tag:blogger.com,1999:blog-6704573462403312459.post1015332185871252064..comments2024-03-28T06:53:23.473-04:00Comments on Moneyness: Liquidity everywhereJP Koninghttp://www.blogger.com/profile/02559687323828006535noreply@blogger.comBlogger16125tag:blogger.com,1999:blog-6704573462403312459.post-52869841821787540412022-01-16T08:24:54.611-05:002022-01-16T08:24:54.611-05:00Nice Post!!
Please look here at Best Liquidity P...Nice Post!! <br /><br />Please look here at <a href="https://pfhclearing.com" rel="nofollow">Best Liquidity Provider Forex</a> Anonymoushttps://www.blogger.com/profile/01837219669246993626noreply@blogger.comtag:blogger.com,1999:blog-6704573462403312459.post-31183562136053850862014-04-09T20:30:48.336-04:002014-04-09T20:30:48.336-04:00Any thoughts on the momentum stock phenomenon?Any thoughts on the momentum stock phenomenon?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-6704573462403312459.post-73711087122935273782014-04-04T20:06:37.801-04:002014-04-04T20:06:37.801-04:00JP, O/T: I found a guy with Jurg Niehans book... h...JP, O/T: I found a guy with Jurg Niehans book... he's going to pick it up at the office on Monday, so maybe we can finally ... uh... get another 2nd hand view of what's in there? Lol<br /><br />http://worthwhile.typepad.com/worthwhile_canadian_initi/2014/04/temporary-vs-permanent-money-multipliers.html?cid=6a00d83451688169e201a511970622970c#comment-6a00d83451688169e201a511970622970cTom Brownhttps://www.blogger.com/profile/17654184190478330946noreply@blogger.comtag:blogger.com,1999:blog-6704573462403312459.post-71691951246702849722014-04-03T06:01:26.422-04:002014-04-03T06:01:26.422-04:00Could be.
http://www.centralbank.gov.cy/media/pdf...Could be.<br /><br />http://www.centralbank.gov.cy/media/pdf/WP_WOHL_DEC12.pdfJP Koninghttps://www.blogger.com/profile/02559687323828006535noreply@blogger.comtag:blogger.com,1999:blog-6704573462403312459.post-91919658079130531562014-04-02T21:14:56.741-04:002014-04-02T21:14:56.741-04:00JP, O/T: Has Nick Rowe answered all your questions...JP, O/T: Has Nick Rowe answered all your questions here:<br />http://uneasymoney.com/2014/03/31/can-there-really-be-an-excess-supply-of-commercial-bank-money/Tom Brownhttps://www.blogger.com/profile/17654184190478330946noreply@blogger.comtag:blogger.com,1999:blog-6704573462403312459.post-86291309257131393182014-04-02T14:49:53.035-04:002014-04-02T14:49:53.035-04:00Out of curiosity, I plotted the monthly volume of ...Out of curiosity, I plotted the monthly volume of SPY (via Yahoo) since inception (1993). Interestingly, in retrospect, the poor secular performance of the SP500 has coincided with highest volumes between 2001-present. Perhaps, all the liquidity premium has been milked and there is only the speculative ("bragging services") ones remaining. jt26noreply@blogger.comtag:blogger.com,1999:blog-6704573462403312459.post-51838973800100840392014-04-01T20:47:30.112-04:002014-04-01T20:47:30.112-04:00"I'm confused about the separation of liq..."I'm confused about the separation of liquidity and expectations."<br /><br />AI, in general these papers use trade flow or bid-ask spreads to measure liquidity services. Two stocks with the same trade flow and similar bid ask spreads will tend to be scored by academics with the same liquidity ranking. <br /><br />But a true measure of liquidity should incorporate all present and expected future liquidity services. The current bid-ask spread gives an indication of current liquidity, but it is a bad measure of the expected component, as you point out.<br /><br />How do we arrive at a measure of the total of present and future liquidity services? We need to ask people how much they'd pay to forgo a stock's liquidity for a certain period of time, and once we do this over all stocks, we can get a proper liquidity measure that incorporates expected liquidity. I have thoughts on this <a href="http://jpkoning.blogspot.ca/2014/01/different-goods-are-differently-liquid.html" rel="nofollow">here</a> and elsewhere on my blog.<br /><br />JP Koninghttps://www.blogger.com/profile/02559687323828006535noreply@blogger.comtag:blogger.com,1999:blog-6704573462403312459.post-29890824985385949052014-04-01T20:37:58.622-04:002014-04-01T20:37:58.622-04:00Interesting comment. You could be onto something. ...Interesting comment. You could be onto something. Yesterday a reader emailed me this paper:<br /><br />http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2089463<br /><br />The authors write:<br /><br />"...speculators profit from time series momentum, while hedgers pay for it.One explanation might be that speculators earn a premium through time series momentum for providing liquidity to hedgers."