Trading leveraged Exchange-Traded products is hazardous to your wealth
Author
Abstract
Suggested Citation
DOI: https://doi.org/10.1016/j.qref.2021.02.012
Note: In: The Quarterly Review of Economics and Finance, 2021, vol. 80, p. 287-302
Download full text from publisher
To our knowledge, this item is not available for download. To find whether it is available, there are three options:1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Other versions of this item:
- D’Hondt, Catherine & McGowan, Richard & Roger, Patrick, 2021. "Trading leveraged Exchange-Traded products is hazardous to your wealth," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 287-302.
References listed on IDEAS
- Markus K. Brunnermeier & Jonathan A. Parker, 2005.
"Optimal Expectations,"
American Economic Review, American Economic Association, vol. 95(4), pages 1092-1118, September.
- Markus K. Brunnermeier & Jonathan A. Parker, 2002. "Optimal Expectations," Working Papers 146, Princeton University, School of Public and International Affairs, Discussion Papers in Economics.
- Markus K. Brunnermeier & Jonathan A. Parker, 2004. "Optimal Expectations," NBER Working Papers 10707, National Bureau of Economic Research, Inc.
- Jonathan Parker & Markus K Brunnermeier, 2002. "Optimal Expectations," FMG Discussion Papers dp434, Financial Markets Group.
- Jonathan A. Parker & Markus K. Brunnermeier, 2004. "Optimal Expectations," Econometric Society 2004 North American Winter Meetings 426, Econometric Society.
- Brunnermeier, Markus K. & Parker, Jonathan A., 2002. "Optimal expectations," LSE Research Online Documents on Economics 24954, London School of Economics and Political Science, LSE Library.
- Brunnermeier, Markus & Parker, Jonathan A, 2004. "Optimal Expectation," CEPR Discussion Papers 4656, C.E.P.R. Discussion Papers.
- Markus K. Brunnermeier & Jonathan A. Parker & Christian Gollier, 2007.
"Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns,"
American Economic Review, American Economic Association, vol. 97(2), pages 159-165, May.
- Markus K. Brunnermeier & Christian Gollier & Jonathan A. Parker, 2007. "Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns," NBER Working Papers 12940, National Bureau of Economic Research, Inc.
- Brunnermeier, Markus K. & Gollier, Christian & Parker, Jonathan A., 2007. "Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns," IDEI Working Papers 429, Institut d'Économie Industrielle (IDEI), Toulouse.
- Gollier, Christian & Brunnermeier, Markus & Parker, Jonathan A, 2007. "Optimal Beliefs, Asset Prices and the Preference for Skewed Returns," CEPR Discussion Papers 6181, C.E.P.R. Discussion Papers.
- Ludwig Ensthaler & Olga Nottmeyer & Georg Weizsäcker & Christian Zankiewicz, 2018.
"Hidden Skewness: On the Difficulty of Multiplicative Compounding Under Random Shocks,"
Management Science, INFORMS, vol. 64(4), pages 1693-1706, April.
- Ludwig Ensthaler & Olga Nottmeyer & Georg Weizsäcker & Christian Zankiewicz, 2013. "Hidden Skewness: On the Difficulty of Multiplicative Compounding under Random Shocks," Discussion Papers of DIW Berlin 1337, DIW Berlin, German Institute for Economic Research.
- Zankiewicz, Christian & Ensthaler, Ludwig & Nottmeyer, Olga & Weizsäcker, Georg, 2015. "Hidden skewness: On the difficulty of multiplicative compounding under random shocks," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112815, Verein für Socialpolitik / German Economic Association.
- Ludwig Ensthaler & Olga Nottmeyer & Georg Weizsäcker & Christian Zankiewicz, 2014. "Hidden Skewness: On the Difficulty of Multiplicative Compounding under Random Shocks," CESifo Working Paper Series 4760, CESifo.
- Madhavan, Ananth N., 2016. "Exchange-Traded Funds and the New Dynamics of Investing," OUP Catalogue, Oxford University Press, number 9780190279394.
- Laurent E. Calvet & John Y. Campbell & Paolo Sodini, 2007.
"Down or Out: Assessing the Welfare Costs of Household Investment Mistakes,"
Journal of Political Economy, University of Chicago Press, vol. 115(5), pages 707-747, October.
