Pricing and issuance dependencies in SFP portfolios
利用结构化金融产品的独特样本，分析了不同类型市场挂钩投资工具之间的定价与发行依赖性，发现互补收益特征的产品存在交叉定价，且发行模式表明发行者利用这种互补性。
We exploit a unique sample of structured financial products (SFPs) to analyze pricing and issuance dependencies among different types of such market‐linked investment vehicles. Our study provides evidence of cross‐pricing between products with complementary payoff profiles. Such dependencies may be explained by issuers’ efforts to generate order flow for products that supplement their current SFP risk exposure. Additionally, we observe issuance patterns in line with the argument that issuers exploit the complementarity payout profiles when bringing SFPs to market. Our study emphasizes cross‐pricing from a perspective not previously considered in the literature.