Autocall versus underlying assets : A study on how changes in the return of the underlying assets affect the autocall's returns
Autocallable structured products represent an investment opportunity which has been growing in both the European and American market since they were first launched. The value of these structured products is dependent on how their underlying assets perform, which can consist of stocks, indexes or oth...
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Internationella Handelshögskolan, Jönköping University, IHH, Nationalekonomi
2020
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ndltd-UPSALLA1-oai-DiVA.org-hj-494852020-06-22T03:30:27ZAutocall versus underlying assets : A study on how changes in the return of the underlying assets affect the autocall's returnsengWårhag, EliasTepes, IoanInternationella Handelshögskolan, Jönköping University, IHH, NationalekonomiInternationella Handelshögskolan, Jönköping University, IHH, Nationalekonomi2020Structured notesAutocallable structured productsExpress certificateFinancial instrumentsEconomicsNationalekonomiAutocallable structured products represent an investment opportunity which has been growing in both the European and American market since they were first launched. The value of these structured products is dependent on how their underlying assets perform, which can consist of stocks, indexes or other assets. With a sample size of 30 structured products we provide research on the relation between the products return and the return of the underlying assets. Specifically, the purpose of the study is to analyse how increases in the returns of the underlying assets affect the returns in the products. Using an ordinary least squares regression model, we find that the return in the underlying assets, the issuers credit rating and the interest rate at issuance have a statistically significant effect on the returns in the products. We conclude that in our sample, an increase in the underlying assets returns results in a less than equal increase in the returns of the autocalls. Student thesisinfo:eu-repo/semantics/bachelorThesistexthttp://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-49485application/pdfinfo:eu-repo/semantics/openAccess |
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Structured notes Autocallable structured products Express certificate Financial instruments Economics Nationalekonomi |
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Structured notes Autocallable structured products Express certificate Financial instruments Economics Nationalekonomi Wårhag, Elias Tepes, Ioan Autocall versus underlying assets : A study on how changes in the return of the underlying assets affect the autocall's returns |
description |
Autocallable structured products represent an investment opportunity which has been growing in both the European and American market since they were first launched. The value of these structured products is dependent on how their underlying assets perform, which can consist of stocks, indexes or other assets. With a sample size of 30 structured products we provide research on the relation between the products return and the return of the underlying assets. Specifically, the purpose of the study is to analyse how increases in the returns of the underlying assets affect the returns in the products. Using an ordinary least squares regression model, we find that the return in the underlying assets, the issuers credit rating and the interest rate at issuance have a statistically significant effect on the returns in the products. We conclude that in our sample, an increase in the underlying assets returns results in a less than equal increase in the returns of the autocalls. |
author |
Wårhag, Elias Tepes, Ioan |
author_facet |
Wårhag, Elias Tepes, Ioan |
author_sort |
Wårhag, Elias |
title |
Autocall versus underlying assets : A study on how changes in the return of the underlying assets affect the autocall's returns |
title_short |
Autocall versus underlying assets : A study on how changes in the return of the underlying assets affect the autocall's returns |
title_full |
Autocall versus underlying assets : A study on how changes in the return of the underlying assets affect the autocall's returns |
title_fullStr |
Autocall versus underlying assets : A study on how changes in the return of the underlying assets affect the autocall's returns |
title_full_unstemmed |
Autocall versus underlying assets : A study on how changes in the return of the underlying assets affect the autocall's returns |
title_sort |
autocall versus underlying assets : a study on how changes in the return of the underlying assets affect the autocall's returns |
publisher |
Internationella Handelshögskolan, Jönköping University, IHH, Nationalekonomi |
publishDate |
2020 |
url |
http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-49485 |
work_keys_str_mv |
AT warhagelias autocallversusunderlyingassetsastudyonhowchangesinthereturnoftheunderlyingassetsaffecttheautocallsreturns AT tepesioan autocallversusunderlyingassetsastudyonhowchangesinthereturnoftheunderlyingassetsaffecttheautocallsreturns |
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1719322536760573952 |