- Laurent E. Calvet & John Y. Campbell & Paolo Sodini, 2006. "Down or Out: Assessing the Welfare Costs of Household Investment Mistakes," NBER Working Papers 12030, National Bureau of Economic Research, Inc.
- Laurent E. Calvet & John Y. Campbell & Paolo Sodini, 2012. "Down or Out: Assessing The Welfare Costs of Household Investment Mistakes," Working Papers hal-00674229, HAL.
- Sodini, Paolo & Calvet, Laurent E. & Campbell, John, 2007. "Down or Out: Assessing the Welfare Costs of Household Investment Mistakes," Scholarly Articles 3122488, Harvard University Department of Economics.
- Laurent E. Calvet & Paolo Sodini & John Y. Campbell, 2007. "Down or out: Assessing the welfare costs of household investment mistakes," Post-Print hal-00671903, HAL.
- Laurent E. Calvet & John Y. Campbell & Paolo Sodini, 2006. "Down or Out: Assessing the Welfare Costs of Household Investment Mistakes," Harvard Institute of Economic Research Working Papers 2107, Harvard - Institute of Economic Research.
- Calvet, Laurent & Campbell, John Y. & Sodini, Paolo, 2006. "Down or out: assessing the welfare costs of household investment mistakes," HEC Research Papers Series 832, HEC Paris.
- Laurent E. Calvet & John Y. Campbell & Paolo Sodini, 2012. "Down or Out: Assessing The Welfare Costs of Household Investment Mistakes," Working Papers hal-00674227, HAL.
- Calvet, Laurent E. & Campbell, John Y. & Sodini, Paolo, 2006. "Down or Out: Assessing The Welfare Costs of Household Investment Mistakes," Working Paper Series 195, Sveriges Riksbank (Central Bank of Sweden).
- Mark S. Seasholes & Ning Zhu, 2010. "Individual Investors and Local Bias," Journal of Finance, American Finance Association, vol. 65(5), pages 1987-2010, October.
- Todd Mitton & Keith Vorkink, 2007. "Equilibrium Underdiversification and the Preference for Skewness," The Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1255-1288.
- Rui Albuquerque, 2012.
"Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1630-1673.
- Albuquerque, Rui, 2010. "Skewness in Stock Returns:Reconciling the Evidence on Firm versus Aggregate Returns," CEPR Discussion Papers 7896, C.E.P.R. Discussion Papers.
- Kumar, Alok, 2007. "Do the diversification choices of individual investors influence stock returns?," Journal of Financial Markets, Elsevier, vol. 10(4), pages 362-390, November.
- Brad M. Barber & Terrance Odean, 2000. "Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors," Journal of Finance, American Finance Association, vol. 55(2), pages 773-806, April.
- Catherine D'Hondt & Patrick Roger, 2017. "Investor sentiment and stock return predictability: The power of ignorance," Finance, Presses universitaires de Grenoble, vol. 38(2), pages 7-37.
- Alok Kumar, 2009. "Who Gambles in the Stock Market?," Journal of Finance, American Finance Association, vol. 64(4), pages 1889-1933, August.
- Shefrin, Hersh & Statman, Meir, 2000. "Behavioral Portfolio Theory," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(2), pages 127-151, June.
- William N. Goetzmann & Alok Kumar, 2008.
"Equity Portfolio Diversification,"
Review of Finance, European Finance Association, vol. 12(3), pages 433-463.
- William N. Goetzmann & Alok Kumar, 2001. "Equity Portfolio Diversification," NBER Working Papers 8686, National Bureau of Economic Research, Inc.
- Alok Kumar & William N. Goetzmann, 2001. "Equity Portfolio Diversification," Yale School of Management Working Papers ysm236, Yale School of Management.
- William N. Goetzmann & Alok Kumar, 2004. "Equity Portfolio Diversification," Yale School of Management Working Papers ysm17, Yale School of Management.
- Bellofatto, Anthony & D’Hondt, Catherine & De Winne, Rudy, 2018.
"Subjective financial literacy and retail investors’ behavior,"
Journal of Banking & Finance, Elsevier, vol. 92(C), pages 168-181.
