TY - JOUR AU - Baule, Rainer AU - Blonski, Philip PY - 2015/11/30 Y2 - 2024/03/28 TI - The Demand Function for Bank-Issued Warrants JF - Applied Finance Letters JA - AFL VL - 4 IS - 1 & 2 SE - Articles submitted to regular issue DO - 10.24135/afl.v4i1and2.28 UR - https://ojs.aut.ac.nz/applied-finance-letters/article/view/28 SP - 12-19 AB - Bank-issued warrants are securitized options which are particularly designed to give smaller individual investors the opportunity to participate in the derivative markets. As banks incorporate potentially different margins on top of the theoretical fair values of the products, investors face the problem of choosing an optimal product. While previous literature has characterized individual investors as “noise traders”, this paper finds that they do act pricesensitively. In particular, we provide evidence that demand decreases with increasing margins, but also show that larger investors still realize lower margins than smaller investors. ER -