文章基本信息
- 标题：Margin Trading: Hedonic Returns and Real Losses
- 本地全文：下载
- 作者：Daniel Ladley ; Guanqing Liu ; James Rockey 等
- 期刊名称：Discussion Papers / University of Leicester, Department of Economics
- 出版年度：2016
- 出版社：Leicester
- 摘要：
Margin trading is popular with retail investors around the world. This is a puzzle, since, as we show, it has a negative expected return. Our explanation is that whilst lowering mean returns, the collateral requirement imposed by margin calls induces positive skew in the distribution of returns. Investments in assets with symmetric returns now o
ff er limited losses and a small chance of a large gain, like lottery tickets and other gambles. Results from a unique dataset of retail futures traders show that actual losses are substantial. Traders’ behaviour is demonstrated to be best understood as motivated by hedonic returns.