- Bellofatto, Anthony & D'Hondt, Catherine & De Winne, Rudy, 2018. "Subjective Financial Literacy and Retail Investors’ Behavior," LIDAM Reprints LFIN 2018004, Université catholique de Louvain, Louvain Finance (LFIN).
- Blume, Marshall E & Friend, Irwin, 1975. "The Asset Structure of Individual Portfolios and Some Implications for Utility Functions," Journal of Finance, American Finance Association, vol. 30(2), pages 585-603, May.
- Gollier, Christian, 2005.
"Optimal Illusions and Decisions under Risk,"
IDEI Working Papers
340, Institut d'Économie Industrielle (IDEI), Toulouse.
- Christian Gollier, 2005. "Optimal Illusions and Decisions under Risk," CESifo Working Paper Series 1382, CESifo.
- Tversky, Amos & Kahneman, Daniel, 1992. "Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
- Bali, Turan G. & Cakici, Nusret & Whitelaw, Robert F., 2011. "Maxing out: Stocks as lotteries and the cross-section of expected returns," Journal of Financial Economics, Elsevier, vol. 99(2), pages 427-446, February.
- Lease, Ronald C & Lewellen, Wilbur G & Schlarbaum, Gary G, 1974. "The Individual Investor: Attributes and Attitudes," Journal of Finance, American Finance Association, vol. 29(2), pages 413-433, May.
- Marie-Hélène Broihanne & Maxime Merli & Patrick Roger, 2016. "Diversification, gambling and market forces," Review of Quantitative Finance and Accounting, Springer, vol. 47(1), pages 129-157, July.
- Cardak, Buly A. & Martin, Vance L. & McAllister, Richard, 2019. "The effects of the Global Financial Crisis on the stock holding decisions of Australian households," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Nicholas Barberis & Ming Huang, 2008.
"Stocks as Lotteries: The Implications of Probability Weighting for Security Prices,"
American Economic Review, American Economic Association, vol. 98(5), pages 2066-2100, December.
- Nicholas Barberis & Ming Huang, 2007. "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices," NBER Working Papers 12936, National Bureau of Economic Research, Inc.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Denis Davydov & Jarkko Peltomäki, 2023. "Investor attention and the use of leverage," The Financial Review, Eastern Finance Association, vol. 58(2), pages 287-313, May.
- D’Hondt, Catherine & Elhichou Elmaya, Younes & Petitjean, Mikael, 2021. "Blaming or praising passive ETFs?," LIDAM Discussion Papers LFIN 2021008, Université catholique de Louvain, Louvain Finance (LFIN).
- Catherine D’hondt & Maxime Merli & Tristan Roger, 2021. "What drives retail portfolio exposure to ESG factors?," Post-Print hal-03373287, HAL.
- D’Hondt, Catherine & Merli, Maxime & Roger, Tristan, 2022. "What drives retail portfolio exposure to ESG factors?," Finance Research Letters, Elsevier, vol. 46(PB).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Marie-Hélène Broihanne & Maxime Merli & Patrick Roger, 2016. "Diversification, gambling and market forces," Review of Quantitative Finance and Accounting, Springer, vol. 47(1), pages 129-157, July.
- Patrick Roger & Marie-Hélène Broihanne & Maxime Merli, 2012. "In search of positive skewness: the case of individual investors," Working Papers of LaRGE Research Center 2012-04, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
- Hsin, Chin-Wen & Peng, Shu-Cing, 2023. "Investor propensity to speculate and price delay in emerging markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Stephen G Dimmock & Roy Kouwenberg & Olivia S Mitchell & Kim Peijnenburg, 2021.
"Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field,"
The Review of Financial Studies, Society for Financial Studies, vol. 34(9), pages 4524-4563.
- Stephen G. Dimmock & Roy Kouwenberg & Olivia S. Mitchell & Kim Peijnenburg, 2018. "Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field," NBER Working Papers 24928, National Bureau of Economic Research, Inc.
- Peijnenburg, Kim & Dimmock, Steve & Kouwenberg, Roy & Mitchell, Olivia S, 2018. "Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field," CEPR Discussion Papers 13109, C.E.P.R. Discussion Papers.
- Andreas Oehler & Julian Schneider, 2022. "Gambling with lottery stocks?," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 477-503, October.
