The SEP sentiment measure predicts negative abnormal returns on the SEP reference stocks based on a variety of factor models, and also predicts returns in Fama‐MacBe...

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Veröffentlicht in:	The Journal of finance (New York) 2023-08, Vol.78 (4), p.2365-2407
Hauptverfasser:	HENDERSON, BRIAN J., PEARSON, NEIL D., WANG, LI
Format:	Artikel
Sprache:	eng
Schlagworte:	Abnormal returns Derivatives Stocks Structured products
Online-Zugang:	Volltext
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