Schlachtbummel Capital Partners
Via Henry's shared items, Legacy Of Ashes meets "The Econometrics Of Financial Markets". In all honesty, these studies have to be taken as "just a bit of fun" rather than anything that's going to throw up a causal link you can hang your hat on, because there are always all sorts of other things going on - the search space is just too big - and because everything's interrelated in all sorts of ways - there really were lots of genuine reasons to be short the airlines going into September 2001. But jolly good fun withal, and the nonparametric test they outline looks sensible to me. Update Thanks ajay for the nonsubscriber link!
I thought that paper looked familiar; I remember reading it in 2008.
ReplyDeleteBut yes, it's great stuff. Here's a non-subscriber link
http://emlab.berkeley.edu/users/webfac/bardhan/e271_f08/suresh.pdf
I tried to make this comment sound helpful and non-arsey but I just couldn't. It's not intended to be, honest.
Also, is it just me or is this an interesting business model, the kind of thing that Thorn Conflict Investments might get into?
ReplyDeleteAhh cheers. See, if you had your own blog you could post things like this on it.
ReplyDeleteWith respect to the business model, the problem is that you can't really test for the cases in which the Sekrit Syndicate received a bad tip and lost their shirts. There is understandably little research on this, but it's generally believed in my circles that many or even most insider dealers lose money, simply because their inside tips are stale, partial or (most usually) more widely known than they're represented. "Reminiscences of a Stock Operator" certainly cautions against the use of inside tips for this reason.
ReplyDeleteIf you could be *absolutely* sure of the quality of your CIA tips, then I would say that if you weren't making money out of that somehow you weren't trying, but you wouldn't do it in this specific way probably - there just aren't enough nationalised former subsidiaries of quoted companies available any more. And even then, trading something like the Havana Club brand dispute is actually a lot more difficult and a lot more face-rip-offy than it looks in these ex post econometric studies.
Really? Oh well, back to the Air America cargo planes full of cocaine then.
ReplyDeleteIf you've got an Air America cargo plane full of cocaine and you're not making money, then you're probably doing cocaine.
ReplyDeleteI knew it was a mistake to get Robert Downey Jr involved in this project. That plane was fully-loaded when I left it. There goes my projected return on capital.
ReplyDeleteThis should perhaps be known as the Talleyrand strategy?
ReplyDelete(There are surely antecedents, probably going back at least to Rome, but are any of them well documented? Talleyrand's case is extremely well documented, both by others and through his own boasts.)