- D’Hondt, Catherine & De Winne, Rudy & Merli, Maxime, 2021.
"Do retail investors bite off more than they can chew? A close look at their return objectives,"
Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 879-902.
- D’Hondt, Catherine & De Winne, Rudy & Merli, Maxime, 2021. "Do retail investors bite off more than they can chew? A close look at their return objectives," LIDAM Reprints LFIN 2021015, Université catholique de Louvain, Louvain Finance (LFIN).
- D’Hondt, Catherine & De Winne, Rudy & Merli, Maxime, 2021. "Do retail investors bite off more than they can chew? A close look at their return objectives," LIDAM Discussion Papers LFIN 2021003, Université catholique de Louvain, Louvain Finance (LFIN).
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, June.
- Jondeau, Eric & Zhang, Qunzi & Zhu, Xiaoneng, 2019.
"Average skewness matters,"
Journal of Financial Economics, Elsevier, vol. 134(1), pages 29-47.
- Eric JONDEAU & Qunzi ZHANG, 2015. "Average Skewness Matters!," Swiss Finance Institute Research Paper Series 15-47, Swiss Finance Institute.
- Francisco Gomes & Michael Haliassos & Tarun Ramadorai, 2021.
"Household Finance,"
Journal of Economic Literature, American Economic Association, vol. 59(3), pages 919-1000, September.
- Haliassos, Michael & Gomes, Francisco, 2020. "Household Finance," CEPR Discussion Papers 14502, C.E.P.R. Discussion Papers.
- Gomes, Francisco J. & Haliassos, Michael & Ramadorai, Tarun, 2020. "Household finance," IMFS Working Paper Series 138, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Barber, Brad M. & Odean, Terrance, 2013. "The Behavior of Individual Investors," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1533-1570, Elsevier.
- Abrahamson, Martin, 2016. "“Rookies to the stock market: A portrait of new shareholders”," Research in International Business and Finance, Elsevier, vol. 38(C), pages 565-576.
- Zhao, Xiaojuan & Wang, Ye & Liu, Weiyi, 2024. "Someone like you: Lottery-like preference and the cross-section of expected returns in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
- Elyès Jouini & Paul Karehnke & Clotilde Napp, 2014.
"On Portfolio Choice with Savoring and Disappointment,"
Management Science, INFORMS, vol. 60(3), pages 796-804, March.
- Elyès Jouini & Paul Karehnke & Clotilde Napp, 2013. "On Portfolio Choice with Savoring and Disappointment," Post-Print halshs-00927267, HAL.
- Huang, Helen Hui & Sun, Jianchun & Zhang, Shunming, 2024. "Asset pricing for the lottery-like security under probability weighting: Based on generalized Wang transform," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
- Marinela Adriana Finta & José Renato Haas Ornelas, 2018. "Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia," Working Papers Series 479, Central Bank of Brazil, Research Department.
- Bradrania, Reza & Gao, Ya, 2024. "Lottery demand, weather and the cross-section of stock returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
- Nartea, Gilbert V. & Kong, Dongmin & Wu, Ji, 2017. "Do extreme returns matter in emerging markets? Evidence from the Chinese stock market," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 189-197.
- Guiso, Luigi & Sodini, Paolo, 2013.
"Household Finance: An Emerging Field,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1397-1532,
Elsevier.
- Luigi Guiso & Paolo Sodini, 2012. "Household Finance. An Emerging Field," EIEF Working Papers Series 1204, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2012.
- Guiso, Luigi, 2012. "Household Finance: An Emerging Field," CEPR Discussion Papers 8934, C.E.P.R. Discussion Papers.
- Ji Cao & Marc Oliver Rieger & Lei Zhao, 2019. "Safety First, Loss Probability, and the Cross Section of Expected Stock Returns," Working Paper Series 2019-02, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt, 2013. "Are extreme returns priced in the stock market? European evidence," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3401-3411.
More about this item
Keywords
Leverage ; ETPs ; Retail investors ; Gambling ; Skewness;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G40 - Financial Economics - - Behavioral Finance - - - General
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ajf:louvlr:2021004. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Séverine De Visscher (email available below). General contact details of provider: https://edirc.repec.org/data/lfuclbe.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.