This study examines the relationship between the return and the holding cost of equity-linked pay-at-maturity principal protected notes (EL-PAM-PPNs) and the mean return and volatility of the underlying portfolio using 1568 EL-PAM-PPNs issued in the UK and Canada between 2003 and 2015. We find...

Using the "Dragon and Tiger" list, we construct a clean indicator that directly measures investor attention, empirically test the effect of investor attention on stock return under negative shocks and whether the effect is affected by the bull or bear market, the industry, firm size, age and...