Posts Tagged ‘SEC


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

(Fuente: Sec Filings, via CNN Money)


Reporte sobre el Flash Crash

La SEC presento el reporte relacionado al Flash Crash del pasado mayo.

On May 6, 2010, the prices of many U.S.-based equity products experienced an extraordinarily rapid decline and recovery. That afternoon, major equity indices in both the futures and securities markets, each already down over 4% from their prior-day close, suddenly plummeted a further 5-6% in a matter of minutes before rebounding almost as quickly.Many of the almost 8,000 individual equity securities and exchange traded funds (“ETFs”) traded that day suffered similar price declines and reversals within a short period of time, falling 5%, 10% or even 15% before recovering most, if not all, of their losses. However, some equities experienced even more severe price moves, both up and down. Over 20,000 trades across more than 300 securities were executed at prices more than 60% away from their values just moments before. Moreover, many of these trades were executed at prices of a penny or less, or as high as $100,000, before prices of those securities returned to their “pre-crash” levels.By the end of the day, major futures and equities indices “recovered” to close at losses of about 3% from the prior day.

Link al Reporte.



Notas relacionadas.

FT Alphaville

Themis Trading


Q&A: nuevas reglas de short selling

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.



Lunes de Papers, entre predicciones y red flags…

International Stock Return Predictability: What is the Role of the United States?

We present significant evidence of out-of-sample equity premium predictability for a host of industrialized countries over the postwar period. There are important differences, however, in the nature of equity premium predictability between the United States and other developed countries. Taken collectively, U.S. economic variables are significant out-of-sample predictors of the U.S. equity premium, while lagged international stock returns have no predictive power. In contrast, lagged international stock returns – especially lagged U.S. returns – substantially outperform economic variables as out-of-sample equity premium predictors for non-U.S. countries, pointing to a leading role for the United States with respect to international return predictability. The leading role of the United States is consistent with information frictions in international equity markets. In addition, the predictability patterns are enhanced during economic downturns, linking return predictability to business-cycle fluctuations and the diffusion of news on macroeconomic fundamentals across countries. The leading role of the United States stands out during the recent global financial crisis: lagged U.S. stock returns deliver especially sizable gains for forecasting the monthly equity premium in other countries, evidenced by out-of-sample R^2 statistics of 10% or greater, more than triple the postwar average.

Link al Paper (Bajarlo de Chicago Booth)

Barron’s Red Flags: Do They Actually Work?

Investors are often concerned that managers might hide negative information in the maze of mandated SEC filings. With advances in textual analysis and the availability of documents on EDGAR, individuals can quite easily search for phrases that might be red flags indicating aggressive accounting practices or poorly monitored management. We examine the impact of 13 suspicious corporate phrases identified by a recent Barron’s article in a sample of 50,115 10-Ks during 1994-2008. There is evidence that red flag phrases like related party and unbilled receivables signal a firm may subsequently be accused of fraud. At the 10-K filing date, phrases like substantial doubt are linked with significantly lower filing date excess stock returns, higher stock return volatility, and greater analyst earnings forecast dispersion.

Link al Paper (Bajarlo de Chicago Booth)


SEC busca regular Dark Pools y HFT

Nota de FT Alphaville (21/10/09)

Video donde habla Mary Schapiro de la SEC sobre los Dark Pools y la intencion de regularlos.

Bonus Track: Naked Capitalism comenta sobre un extracto del libro Too Big to Fail de Sorkin.

Fun & Finance


Fun & Finance Rollover

"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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July 2020



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