Do Issuer Funding Constraints Impact the Prices of Structured Retail Products

摘要: I test several hypotheses that may explain the asymmetric widening of bid-ask spread driven by lower bid quotes index structured retail products (SRPs) during 2007-2009 financial crisis. In addition to volatility, identify issuer capitalization as most important price determinant. Bid from issuers with low equity ratios declined 65% more than those remaining issuers. This drop is even greater in SRPs do not face competition and replicate riskier indices because higher net selling pressure. The results suggest can influence SRP pricing.