Comments on: Citigroup & Efficient Markets

By: Why are WTI and Brent Oil Prices Out of Whack? « Donald Marron

Why are WTI and Brent Oil Prices Out of Whack? « Donald Marron — Tue, 22 Feb 2011 01:29:54 +0000

[...] February 21, 2011 by Donald Marron As regular readers may recall, I am intrigued when prices deviate from normal relationships (see, e.g., previous posts on oil vs. natural gas prices and the pricing of Citigroup securities). [...]

By: Reed Shurgot

Reed Shurgot — Wed, 17 Mar 2010 18:03:37 +0000

great post thanks ive bookmarked this for later use

By: The GM (er, Motors Liquidation) Stock Anomaly | Reaction Radio

The GM (er, Motors Liquidation) Stock Anomaly | Reaction Radio — Mon, 02 Nov 2009 09:04:40 +0000

[...] a series of posts about anomalies in the pricing of Citigroup (C) common and preferred stock (see here for the final installment). At the time, Citi’s common stock traded at prices that appeared to be way too high relative [...]

By: The GM (er, Motors Liquidation) Anomaly « Donald Marron

The GM (er, Motors Liquidation) Anomaly « Donald Marron — Sat, 31 Oct 2009 20:24:09 +0000

[...] wrote a series of posts about anomalies in the pricing of Citigroup common and preferred stock (see here for the final installment). At the time, Citi’s common stock traded at prices that appeared to be way too way relative [...]

By: Donald Marron

Donald Marron — Tue, 28 Jul 2009 13:17:19 +0000

That’s a good way to put it. I may steal that line (“Professionals are able to work for lunch”) in the future.

By: John Thacker

John Thacker — Mon, 27 Jul 2009 20:06:38 +0000

“Put another way, there may be a profitable lunch if you are sufficiently ingenious.”

Right, but even then you have to put in time and effort to get that lunch, enough so that you’re working pretty hard for that lunch. And you probably need to be pretty talented, talented enough that you’d be pretty highly compensated in another field.

So to put it another way, there’s no free lunch for amateurs. Professionals are able to work for lunch, though.

By: Donald Marron

Donald Marron — Tue, 21 Jul 2009 20:13:49 +0000

They are trying to get a free lunch. But to do so, they are undertaking a rare (unique?) approach of trying to do a repo with retail investors outside the usual channels of stock purchasing or borrowing. The wide spread between common and preferred is a big carrot that certainly invites innovation, but it’s clearly not a free lunch for normal investors. And if you need to create new financial approaches, it’s not a free lunch with the aspiring arbitrageuers either.

Put another way, there may be a profitable lunch if you are sufficiently ingenious. And some other folks have undoubtedly made some money attempting versions of the trade for one reason or another. (For example, I made some money on my long preferred, short call options strategy, but I think a bunch of that was luck as the two securities bounced around an appropriate pricing relationship.)

By: chappy

chappy — Tue, 21 Jul 2009 19:05:39 +0000

I’m confused, didn’t you ealier mention that a large institutional buyer was doing a term repurchase? Are you saying they are not getting a free lunch? I guess my question is you file this arbitrage, but isn’t that at odds with EMH if there is no free lunch? Or does the EMH say that there are no free lunches in the long-run?