Monday, June 28, 2010
Friday, June 18, 2010
Wednesday, June 16, 2010
Tuesday, June 15, 2010
Meanwhile, in the recent 34years between 1976 and 2009, the average yield of Moody's AAA bonds was 8,36% vs 7,63% returned by S&P500. The Fed Funds Rate averaged 6,13%. Even that the risk premium for S&P500 was a little higher - 151 pp - than in the first analyzed period, it was below the premium on AAA bonds!
It is also worth mentioning that no straight correlations between GDP, Fed Funds Rate and GDP existed
correlation GDP Fed Funds Rate
S&P500 -0.0383 -0.0689
XLS file: http://www.mediafire.com/?yonzywyzizj
Data sources: FFR & AAA - Federal Reserve, GDP - BEA, S&P500 - Stooq
Note: the previous post, "Where is the risk premium?" was temporarily removed for revision and update.
Monday, June 14, 2010
Sunday, June 13, 2010
From the beginning of the year, and especially from the start the Deepwater Horizon oil spill on April 20th, the market capitalization of BP plc has fallen by some 41,4% to around $106,4 billion. Roughly $75 billion of equity value was destroyed. So far, estimates of total costs to BP reach $30 billion, and some US senators want BP to put $20 billion in an escrow.
Compare this with around EUR 189 billion ($228 billion) of Greek debt outstanding, and $166.8 billion of bank's exposure to Greek debt. Prospects of Greek default sent financial markets tumbling. But the default did not happen, so far. Meanwhile, the BP equity actually evaporated and probability of further loses to investors - both equity holders, creditors ($29 billion long term debt, $24 billion other liabilities) and derrivative counterparts - seems pretty high.
The potential bankrupcy of BP could be similar in size to the default of Greece.
Among the top holders of BP shares are pension and investment funds. These large institutions are usually slow to move. Also, the size of their positions makes the maneuvering difficult. Most probably, they will have to swallow the most of the potential loss. Or rather ultimately the people whose money they manage will have to do so.
This will influence consumer confidence, propensity to save and willingness to invest in equities.
UPDATE 2010-06-14, 10:50 CET
Friday, June 11, 2010
However, millions of investors, and more recently "bots" or real-time trading algorithms created by the former, are looking for patterns in market data to profit from them.
In effect, these investors (and their "bots") are the market memory - both short and long-one.
Friday, June 4, 2010
As expected, Apple's stock price has started to decline, while Google's increased significantly and Microsoft's remained at the unchanged level.
It seems, there is still plenty of room for convergence:
Current prices (Friday, June 4th):
- AAPL - $255.96 (-0.46% vs strategy start)
- GOOG - $498.78 (+8.86%)
- MSFT - $25.79 (-0.04%)
Wednesday, June 2, 2010
Both PGE and Enea seems to be in a down trend from March. Also the whole stock market entered into a correction in May.
Such conditions may influence the results of the Tauron IPO which may be quite a different from the recent PZU's one.