Vix and More tiene un post sobre la creación de gráficos (hacer gráficos)
For starters, creating charts is easy. Making charts that tell a compelling story only requires a little bit of insight and effort. Sometimes the best way to make a interesting chart is just to look at a bunch of them until one of them jumps off the page and forces you to take notice.
Sitios para hacer gráficos:
www.freestockcharts.com (gratuito)
www.freestockcharts.com (por suscripción, pero hay opciones gratuitas)
Behavioral Portfolio Theory
Abstract
Returns to Buying Earnings and Book Value: Accounting for Growth and Risk
Abstract:
This paper documents that the earnings yield and book-to-price combine to predict equity returns in a way that is consistent with the rational pricing of risk. It is well known that earnings yields predict returns in the cross-section, consistent with standard formulas that show that the earnings yield equals the required return when there is no expected earnings growth beyond that from retention. With growth, those same formulas show that the earnings yield is increasing in the required return but decreasing in the growth. So, if growth is risky and requires a higher return, the determination of the required return from a given earnings yield is problematical. The paper shows that book-to-price facilitates the determination: for a given earnings yield, book-to-price indicates additional return associated with expected growth. The finding provides a rationalization of the well-documented book-to-price effect in stock returns: book-to-price indicates the risk in buying earnings and earnings growth. However, growth identified by a high book-to-price as yielding a higher return is quite different from “growth” typically attributed to a low book-to-price as yielding a lower return. Accordingly, the notion of “growth” versus “value” is redefined.
Link al Paper
MarketBeat -blog del WSJ- tiene un post muy informativo, donde explica de que tratan las nuevas pautas de la SEC sobre short selling.
(…)
Q: Ok, so what’s different about the new uptick rule versus the old uptick rule.
A: Under the old rule, you could short sell at a price above the last trade price, or after the last price was higher than the previous price. Under the new rule, you wouldn’t be able short unless someone was willing to buy it for more than the national best bid. (That is, for a higher price than anyone is currently offering to pay.)
(…)
A: That’s only part of it. The second part is “circuit breaker” element.
Q: Oh yeah. What’s that?
A: That part of the rule says that the shorting curbs come in when a stock’s price falls 10% from the previous day’s close.
Q: For how long?
A: For the entire day in which the shares fell below 10 percent and for the following day.
(…)
Esta tabla pertenece al paper In Defense of Much, But Not All, Financial Innovation
Rortybomb tiene un post comentando dicho paper.
El Fama/French Forum tiene una entrada interesante. Es la respuesta a una pregunta sobre por que las acciones de las empresas en bancarrota vale más que cero.
General Motors may illustrate the point. The SEC and FINRA issued an alert advising investors that the old GM stock, now trading under the ticker MTLQQ, will almost certainly be worthless when the company completes its liquidation. On its own website, the company warns, “Management continues to remind investors of its strong belief that there will be no value for the common stockholders in the bankruptcy liquidation process, even under the most optimistic of scenarios.” Despite these warnings, as of this writing the stock is trading at $0.58 per share. Of course, there is some chance the SEC, FINRA, and management are all wrong and shareholders will eventually receive substantially more than $0.58 — but it seems unlikely.
The Psy-Fi Blog tiene un post sobre como se reflejan en el mercado financiero nuestras preferencias (o sesgos) por ciertos números redondos. Un buen compendio sobre el tema.
Quite why this happens is a source of much debate, although the main theory is that it’s something to do with our cognitive limitations. Perhaps it’s a retrieval problem – the easy availability of round numbers to our mental processes makes them attractive. Perhaps it’s an anchoring problem, where investors unconsciously anchor on easily available round numbers.
Aca estan los papers citados en la nota:
Round Numbers and Securities Returns
Culture and Stock Price Clustering: Evidence from The Peoples’ Republic of China
Price Clustering and Natural Resistance Points in the Dutch Stock Market: A Natural Experiment
Market Reaction to Corporate News and the Influence of the Financial Crisis
Abstract:
Having obtained and classified into news categories a comprehensive dataset of corporate press releases issued between April 2006 and August 2009, we analyze stock price reactions to various types of news. Besides confirming earlier findings regarding the market reaction to financial news, we document strong responses to news about corporate strategy, customers and partners, products and services, management changes, as well as legal developments. We show that return volatility increases and liquidity decreases following most news announcements. Furthermore, we find that the market response to certain types of news changed during the period of the financial crisis. For example, news that are likely to result in higher and less volatile future cash flows, such as announcements of corporate reorganization, new customers and partners, new products, FDA and European drug approvals, as well as legal settlements, led to more positive price reactions; announced plans to raise funds through equity or debt offerings were perceived less negatively; and the market reaction to announcements of share repurchases became even more positive than during the pre-crisis period.
Link al Paper
Momentum and Sports Betting
Abstract:
I document that momentum trading strategies are significantly profitable in an intragame NBA sports betting market. The momentum profits appear to be the result of market underreaction to news, but I find no evidence that the underreaction is driven by the psychological biases that form the foundation of existing behavioral models of momentum. Together, my results suggest that new theories of momentum might be needed.
Link al Paper
The Paradox of Toil
This paper proposes a new paradox: the paradox of toil. Suppose everyone wakes up one day and decides they want to work more. What happens to aggregate employment? This paper shows that, under certain conditions, aggregate employment falls; that is, there is less work in the aggregate because everyone wants to work more. The conditions for the paradox to apply are that the short-term nominal interest rate is zero and there are deflationary pressures and output contraction, much as during the Great Depression in the United States and, perhaps, the 2008 financial crisis in large parts of the world. The paradox of toil is tightly connected to the Keynesian idea of the paradox of thrift. Both are examples of a fallacy of composition.
Link al Paper