<br /><br />If you have time to give the paper a once-over, tell me what you think.JP Koninghttps://www.blogger.com/profile/02559687323828006535noreply@blogger.comtag:blogger.com,1999:blog-6704573462403312459.post-82269385502650006462014-04-01T19:38:41.967-04:002014-04-01T19:38:41.967-04:00Or to be more clear, I'm confused about the se...Or to be more clear, I'm confused about the separation of liquidity and expectations. A liquidity provider is also including expectations of future liquidity in the purchase price, which should be linked to a guess on the market's changing expectations of business outcomes. So you could have two stocks with the same trade flow, and the same apparent return on liquidity services, that actually represent very different forecasts.Alnoreply@blogger.comtag:blogger.com,1999:blog-6704573462403312459.post-22078254669732172982014-04-01T18:03:59.430-04:002014-04-01T18:03:59.430-04:00If liquidity is the causal factor behind the value...If liquidity is the causal factor behind the value premium, as opposed to the expression of changing business expectations, then shouldn't the value premium match returns from liquidity providing services? You wouldn't care whether you are trading X or Z, so long as the liquidity profiles are matched.Alnoreply@blogger.comtag:blogger.com,1999:blog-6704573462403312459.post-15411466578168658422014-04-01T04:14:50.498-04:002014-04-01T04:14:50.498-04:00JP, I'm going to submit a query. While we'...JP, I'm going to submit a query. While we're on the train of thought of explaining market anomalies through liquidity discounts, how do you think it might be involved in the greater general return to backwardated commodity futures compared to futures in contango? do you think it is helpful to think of a convenience yield in the framework of a liquidity discount/premium?John Hawkinsnoreply@blogger.comtag:blogger.com,1999:blog-6704573462403312459.post-52437811275139971382014-03-31T22:52:35.490-04:002014-03-31T22:52:35.490-04:00Sorry Lord, I'm still having problems understa...Sorry Lord, I'm still having problems understanding your arguments. You say this is about semantics, but semantic battles aren't worth fighting. On this blog, the definition of liquidity is the degree to which some asset can be traded in the secondary market. Bid ask spreads are one way of measuring liquidity, albeit an inexact way. JP Koninghttps://www.blogger.com/profile/02559687323828006535noreply@blogger.comtag:blogger.com,1999:blog-6704573462403312459.post-78025986674672389452014-03-31T22:42:17.667-04:002014-03-31T22:42:17.667-04:00Dave, the phenomena you're talking about are b...Dave, the phenomena you're talking about are behavioral. They rise from irrationalities and quirkiness. The liquidity phenomena I'm talking about assume people are highly rational. In a world characterized by uncertainty, rational investors will desire liquidity since a liquid stock provides more options than an illiquid one.JP Koninghttps://www.blogger.com/profile/02559687323828006535noreply@blogger.comtag:blogger.com,1999:blog-6704573462403312459.post-4528949005522083332014-03-31T15:23:25.813-04:002014-03-31T15:23:25.813-04:00Hey JP I get what you're saying but I have a 2...Hey JP I get what you're saying but I have a 2 part question:<br /><br />How do you <i> separate </i> liquidity premium from <b> 1) loss-aversion phenomenom? </b> I.e. where humans experience way more pain from a loss than an equivalent gain? <br /><br />And <b> 2) the rockstar effect: </b> where Coke sports a higher P/E P/B P/S than Pepsi and the best-of-breeds essentially b/c of name/brand power (the US vs. Canadian bonds). Where the risk is essentially the same?<br /><br />Thanks!Trainwreck Traderhttps://www.blogger.com/profile/06440398117762908989noreply@blogger.comtag:blogger.com,1999:blog-6704573462403312459.post-46088918556971404762014-03-31T11:23:46.409-04:002014-03-31T11:23:46.409-04:00I like the argument of extending the liquidity con...I like the argument of extending the liquidity concept of moneyness to debt and equity. In my book, "The Nature of Value", I briefly put forth the argument that money as a social protocol for value representation that exists on a near and far continuum. <br /><br />Near money is currency (instantly near term exepected fungibility). Far money is debt and equity which is intended to decay into currency at some point in the future. The expected relative liquidity or expected moneyness of these forms of far money (debt and equity) may help explain the premium seen.<br /><br />Apologies for the book promo, but thought people may be interested. thenatureofvalue.comNick Gogertyhttps://www.blogger.com/profile/14564255432456707181noreply@blogger.comtag:blogger.com,1999:blog-6704573462403312459.post-25021529312475617672014-03-30T18:50:10.562-04:002014-03-30T18:50:10.562-04:00Still don't buy it. Value does have increased...Still don't buy it. Value does have increased liquidity risk from default during recessions, but value pays dividends that lower their volatility relative to growth. They look at liquidity volatility but it is total volatility that is important. Growth, not paying dividends, has higher total volatility and this leads investors to avoid selling them in recessions if at all possible, but that makes them less liquid, not more liquid in my book. Value earns a liquidity premium because they are more liquid. This is more semantics than anything, they are just using a counter intuitive notion of liquidity. Lordhttps://www.blogger.com/profile/06747994571555237739noreply@blogger.com