The third edition of my book!

Since a couple of months, my book Finance - Markets, Instruments and Investments is available in a new (third) edition.

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Ska vi tro på fastighetsmäklarna? – Del VI

Det har gått ett knappt halvår år sedan jag skrev om bostadspriserna (i Malmö) sist så nu är det dags att ta en titt igen. Se Ska vi tro på fastighetsmäklarna? - Del I-V. Denna gång hittade jag ungefär 1300 lägenheter till salu i Malmö (1500 i sept 2011). Av dessa hade ungefär 150 (175 i sept 2011) någon gång under den tid de legat ute fått se sitt pris sänkt och 10 (10 i sept 2011) fått se sitt pris höjt (de är alltså fortfarande till salu). Genomsnittsprishöjningen var 6.5% (10% i sept 2011) och genomsnittssänkningen var –9% (-9% i sept 2011). Min (helt ovetenskapliga och föga förvånande med tanke på medierapporteringen) slutsats är därmed att avmattningen som kunnat noteras i Malmö en tid vad gäller lägenhetspriser tycks ha fortsatt! Överlag har den genomsnittliga prissänkningen hos de objekt som sänkts legat mkt konstant sedan 2008 på -9% och jag vet ej vad det beror på. Ökningen för de (få!) objekt som prishöjts är dock på en all-time-low just nu (6.5%). Vidare, att antalet läg...
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Fixed Income relative value trading is back!

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For all of you who remember Long Term Capital Management , the huge hedge fund that collapsed in late 1998, it could be interesting to hear that their (original) trading strategy is back on track after more than a decade in the shadows! Long Term was the financial poster child of the 90s; the fund was managed by the famous Salomon Br. trader John Meriwether, it was co-run by J.M.s old Salomon friends Hilibrand, Haghani and Rosenfeld and, most impressively, had two Nobel laureates as partners, i.e. Merton and Scholes, the options pricing gurus! Long Term used complex models to make money on government bond prices in major countries converging over time. Of course, the pricing errors in US, Japan and EU government bond markets are typically extremely small so the trades had to be done with a lot of leverage to boost the returns. That was also the way Long Term liked to do it and their debt was often ten or twenty times their equity. Towards the end their leverage ratio was as high as 10...
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The investor that predicts stock returns without even knowing it!

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What are investors’ current stock return expectations? That is a question commonly found in the financial press. Typically, the type of investor one has in mind is the stock market investor . Not commodity investors, property investors or other investors. That makes sense since zinc investors or apartment block investors have other things to think about than whether the typical publically listed stock will go up or down in the future. There is one other group of investors that actually care about the future valuation of public companies, however, and that is the credit market investor . Investors who buy corporate bonds (or credit default swaps) also care about the future wellbeing of the company. What’s more, these investors often take a long-term view of the company and its valuation. In the paper Stock Return Expectations in the Credit Market (which you can find here ) I suggest a way of extracting these investors’ expectations of future stock returns. To do this I compute long-te...
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