Behavioral financial engineering in the fixed-income market: The influence of the coupon structure

In this paper we investigate the influence of coupon structure on the financial behavior of Individual Investors in the fixed-income market. Examining circa 26 million decisions on 204 standard putable bonds with different coupon offerings our major findings are: (i) Products with a flat coupon structure and a high duration attract fewer investors and are significantly more often exercised early, whereas financially equal products with a steeply rising coupon structure arouse more interest among investors and are less often redeemed early. (ii) The shape of the upcoming coupon structure is an important basis on which investors decide which putable bond in a portfolio to exercise early. (iii) Issuers who exploit empirical patterns related to a bond´s coupon structure through "behavioral financial engineering" can benefit from a lower liquidity demand and a diminishing empirical option value

Drei Essays über das vorzeitige Ausübungsverhalten von Privatinvestoren im Fixed-Income Markt

Diese Arbeit untersucht, wie Privatinvestoren vorzeitige Kündigungsrechte in strukturierten Zinsprodukten nutzen. Als Grundlage für die Analyse dient hierbei ein neuartiger, nicht öffentlich verfügbarer Datensatz, der über einen Zeitraum von circa 13 Jahren Entscheidungen von mehr als 800.000 Privatinvestoren über ein weiteres Halten oder eine vorzeitige Kündigung von Putable Bonds (Bundesschatzbriefen) abbildet. Das Ziel der Arbeit ist es, das Verständnis von finanziellen Entscheidungsstrategien von Privatinvestoren theoretisch und empirisch zu erweitern sowie mögliche Unterschiede innerhalb dieser Investorengruppe und im Vergleich zu anderen Kapitalmarktakteuren zu identifizieren. Darüber hinaus soll die Arbeit mögliche Handlungsfelder für Emittenten und Banken, welche vergleichbare Finanzprodukte anbieten, aufzeigen

Individual investors and suboptimal early exercises in the fixed-income market

This paper is the first to analyze and value early exercises of Individual Investors in fixed-income investment products. Assuming decision and transaction costs we consider that a continuous decision-making on holding or exercising is not optimal anymore and propose a new approach to modeling exercise decisions, which endogenously determines the optimal decision strategy. Calibrating our model to a unique data set of about 880,000 early exercises in non-tradable putable bonds over a time period of 13 years indicates that Individual Investors (i) act very heterogeneously, (ii) behave as if they face significant individual transaction and decision costs, (iii) react sluggishly, and that (iv) exogenous effects such as taxes or investors´ desire for liquidity additionally influence early exercise behavior

What Makes Individual Investors Exercise Early? Empirical Evidence from the Fixed-Income Market

This paper studies the empirical early exercise behavior of Individual Investors in non-tradable putable bonds. Analyzing circa 31 million holding and exercise decisions of more than 220,000 Individual Investors over 13 years, our major findings are: (i) Individual Investors use their early exercise right predominantly at points in time that are not economically advisable, which results on average in negative excess returns from exercising. (ii) Only a small fraction of attractive exercise opportunities are exploited over time. (iii) Exercise behavior differs significantly among investor groups and is related to personal characteristics. (iv) The demand for liquidity and financial flexibility is apparently a more important investment and exercise motive than performance seeking

A unified nomenclature and amino acid numbering for human PTEN

The tumor suppressor PTEN is a major brake for cell transformation, mainly due to its phosphatidylinositol 3,4,5-trisphosphate [PI(3,4,5)P] phosphatase activity that directly counteracts the oncogenicity of phosphoinositide 3-kinase (PI3K). PTEN mutations are frequent in tumors and in the germ line of patients with tumor predisposition or with neurological or cognitive disorders, which makes the PTEN gene and protein a major focus of interest in current biomedical research. After almost two decades of intense investigation on the 403-residue-long PTEN protein, a previously uncharacterized form of PTEN has been discovered that contains 173 amino-terminal extra amino acids, as a result of an alternate translation initiation site. To facilitate research in the field and to avoid ambiguities in the naming and identification of PTEN amino acids from publications and databases, we propose here a unifying nomenclature and amino acid numbering for this longer form of PTEN