"Zacznijmy od banalnej
konstatacji, iż zabicie OFE zmienia radykalnie atrakcyjność polskiego rynku z
punktu widzenia emitentów. Faktyczne zgaszenie II filara systemu emerytalnego,
mizeria III filara oraz ciągle daleki od siły znanej z innych giełd rynek TFI
powodują, iż GPW straci ważną przewagę, jaką miała na innymi rynkami w
regionie. Zwyczajnie to, co przyciągało zagraniczne spółki na GPW przestaje
istnieć. W praktyce oznacza to, iż GPW właśnie przestaje być rynkiem
regionalnym a staje się znów rynkiem lokalnym, którego przyszłość w największym
stopniu zależy od oferty rodzimej gospodarki. Inaczej rzecz ujmując to, czy
pula spółek będzie na GPW rosła zależy teraz głównie od liczby przyszłych
debiutów kreowanych przez polską gospodarkę."
Millionaires survey: Go ahead, tax us more!
O tym, jak to (być może paradoksalnie) większość milionerów
popiera większe opodatkowanie zamożnych oraz zwiększenie płacy minimalnej.
"CNBC's first-ever Millionaire Survey reveals that 51 percent of
American millionaires believe inequality is a "major problem" for the
U.S., and nearly two-thirds support higher taxes on the wealthy and a higher
minimum wage as ways to narrow the wealth gap."
It's Not Just Banks That Are Too Big To Fail
"Following the financial
crisis, worries about failures in over-the-counter (OTC) derivatives trading
causing destabilizing runs and market crashes have led regulators to force most
OTC trades to be cleared through central counterparties (CCPs). CCPs act like
clearing banks, taking on their own books the risk of the seller
defaulting. Sellers clearing OTC trades through a CCP can (in theory) default
on payment without risking the entire system unravelling.
But this creates a problem. What
happens if a CCP fails? Of course, the way CCP-cleared OTC trades are
structured should minimize this risk. CCPs require sellers to post initial
margin in the form of cash or government bonds to cover expected volatility
during the lifetime of the trade, and they also require posting of variation
margin in cash to cover daily price movements. As everything is fully margined
in liquid safe assets, there should in theory be no shortfalls and no defaults.
But…..cash margin requirements
don’t necessarily make the system safer. Firms with largely illiquid balance
sheets, such as large insurance companies, can have difficulty raising the cash
to meet large increases in variation margin. The principal cause of the failure
of AIG in 2008 was cash margin calls on OTC credit default swaps that it
was unable to meet. And this brings me back to the question – what happens if a
CCP fails?"
Premia braku płynności
"Problem płynności był poruszany w badaniach
ilościowych nad zachowaniem rynku akcyjnego. Na przykład jedną z hipotez
wyjaśniających premię małych spółek jest sugestia, że wynika ona z ich niskiej
płynności. Jak jednak podkreślają ICKH większość tego typu badań nie uwzględnia
płynności jako czynnika kontrolnego.
Zauważmy
trzy rzeczy: po pierwsze, inwestowanie czynnikowe opiera się na historycznej
przewadze pewnego typu spółek (mniejszych, z niższymi wskaźnikami
fundamentalnymi, z większym momentum), która może ale nie musi być trwałą
tendencją. Po drugie, historyczna przewaga stóp zwrotu nie oznacza przewagi w
każdym okresie – występują lata i serie lat, w których tendencje się odwracają.
Po trzecie, z powyższych powodów każde inwestowanie czynnikowe jest inwestowaniem
aktywnym – opiera się na założeniu, że jakiś typ spółek zachowa się lepiej niż
cały rynek.
Warto
także zwrócić uwagę, że turnover jest jednym z wielu sposobów mierzenia
płynności. Można ją mierzyć spreadem pomiędzy ofertami kupna i sprzedaży, ilością
kapitału potrzebnego do zmiany ceny i innymi miarami. ICKH zdecydowali się na
turnover tak jak większość badaczy mierzy wartość albo przez wskaźnik cena/zysk
albo przez wskaźnik cena/wartość księgowa."
Do retail traders suffer from high frequency traders?
