Simon Straumann
Last Name
Straumann
First name
Simon
Email
simon.straumann@unisg.ch
Phone
+41 71 224 70 28
4 results
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Item type:Publication, Pricing, issuance volume, and design of innovative securities: The role of investor informationThis study investigates the role of asymmetric information for the pricing, issuance volume, and design of innovative securities. By analyzing the information that structured product issuers provide to the investors of those products, we can identify specific sources of asymmetric information between the issuers and investors in this market. We show that issuers exploit this information friction to offer products to investors that appear more profitable for the issuer. In addition, we find that the friction induces issuers to design products with higher information asymmetry. Our results suggest that product issuers’ behavior increases information frictions in the financial system.Type:journal articleJournal:Journal of Financial IntermediationVolume:55Scopus© Citations 3 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Resurrecting the Value Factor from its Redundancy(2023-12-28); ; The value factor lacks incremental pricing power in the Fama-French five-factor model, being subsumed by the investment factor. The factors' relationship arises because book-to-market and investment both capture information about expected returns and cash flows. Using only stocks whose book-to-market and investment primarily reflect expected return information to construct the factors increases their means and Sharpe ratios by more than 50%. Importantly, the adjusted factors capture not only more but also complementary pricing information and improve the five-factor model's pricing power. Thus, a value factor built from stocks for which book-to-market is a good expected return indicator is not redundant.Type:working paper - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Informative Value, Profitability, and Investment Factors(2023-12-28); ; Book-to-market, profitability, and investment - the characteristics underlying the Fama-French value, profitability, and investment factors - are imperfect indicators of expected returns. This study narrows down the characteristics' expected return information and uses their informative parts to construct enhanced factors. These informative factors exhibit around 50% higher Sharpe ratios than their standard counterparts. They strongly outperform the standard Fama-French factors regarding the maximum Sharpe ratio criterion and in pricing characteristics-sorted portfolios. Importantly, unlike the standard factors, the informative factors exhibit positive risk prices, making them genuine risk factor candidates. Moreover, our procedure to enhance the factors outperforms other enhancement procedures.Type:working paper - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Illuminating the Dark Side of Financial Innovation: The Role of Investor InformationType:working paperIssue:2017/04