"This paper uncovers strong return reversals in
stock market returns around the last monthly settlement day, T-3, which
guarantees liquidity for month-end cash distributions. We show that these
return reversals are stronger in countries where the mutual fund ownership is
large, and that in the US the return reversals have become stronger over time
as the mutual fund ownership of stocks has increased. Finally, in the
cross-section of stocks, the reversals around turn of the month are stronger
for stocks more commonly held by mutual funds, for liquid stocks, and for more
volatile stocks (controlling for liquidity)."
Has The Bank Of Japan Started Another Round Of Central Bank Wargames?
"Never pick a fight with a central bank. The only one who gets hurt is you. Unless, of course, you
are another central bank."
"So it is not quite true that a currency-issuing
central bank has no opponents. No-one in the private
sector will oppose it, unless they have a deathwish. But other currency-issuing
central banks might, if they perceive its actions as threatening to their own
economies. "
Paradoks płacenia za nieistniejące umiejętności
"W połowie września świat finansów
obiegła wiadomość, że największy fundusz emerytalny w USA – kalifornijski
CalPERS – całkowicie rezygnuje z inwestowania w fundusze hedge. CalPERS jako
powód swojej decyzji podał chęć uproszczenia procesu inwestycyjnego i obniżenia
kosztów. Barry Ritholtz nazwał to wydarzenie kalifornijskim trzęsieniem ziemi w funduszach
hedge."
"Z decyzji CalPERS oraz z komentarzy
odnoszących się do tej decyzji można wyciągnąć dwa interesujące wnioski.
Pierwsze spostrzeżenie dotyczy relacji pomiędzy umiejętnościami zarządzających,
opłatami za zarządzanie i wynikami netto sektora. Matt Levine przedstawił bardzo prosty model ilustrujący pewien paradoks sektora
funduszy hedge."
Asset Quality Review czyli czego boi się Europa?
"Otóż
EBC sprawdza, co kryje się w aktywach największych banków strefy euro i czy
przypadkiem nie dochodzi w nich do zaniżania wag ryzyka a przez to zawyżania
współczynników wypłacalności i fałszowania obrazu kondycji całego sektora
bankowego w Europie. Bankom zależy na tym, aby na papierze ryzyko przez nie
podejmowane było jak najmniejsze, z uwagi na wymogi kapitałowe stawiane im
przez regulacje Basel III/CRR/CRD IV. Zasada generalna jest następująca: im
bardziej ryzykowne aktywa są w bilansie banku, tym więcej kapitału własnego
dany bank powinien posiadać, aby zamortyzować ewentualny default ferelnego
aktywa."
Why is the Shiller CAPE So High?
"Why is the Shiller CAPE so high? In the
last several weeks, a number of prominent academics and financial market
commentators have attempted to answer this question, to include the inventor of
the valuation measure himself, Nobel Laureate Robert Shiller. In this
piece, I’m going to attempt to give a clear answer.
The piece has five parts:
·
In the first part, I’m going to explain why valuations in general are
higher than they have been historically. It’s not just the CAPE that’s
historically elevated; the simple TTM P/E ratio is also historically
elevated, by a reasonably large amount.
·
In the second part, I’m going to highlight the main reason that the
Shiller CAPE has risen relative to the simple TTM P/E over the last two
decades: high real EPS growth. I’m going to introduce a schematic that
intuitively illustrates why high real EPS growth produces a high Shiller CAPE.
·
In the third part, I’m going to explain how reductions in the dividend
payout ratio have contributed to high real EPS growth. In discussing the
dividend payout ratio, I’m going to present a different, potentially more
accurate formulation of the Shiller CAPE, a formulation that conducts the
calculation based on total return instead of price. On
this formulation, the Shiller CAPE falls by around 10%, from 26.0 to 23.5.
·
In the fourth part, I’m going to explain how a secular uptrend in profit
margins has contributed to high real EPS growth over the last two decades.
This effect is the most powerful of all, and is the main reason
why the Shiller CAPE and the TTM P/E have diverged in their valuation signals.
·
In the fifth part, I’m going to outline a set of possible future return
scenarios that investors at current valuations can reasonably expect. I’m
then going to identify the future return scenario that I find most credible."