"Using a change
in regulatory fees in Canada in April 2012 that affected algorithmic quoting
activities, we analyze the impact of high frequency quoting and trading on
market quality, trader behavior, and trading costs and profits. Following the
change, algorithmic message traffic, i.e. the number of orders, trades, and order
cancellations, dropped by 30% and the bid-ask spread rose by 9%. Using trader-level
data, we attribute this change to message-intensive algorithmic traders reducing
their activity, and we show that their reduced activity had a negative impact on
retail traders’ intraday returns, in particular on their returns from limit orders.
We further find that institutional traders’ intraday returns from market orders
increased."
“There Will Be Growth in the Spring”: How Well do Economists Predict Turning Points?
"Since the
onset of the Great Recession, much of the world has been in a state of economic
winter: nearly 50 countries were in recession in 2009 and 15 countries slipped
into recession in 2012. After weak global growth in 2013, economic forecasters
are predicting a rosier outlook this year and next. Can these forecasts
be trusted?"
"As shown
above, none of the 62 recessions in 2008–09 was predicted as the previous year
was drawing to a close. However, once the full realisation of the magnitude and
breadth of the Great Recession became known, forecasters did predict by
September 2009 that eight countries would be in recession in 2010, which turned
out to be the right call in three of these cases. But the recessions in 2011–12
again came largely as a surprise to forecasters."
High Frequency Trading: All You Need To Know
"So the bottom line: HFT is legal
frontrunning... but also so much more. In fact, like the TBTF banks, HFT
itself has become so embedded in the topological fabric of modern market
structure, that any practical suggestions to eradicate HFT at this point are
laughable simply because extricating HFT from a market - which indeed is rigged
but not only by HFTs at the micro level, but more importantly by the Federal
Reserve and global central banks at the macro - is virtually impossible without
a grand systemic reset first. Which is why regulators, legislators and
enforcers will huff and puff, and... end up doing nothing. Because if
there is one thing the TBTF systemic participants have, is unlimited leverage
to collect as much capital due to being in a position of systematic importance
in a market, rigged or otherwise.
Finally, if push comes to
shove, and the fate of HFT is threatened, watch out below, because if HFT's
presence, glitchy as it may have been, led to the May 2010 flash crash and the
subsequently unstable market which has exhibited at least one memorable crash
every single month, then the threat of pulling the marginal trader which now
accounts for 70% of all stock churn and volume (if certainly not liquidity)
would have consequences comparable to the Lehman collapse."
Five explanations for Greece’s bond yield
"The biggest news in the sovereign debt world this week
has come from Greece, which managed to sell some €3 billion in new 5-year
bonds at a yield of just 4.95%. This is not what you might expect, given the macroeconomic situation:
Greece’s debt currently stands at
about 320 billion euros, or 175 percent of GDP. It is rated nine notches below
investment grade at Caa3 by Moody’s. Standard and Poor’s and Fitch rank Greece
six notches below investment grade at B-.
So,
how does one explain investors’ appetite to buy this debt at such low yields?"
Framework for Understanding Market Tops and Bottoms
"Today the market shows many of the elements that are
present near market tops. In particular, sentiment is extremely bullish,
investors are long and leveraged, and valuations are extended on a wide variety
of measures. However, leading economic indicators are still not negative, and
so far breadth and technicals have not deteriorated. The medium-term stock
market returns are likely to be negative due to excessive valuation, but there
is no imminent sign of a medium-term market top.
Tops are a process, not a single event. They tend to last a
long period of time, and markets whipsaw traders and disappoint bears and short
sellers. For example, many signs of a market top were clearly visible in late
1998, but it was not until the end of 2000 that most major market indices
started to collapse. Likewise, many elements of a market top were evident in
late 2006, but markets didn’t begin to collapse until very early 2008. "
The Trade Deficit: The Biggest Obstacle to Full Employment
"This analysis has four
parts. The first discusses the basics of national income accounting and
explains how trade deficits amount to a loss of demand that must be offset from
other sources if the economy is to sustain a full-employment level of output.
The second part outlines the origins of our large recent trade deficits. The
United States has run trade deficits for most of the last four decades, but
they became qualitatively larger in the late 1990s, in line with a rising value
of the dollar. The third section discusses how lowering the value of the dollar
relative to other currencies could make U.S. goods and services more competitive
internationally. The fourth section addresses some of the implications of a
lower-valued dollar and balanced trade. It has often been claimed that the
United States must run a trade deficit because of the dollar’s status as a
reserve currency. As will be shown, this claim misunderstands both the nature
of reserve currencies and the workings of the international finance system."
Subskrybuj:
Posty (Atom)