Price discovery in HOLDR security baskets and the underlying stocks

Thomas Henker, Martin Martens

Research output: Contribution to conferencePaperResearch

Abstract

HOLDRs, a type of basket security, enable investors to purchase an entire industry sector with one transaction. We examine the link between HOLDR basket securities and the underlying stocks. Contrary to the findings of studies using other basket securities, with HOLDRs we find that the price of the portfolio of underlying securities is more informative than and leads the HOLDR (basket) price. Our results are the first empirical confirmation of Subrahmanyam's (1991) theoretical model of the interaction of the redundant security with its underlying assets.
Original languageEnglish
DOIs
Publication statusPublished - 2005
EventFinancial Management Association International Meeting - Chicago, United States
Duration: 11 Oct 200514 Oct 2005

Conference

ConferenceFinancial Management Association International Meeting
Abbreviated titleFMA
CountryUnited States
CityChicago
Period11/10/0514/10/05

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Price discovery
Purchase
Investors
Industry
Interaction
Assets

Cite this

Henker, T., & Martens, M. (2005). Price discovery in HOLDR security baskets and the underlying stocks. Paper presented at Financial Management Association International Meeting, Chicago, United States. https://doi.org/10.2139/ssrn.924520
Henker, Thomas ; Martens, Martin. / Price discovery in HOLDR security baskets and the underlying stocks. Paper presented at Financial Management Association International Meeting, Chicago, United States.
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Henker, T & Martens, M 2005, 'Price discovery in HOLDR security baskets and the underlying stocks' Paper presented at Financial Management Association International Meeting, Chicago, United States, 11/10/05 - 14/10/05, . https://doi.org/10.2139/ssrn.924520

Price discovery in HOLDR security baskets and the underlying stocks. / Henker, Thomas; Martens, Martin.

2005. Paper presented at Financial Management Association International Meeting, Chicago, United States.

Research output: Contribution to conferencePaperResearch

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AB - HOLDRs, a type of basket security, enable investors to purchase an entire industry sector with one transaction. We examine the link between HOLDR basket securities and the underlying stocks. Contrary to the findings of studies using other basket securities, with HOLDRs we find that the price of the portfolio of underlying securities is more informative than and leads the HOLDR (basket) price. Our results are the first empirical confirmation of Subrahmanyam's (1991) theoretical model of the interaction of the redundant security with its underlying assets.

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Henker T, Martens M. Price discovery in HOLDR security baskets and the underlying stocks. 2005. Paper presented at Financial Management Association International Meeting, Chicago, United States. https://doi.org/10.2139/ssrn.924520