Thursday, February 16, 2012

Transaction Costs, Brazilian Markets and Exotic Securities

Wow. I'm amazed by the frictions to trade more exotic stuff. I wanted to buy some put options on the Brazilian index in the UK or the US. It took me almost a month to set up an account and complete the wire transfer. I had to sign million of forms and it took almost 10 days for the first transfer to be approved.

Bid-ask spreads are transaction costs are high! If anyone is interested, thos are the two securities I selected:

1) One is an Ultra-short ETF on the Brazilian index (in US$), so if I get it right I'll get both the market fall in domestic terms, plus the currency depreciation (the real is seriously overvalued).

2) The other is a put option on the MSCI Brazil ETF, with strike 50 and maturity in Jan/2013.

Let's see what happens...

Wednesday, February 1, 2012

Moneyball and Academic Finance

This weekend I saw "Moneyball", the movie with Brad Pitt based on Michael Lewis' book. It has an enterntaining story and I highly recommend it.

One aspect made me think about academia. In the movie, the assistant GM says that teams should really aim for players that produce runs, which in the long run in what a team needs to generate wins. In academia nowadays all that people care are about publications in A journals (i.e the home runs) rather than publications in lesser-ranked journals (i.e. everything else).

I'm not sure whether having a team of heavy hitters is socially optimal!

PS - A friend of many wrote a very interesting post on the movie as well.