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Here's my take on why TARP capital injections might not work. One of the big problems now is counterparty risk. Who knows which banks are solvent? You can't tell from their balance sheets b/c we don't know who has the bad assets, and you can't trust the marks. IMHO if you skip the...

Not really. Maybe for your personal portfolio but not for an institution. It can get pretty complex when you are aggregating over lots of portfolios and instruments, have quickly changing exposures, use multpile risk factors that may or may not have predictable correlations, and have...

I strongly disagree with the statement that quant risk management/VAR is useless. It is not sufficient but it is neccessary. I agree that it doesn't work for tail risk and you have to add on management judgement, extreme scenarios, etc but that is not what VAR is for. Even if it does not work...

So here's a crazy idea. Instead of offering loans, let's put the bailout in the form of a big car purchase. That way if it doesn't work out, at least the government can keep the cars. $25B should buy about a million nice cars even if the taxpayers pay retail.

I gotta go with Wareco on this. By your definition issuing debt would be dilutive. The coupon on the preferred is no different from interest on debt, both reduce eps. This is leverage not dilution, the common get a residual claim on a larger asset base than before without putting in more...

It depends, some people do it on a relative basis - try to always be in the relatively cheap stocks even if they are expensive in an absolute sense, and underweight or short the relatively expensive ones.

I sure hope my sperm never get rights, they could sue me for all kinds of stuff.

Can anyone who doesn't like MTM explain the logic behind letting 2 firms holding identical portfolios report different values on their balance sheets just because they bought them at different times? What the hell is that? I am guessing historical cost with some subjective impairments is the...

I thought it was that simple with an electronic order book market like the eminis, where you don't have a specialist or block trades or anything like that to complicate things. Unless a stale quote is getting picked off, a trade at the bid means somebody is paying the spread to sell and vice...

They use first price and then time priority rules to match incoming orders with resting orders in the book. If the incoming order is a market order or a limit order that can trade immediately, it trades with the opposite order in the book at the best price. If there is more than one order at...

Maybe it sucks to be on the wrong side of it, but you have to understand the broker's position. They are extending short term credit collateralized by the stock in your account. What else are they supposed to do when they get nervous about the quality of collateral? Risk taking a big hit...

It seems like you could get around the short ban by shorting index futures and buying back all the components other than the what you wanted to short. Maybe this is impractical for most individuals but I am sure it is doable for many market participants, and as far as I can tell is not...

Value line sells very good fundamental data relatively inexpensively. Compustat is the best but big $.

On second thought, maybe 2) wouldn't work if index futures are messed up by short sale restrictions. The no-arb pricing relationship for the futures would break down. The world wouldn't work right anymore.

Anybody have any thoughts what a short selling ban would do to the equity options markets? I know the initial reports of a total ban were exaggerated or premature, but I am curious how it would play out if it really happened. I have a few guesses, all leading to lower liquidity: 1) MM's...

No problem. If you look up the Chan paper in Google scholar it will give you a list of all the papers that reference it.

second one

Here are the papers. It has been a while since I read them, but from what I remember speed is not a huge issue, there is some long term over or underreaction. Also, I think they don't parse the news, they infer the content from the market reaction or something like that.

I don't get this part - are you saying non-standard assets shouldn't exist, shouldn't be traded, or shouldn't be held by certain types of financial institutions? Or are you saying tier 3 disclosures are not needed? The part of this that seems problematic is that a lot of our economy is tier...

I don't think the logic has to be all that sophisticated to have some value. Just the fact that a company has been mentioned in a headline is useful. I have seen academic papers that use news databases and show stocks with large returns accompanied by a headline react differently than stocks...