Por dentro do insider trading: Becker encontra Kyle

Resumo:

How do illegal insider traders act on private information? Do they internalize legal risks? We address these questions using a unique sample of illegal insider traders convicted by the Securities Exchange Commission (SEC). To shed light on the traders’ investment strategies, we analyze, theoretically and empirically, the tradeoff between the risk of information becoming public (information risk) and the risk of being subject to enforcement actions (legal risk). Consistent with Kyle (1985), insiders manage their trades’ size and timing according to prevailing liquidity conditions, fundamental and noise volatility, and the value of the private tips they receive. Behavioral variables, such as gender, age, and profession, play a lesser role. Using various shocks to legal risk, we find that insiders internalize such risk by moderating trade aggressiveness, providing empirical support to the regulators’ actions. Consistent with Becker (1968), positive shocks to legal risk also induce insiders to concentrate on fewer private signals of higher economic value. Thus, insider trading enforcement could hamper stock price informativeness.

Kacperczyk, Marcin T. and Pagnotta, Emiliano, Becker Meets Kyle: Inside Insider Trading (November 30, 2019). Available at SSRN: https://ssrn.com/abstract=3142006 or http://dx.doi.org/10.2139/ssrn.3142006

Efeito Cantillon: consequências distributivas da impressão de dinheiro

De acordo com Richard Cantillon, banqueiro e filósofo francês do século XVIII, quem se beneficia quando o estado imprime dinheiro é função da configuração institucional do Estado. No século 18, isso significava que, quanto mais você se aproximava do rei e dos ricos, mais se beneficiava e, quanto mais distante, mais se machucava. O mesmo acontece hoje, com as medidas de liquidez  do Banco Central dos EUA, beneficiando primeiro os fundos de hedge e as empresas de private equity.

O dinheiro, em outras palavras, não é neutro. A impressão de dinheiro tem consequências distributivas que operam através do sistema de preços, o que ficou conhecido como "Efeito Cantillon".

Rir é o melhor remédio

Curso de medicina nos dias atuais

Corte nos dividendos

O Valor Econômico fez um levantamento de 14 empresas que cortaram dividendos (e/ou juros sobre capital próprio) em razão dos problemas com o Covid-19. A movimentação aumentou com a Medida Provisória 931, que facilitou o processo: basta a decisão do Conselho de Administração, não mais a assembleia.

Em alguns casos, o dividendo realmente não será pago. Em outros, o pagamento será postergado. Há alguns casos, não inclusos na tabela, onde as empresas estão aproveitando para fazer recompra de ações. Isto pode ser um movimento perigoso, em termo políticos; se no futuro a empresa precisar de recursos (inclusive públicos), como justificar o uso passado do dinheiro para comprar suas ações?

Veja: Brandão, Raquel; Schincariol, Juliana. Corte o dividendo, o caixa sumiu. Valor, 13 de abril de 2020, p. B1 (via aqui, para assinantes).

Covid-19 e a poluição

O comparativo entre a imagem de diversas cidades no mundo em 2019 e 2020. Mapas mais escuros é sinal de poluição. Em alguns caso o efeito é bem nítido.

Para maratonar

Em tempos de Covid-19 eis uma lista de série e o respectivo tempo que você levaria para assistir todos episódios. Algumas não sei se estão disponíveis no streaming no Brasil:

General Hospital—11,398 hours (474 days, 22 hours) - esta série existe desde 1963.
Days of Our Lives—11,281 hours (470 days, 1 hour)
Saturday Night Live—1308 hours (54 days, 12 hours)
Pokémon—513 hours (21 days, 9 hours)
Law and Order: Special Victims Unit — 460 hours (19 days, 4 hours)
NCIS—379 hours (15 days, 19 hours)
Grey's Anatomy—343 hours (14 days, 7 hours)
The Simpsons—334 hours (13 days, 22 hours)
Criminal Minds—317 hours (13 days, 5 hours)
The X-Files—218 hours (9 days, 2 hours)
Star Trek: The Next Generation—178 hours (7 days, 10 hours)
House—176 hours (7 days, 8 hours) 
The Vampire Diaries—171 hours (7 days, 3 hours)
Dragon Ball Z—170 hours (7 days, 2 hours)
Family Guy—165 hours (6 days, 21 hours)
The West Wing—154 hours (6 days, 10 hours)
Gilmore Girls—153 hours (6 days, 9 hours)
South Park—152 hours (6 days, 8 hours)
Buffy the Vampire Slayer—144 hours (6 days)
The Big Bang Theory—139 hours (5 days, 19 hours)
Cheers—138 hours (5 days, 18 hours)
The Walking Dead—131 hours (5 days, 11 hours)
M*A*S*H—129 hours (5 days, 9 hours)
King of the Hill—127 hours (5 days, 7 hours)
Gossip Girl—121 hours (5 days, 1 hour)
Lost—121 hours (5 days, 1 hour)
Friends—121 hours (5 days, 1 hour)
SpongeBob SquarePants—120 hours (5 days)
Shameless—110 hours (4 days, 14 hours)
Sons of Anarchy—105 hours (4 days, 9 hours)
How I Met Your Mother—104 hours (4 days, 8 hours)
That 70s Show—102 hours (4 days, 6 hours)
The Office—99 hours (4 days, 3 hours)
Dexter—96 hours (4 days)
Mad Men—92 hours (3 days, 20 hours)
Orange Is the New Black—91 hours (3 days, 19 hours)
Seinfeld—90 hours (3 days, 18 hours)
The Sopranos—86 hours (3 days, 14 hours)
Fresh Prince of Bel-Air—74 hours (3 days, 2 hours)
It's Always Sunny in Philadelphia—71 hours (2 days, 23 hours)
Adventure Time—70 hours (2 days, 22 hours)
Game of Thrones—70 hours (2 days, 22 hours)
Brooklyn Nine-Nine—65 hours (2 days, 17 hours)
Parks and Recreation—63 hours (2 days, 15 hours)
Breaking Bad—62 hours (2 days, 14 hours)
Futurama—62 hours (2 days, 14 hours)
The Wire—60 hours (2 days, 12 hours)
Downton Abbey—56 hours (2 days, 8 hours)
Avatar: The Last Airbender—30 hours (1 day, 6 hours)
Black Mirror—21 hours
Stranger Things—20 hours
Rick and Morty—15 hours

Fonte: Aqui
Somei as séries que assisti integralmente e deu 26 dias (626 horas para ser exato)

Sem proteção para risco de cauda, a carteira de ativos explode

Nassim Taleb, the former options trader who predicted the 2008 financial crisis in his bestseller “The Black Swan,” said investors stung by the coronavirus crisis are paying the price for ignoring the risk of a predictable event.

Taleb also criticized the $2 trillion economic relief package signed into law last week as a bailout for investors and for companies that drained cash or levered up to buy back stock.

“The worst thing you can do with insurance is try to time it,” Taleb, a distinguished professor of risk engineering at New York University, said in an interview Monday on Bloomberg Television. “If you don’t have tail insurance, you don’t have a portfolio. Your portfolio is going to blow up.”

[...]

“The system favors the companies that spent their cash to buy their stock and furthermore borrow over those who had a cautious attitude,” he said in the interview. “We should bail out employees, we should bail out citizens, not the corporations who made these mistakes.”

What irks Taleb most of all is the suggestion that the virus pandemic is a “black swan” event, a statistical outlier so rare no one could have predicted or prevented it. His 2007 book of the same name flagged globalization as reason enough to anticipate a “very strange acute virus spreading throughout the planet.”

“We’ve had black swans -- Sept. 11 [2001] was definitely a black swan,” he said. “This was a white swan.”