Ograniczenia wyceny rynkowej
"Media
biznesowe regularnie donoszą o astronomicznych wycenach rynkowych zwłaszcza w
segmencie technologicznych startupów. Informacje o wielomiliardowej wycenie
kilkuletniej spółki, która nie osiąga jeszcze przychodów, nie wspominając o
zyskach, są z reguły pretekstem do rozpoczęcia dyskusji o bańce spekulacyjnej.
Miałem
okazję zapoznać się niedawno z dwoma interesującymi spojrzeniami na ten
problem. Pierwsze z nich przedstawia wyceny technologicznych startupów z
pespektywy niedostępnej dla inwestorów – branżowej, biznesowej. Drugie
podejście sugeruje, że dziennikarze, analitycy i blogerzy nadużywają określenia
„rynek wycenia” (i jego pochodnych) i używają go w kontekście, w którym o
żadnej wycenie rynkowej nie ma mowy."
Don't pin all your hopes on SME asset-backed securities
"So
the idea must be that the presence of the ECB in the SME ABS market would spur
loan issuance. To make a significant difference to credit conditions in the
periphery and repair the broken monetary policy transmission mechanism, that
loan issuance would have to be simply huge and concentrated in periphery
countries. There are several problems with this, to my mind.
Firstly,it
makes a huge assumption about the scale of potential demand for credit in the
periphery from creditworthy SMEs. Is discouraged demand really that huge - or
is there actually a problem with the creditworthiness of potential borrowers,
because of the widespread destruction of physical and human capital in the
periphery? Distressed corporate loans in the periphery are far higher than in the core. That's
why spreads are so high. Why would an SME ABS programme
improve the creditworthiness of borrowers?"
Draghi's Jackson Hole speech has been misunderstood
"Mario Draghi's speech at Jackson Hole on August 22nd caused a considerable stir. For the first
time, he admitted that the absence of a central bank backstop for government
borrowing means both higher borrowing costs for governments and a greater
likelihood of market punishment for profligate governments (...)."
"And the consequences of
this shocking waste of human capital could be serious. Highly-indebted
governments in the Eurozone depend on high tax revenues in the future to reduce
their debt burdens: while even less heavily indebted governments such as
Germany will also need high tax revenues in the future to support their increasing
proportion of elderly. The future fiscal sustainability of the Eurozone depends
on the young people whose futures are currently being systematically destroyed
by unemployment. THIS is what Draghi's speech is about."
7 Reasons the economic crisis is a crisis for economics
"For critics of
mainstream economics, the 2008 financial crisis represents the final nail in
the coffin for a paradigm that should have died decades ago. Not only did
economists fail to see it coming, they can’t agree on how to get past it and
they have yet to produce a model that can understand it fully. A number of books critical of economics have
been written or re-written with the crisis in mind; articles by journalists and critical economists are
keen to use the crisis as evidence of the fields failings; and that
student-led anti-economics initiatives call themselves things like
the 'Post-Crash Economics Society' speaks
for itself.
However, economists
tend to see things differently – in my experience, your average economist
will concede that although the crisis is a challenge, it’s a challenge that has
limited implications for the field as a whole. Some go even further and argue
that it is all but irrelevant, whether due to progress being made in the field
or because the crisis represents a fundamentally unforeseeable event in a
complex world. Below I have
compiled the 7 most common arguments used to defend economic
theory after the crisis, and will consider each of them in turn, with the
quality of the arguments increasing as we go further down the list."
How Significant is the BRICS New Development Bank?
"The argument that the creation of the BRICS Bank could
make a significant difference to the global financial architecture should not
be pushed too far. In the final analysis development banks are instruments of
state capitalist development. Such specialised institutions are needed because
of the shortfalls in the availability of long-term finance for
capital-intensive projects in market economies, resulting from the maturity and
liquidity mismatches involved. Resources mobilised are from those wanting shorter
maturities and greater liquidity, and sums lent are to projects that are large
and illiquid with long gestations lags and long-term profit profiles."
"Whether even this
difference would be material depends on three factors. The first is the degree to which the
emergence of the NDB alters the global financial architecture and perhaps,
therefore, the behaviour of the institutions currently populating it. The
second is the degree to which the BRICS bank can differ in its lending
practices from the institutions that currently dominate the global
development-banking infrastructure. And, the third is the degree to which a
development bank set up as a tool of state-guided development by governments in
countries pursuing capitalist and even neoliberal development trajectories can
indeed contribute to furthering goals of more equitable and sustainable
development."
Subskrybuj:
Posty (Atom)