Posts Tagged ‘stocks

27
May
11

Fun & Finance: Capítulo 9, Acciones Argentinas

En este capítulo -que introduce la tematica de acciones-, Hector le cuenta a Gaston como fue el año 2010 para el MERVAL, cuales fueron las estrellas de ese año. Y lo mas importante, como empezar a ver si una accion esta barata.

18
Sep
10

Paper: Volatilidad implícita y poder predictivo

Do Implied Volatilities Predict Stock Returns?

Abstract:
Using a complete sample of US equity options, we find a positive, highly significant relation between stock returns and lagged implied volatilities. The results are robust after controlling for a number of factors such as firm size, market value, analyst recommendations and different levels of implied volatility. Lagged historical volatility is – in contrast to the corresponding implied volatility – not relevant for stock returns. We find considerable time variation in the relation between lagged implied volatility and stock returns.

Link al Paper

18
Apr
10

Screening de Acciones

FINVIZ.com es un sitio financiero donde verdaderamente los datos se vuelven información. Vale la pena perder horas mirando sus mapas y haciendo screening.

03
Feb
10

Paper: Retornos y la Hipotesis de Mercados Adaptativos

Stock Return Predictability and the Adaptive Markets Hypothesis: Evidence from Century Long U.S. Data

Abstract:
We study return predictability of the Dow Jones Industrial Average indices from 1900 to 2009. We find strong evidence that time-varying return predictability is driven by changing market conditions, consistent with the implications of the adaptive markets hypothesis. During market crashes, no return predictability is observed, but an extreme degree of uncertainty is associated with return predictability. During fundamental economic or political crises, stock returns have been highly predictable with a moderate degree of uncertainty. During economic bubbles, return predictability and its uncertainty have been smaller than normal times.

Link al Paper

02
Feb
10

existe el size effect?

Eso se pregunta Michael Stokes-Market Sci Blog– en su post Small Cap Outperformance Debunked.

El efecto tamaño –size effect– dice que las empresas de menor tamaño (menor capitalización de mercado) tienden a tener mayores retornos promedio que las empresas de mayor tamaño.

Stokes -en este articulo- cuestiona que dicho efecto tenga tanta relevancia -o por defecto: que exista- y busca una explicación más relacionada al efecto de la volatilidad.

It’s pretty simple: because small-caps are pretty well correlated to large-caps but about 30% more volatile, when the market goes up they tend to go up more (and vice-versa). So because of the general upward bias of the market, small-caps have naturally tended to outperform large caps. That’s NOT a size effect, that’s a volatility/beta effect.

CXO Advisory tiene un listado de posts (que linkean a su vez a papers) relacionados al size effect.

30
Jan
10

Opciones y VIX

Adam Warner tiene un post en Option Zone sobre si graficar el CBOE Volatility Index (VIX) brinda información para armar posiciones. Más alla del motivo central del articulo, que el autor propone cierta cautela, es interesante como explica que el VIX no es una acción, y por ende el trader tiene que considerar otras cosas tambien.

Remember first and foremost that the VIX is not a stock; it’s a statistic that’s designed to estimate volatility of an S&P 500 (SPX) option with 30 days until expiration. As such, normal rules of supply and demand that we use to gauge chart points on a stock simply do not work as well on the VIX.

Let’s say for example that Trader Joe spends $4,000 on at-the-money straddles in SPX with the VIX at 25, and SPX rallies. He’s now effectively long, so he sells some e-mini S&P 500 futures against the straddle he owns.

Now let’s say SPX retreats and he buys it back and earns $2,000 on the flip. Meanwhile, the VIX has declined to 21, but he can sell his straddle back out for $3,000. The fact that implied volatility dipped 4 points does not bother him; he lost $1,000 on his actual options between the dip in volatility and the time decay, but having the position allowed him to take advantage of the realized volatility in SPX itself.

And that’s the whole point, the option trader has all sorts of moving parts to consider. There’s implied volatility, of course, but there’s also the action in the underlying instrument itself, and then there’s the time value.

30
Jan
10

Paper: Spread como proxy de default

Is there a Distress Risk Anomaly? Corporate Bond Spread as a Proxy for Default Risk

Abstract:
Although financial theory suggests a positive relationship between default risk and equity returns, recent empirical papers find anomalously low returns for stocks with high probabilities of default. We show that returns to distressed stocks previously documented are really an amalgamation of anomalies associated with three stock characteristics – leverage, volatility and profitability. In this paper we use a market based measure – corporate credit spreads – to proxy for default risk. Unlike previously used measures that proxy for a firm’s real-world probability of default, credit spreads proxy for a risk-adjusted (or a risk-neutral) probability of default and thereby explicitly account for the systematic component of distress risk. We show that credit spreads predict corporate defaults better than previously used measures, such as, bond ratings, accounting variables and structural model parameters. We do not find default risk to be significantly priced in the cross-section of equity returns. There is also no evidence of firms with high default risk delivering anomalously low returns.

Link al Paper




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