Using proprietary data on bank-issued knock-out warrants written on a stock index, we find that individual investors’ aggregate warrant portfolio speculates against the short-term trend of the index. We argue that contrarian trading is driven by the interaction of product design and investors’ preference for large leveraged positions. Investors tend to open larger positions whenever warrants offer higher leverage. As a result, investors open an aggregate long position when calls offer higher leverage than puts. Since knock-out leverages move systematically with the underlying, aggregate warrant positions become contrarian even if investors do not intend to speculate on reversals.

使用银行发行的敲除权证的专有数据写入股票指数，我们发现个人投资者的总权证投资组合与指数的短期趋势相反。我们认为逆势交易是由产品设计和投资者对大杠杆头寸的偏好的相互作用驱动的。每当权证提供更高的杠杆率时，投资者往往会开设更大的头寸。因此，当看涨期权提供比看跌期权更高的杠杆时，投资者会开设总多头头寸。由于淘汰杠杆随标的物系统地移动，即使投资者不打算投机反转，总的认股权证头寸也会逆势而上。