This paper considers the realized returns of individual investors in warrants and leverage certificates. First, we derive a general formula that analytically decomposes the return into several economically meaningful components that are related to investor's trading behavior and the issuers'...

This paper analyzes the pricing policy of banks for retail exchange-traded leverage certificates. Based on a unique trade data set, we analyze the order flow induced by the investors and compare traded prices with corresponding theoretical fair product values. Our major results are: (i) Intraday...