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Autocall versus underlying assets : A study on how changes in the return of the underlying assets affect the autocall's returns

Autocallable structured products represent an investment opportunity which has been growing in both the European and American market since they were first launched. The value of these structured products is dependent on how their underlying assets perform, which can consist of stocks, indexes or other assets. With a sample size of 30 structured products we provide research on the relation between the products return and the return of the underlying assets. Specifically, the purpose of the study is to analyse how increases in the returns of the underlying assets affect the returns in the products. Using an ordinary least squares regression model, we find that the return in the underlying assets, the issuers credit rating and the interest rate at issuance have a statistically significant effect on the returns in the products. We conclude that in our sample, an increase in the underlying assets returns results in a less than equal increase in the returns of the autocalls.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hj-49485
Date January 2020
CreatorsWårhag, Elias, Tepes, Ioan
PublisherInternationella Handelshögskolan, Jönköping University, IHH, Nationalekonomi, Internationella Handelshögskolan, Jönköping University, IHH, Nationalekonomi
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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