@article{91a9ad75418543ee80e6c6f6dc4128ad,
title = "Investment analysis of autocallable contingent income securities",
abstract = "Autocallable contingent income securities (autocalls) have payouts contingent on the performance of an underlying asset and give investors an opportunity to earn high yields in a low-interest environment. The authors collected data on US-issued autocalls and modeled a typical autocall under various assumptions, finding that they are issued on underlying assets that display high volatility, high prices, and negative skewness. Incorporating stochastic volatility into the model explains some of the overpricing routinely reported in prior studies.",
author = "Rui Albuquerque and Gaspar, \{Raquel M.\} and Allen Michel",
note = "Funding Information: We thank Kyle Darres for his excellent research assistance, Rachael Christensen and Scott McEwan of Morgan Stanley for providing data, and Harvey Boshart, CFA, of JPMorgan Chase for his generous assistance and review of the project. We are particularly grateful to Steve Ross and the Squire Ridge Company, LLC, for their financial assistance. In addition, Rui Albuquerque acknowledges the Portuguese Science Foundation for financial support under the project PTDC/EGE-GES/120282/2010, and research con-ducted by Raquel Gaspar was partially supported by the Portuguese Science Foundation under the SANAF project UTA\_CMU/MAT/0006/2009. Funding Information: We thank Kyle Darres for his excellent research assistance, Rachael Christensen and Scott McEwan of Morgan Stanley for providing data, and Harvey Boshart, CFA, of JPMorgan Chase for his generous assistance and review of the project. We are particularly grateful to Steve Ross and the Squire Ridge Company, LLC, for their financial assistance. In addition, Rui Albuquerque acknowledges the Portuguese Science Foundation for financial support under the project PTDC/EGE-GES/120282/2010, and research conducted by Raquel Gaspar was partially supported by the Portuguese Science Foundation under the SANAF project UTA\_CMU/MAT/0006/2009. Publisher Copyright: {\textcopyright} 2015 CFA Institute.",
year = "2015",
doi = "10.2469/faj.v71.n3.4",
language = "English",
volume = "71",
pages = "61--83",
journal = "Financial Analysts Journal",
issn = "0015-198X",
publisher = "Taylor and Francis Ltd.",
number = "3",
}