¿rule of thumb para burbujas o nos ponemos a trabajar?

Sea por el IPO de Linkedin, los commodities u otro activo, la pregunta sobre cómo identificar -ex ante- una burbuja se transforma (cada tanto) en el Santo Grial.

En esta ocacion -y gracias a Abnormal Returns– ofrece una rule of thumb (con 14 items) para identificar una burbuja en tiempo real.

1. Standard Deviations of Valuation: Look at traditional metrics –  valuations, P/E, price to sales, etc. — to rise two or even three standard deviations away from the historical mean.

2. Significantly elevated returns:  The S&P500 returns in the 1990s were far beyond what one could reasonably expect on a sustainable basis. The years around Greenspan’s “Irrational Exuberance” speech suggest that a bubble was forming:

1995    37.58
1996    22.96
1997    33.36
1998    28.58
1999    21.04

And the Nasdaq numbers were even better.

3. Excess leverage: Every great financial bubble has at its root easy money and rampant speculation. Find the leverage, and speculation won’t be too far behind.

(…)

Por otro lado, All About Alpha invita a mirar en la actual bibliografia dura en la materia (Jarrow) posibles herramientas de trading.

Bubbles can create investment opportunities or act as predators for risk managers. While much academic research previously focused on how they formed, papers like this are beginning to provide toolkits for traders and risk managers to see, in real-time, the formation and presence of bubbles in a range of asset classes.

Gráfico du Jour: Si el mundo termina hoy, ¿cuánto deberían pagar?

(Fuente: Sec Filings, via CNN Money)

Paper: No aprendes más

THIS TIME IS THE SAME: USING BANK PERFORMANCE IN 1998 TO EXPLAIN BANK PERFORMANCE DURING THE RECENT FINANCIAL CRISIS

We investigate whether a bank’s performance during the 1998 crisis, which was viewed at the time as the most dramatic crisis since the Great Depression, predicts its performance during the recent financial crisis. One hypothesis is that a bank that has an especially poor experience in a crisis learns and adapts, so that it performs better in the next crisis. Another hypothesis is that a bank’s poor experience in a crisis is tied to aspects of its business model that are persistent, so that its past performance during one crisis forecasts poor performance during another crisis. We show that banks that performed worse during the 1998 crisis did so as well during the recent financial crisis. This effect is economically important. In particular, it is economically as important as the leverage of banks before the start of the crisis. The result cannot be attributed to banks having the same chief executive in both crises. Banks that relied more on short-term funding, had more leverage, and grew more are more likely to be banks that performed poorly in both crises.

Link al Paper