Portfolio Insurance for the Small Investor in Switzerland

The Valuation of Structured Products: Empirical Findings for the Swiss Market

“…The discovered misvaluation is thus significant. This finding agrees with the results published by BURTH et al (2001) and WASSERFALLEN and SCHENK (1996) and confirms that structured products in Switzerland are in general wrongly valued to the investors' disadvantage at the time they are issued. On average, issuing institutions value structured products to their own advantage.…”

“…Although this result indicates that, generally, issuing institutions still value products in the secondary market to their advantage, it also shows that the extent of the misvaluation has been reduced. This finding tallies in part with the results published by WASSERFALLEN and SCHENK (1996), whose conclusion was that issuers were even pricing to the investors' advantage in the secondary market. [8] The relativisation that was brought forward for the primary market is not applicable to the results for the secondary market.…”

“…Two studies already exist for the Swiss market. WASSERFALLEN and SCHENK (1996) look into the price behaviour of thirteen structured products with a capital guarantee listed on the SMI. The results clearly show that the structured products tend to be overvalued at issue, and have a tendency to be undervalued in the secondary market.…”

Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates

“…They use the default-free theoretical value as a reference and compare it with prices quoted by the banks. The same holds for Wasserfallen and Schenk (1996) and Burth, Kraus, and Wohlwend (2001) in their analysis of capital-guaranteed products and reverse convertibles and discount certificates, respectively, in the Swiss market. Wilkens, Erner, and Röder (2003) are the first to consider credit risk when investigating the quotes of reverse convertibles and discount certificates in the German market.…”

Market makers’ optimal price-setting policy for exchange-traded certificates

“…In fact, theoretical models imply that investors' demand for certificates can hardly be justified by standard preferences (Breuer and Perst, 2007;Branger and Breuer, 2008;Bernard 1 Other studies reporting overpricing include for the US Chen and Kensinger (1990); Chen and Sears (1990); Baubonis et al (1993); Benet et al (2006), for Germany Stoimenov and Wilkens (2005); Muck (2006); Wilkens and Stoimenov (2007); Baule et al (2008); Baule (2011); Baule and Tallau (2011), for Switzerland Wasserfallen and Schenk (1996); Burth et al (2001); Grünbichler and Wohlwend (2005); Wallmeier and Diethelm (2009), and for the Netherlands Szymanowska et al (2009).…”