Romanian Stock Market Bubble

Din FT 24/5/06:

[…] “This is a flight to sanity,” declared Ben Garber, analyst at Moody’s in New York.

In a frantic search for yield, hedge funds and other asset managers have been gobbling up emerging market assets. This has boosted stock markets across the world and tempted local investors in countries as diverse as Indonesia, India and Brazil to join the rush.

But this buying became so extreme that by the start of this month many hedge funds feared the market was nearing its peak.

When higher US inflation data provided the excuse to sell there was a stampede, with pressure for some local investors to sell as well. Chris Rice, head of European equities at Cazenove, said: “The majority of activity in the markets has come from long-short funds. Hedge funds are leading the way by selling futures to bring down their net exposures.”

The Jakarta Stock Exchange’s main composite index appeared to stabilise on Tuesday, after losing more than 10 per cent of its value in the three days before Monday’s close. Laksono Widodo, head of research for Macquarie Equities in Jakarta, fears it will take time to settle down, given that a steep fall in the rupiah has accompanied the retreat by foreign funds.

Worse still, the sudden withdrawal of foreign emerging markets funds has meant many short-term Indonesian investors face margin calls as a result of falling prices – a factor that could intensify selling pressures in coming days.

“The case for Indonesia always involves waiting for the rupiah to stabilise first,” Mr Widodo said on Tuesday night.

Similarly, in India, as international investors bailed out, the sharp fall in equity prices left local investors facing margin calls. Some observers expect volatility to persist at least until Thursday, when the current batch of futures contacts expires on domestic derivative markets.

However, Tuesday’s rally showed “the scourge” of margin pressures that had forced brokers to liquidate their positions on a mass scale was now easing, said Rajesh Jain, at Pranav Securities in Mumbai.

“Experts have been suggesting a technical correction of the market was unavoidable,” P.Chidambaram, finance minister, told parliament. “[However] the fall got exacerbated on Monday presumably on the inability of some traders, who were highly leveraged, to meet margin calls within time.”

Turkey’s markets closed higher a day after posting their biggest one-day loss in three years. Stocks rose 2.4 per cent, yields on benchmark bonds were higher, and the lira was relatively flat.

Turkey has been vulnerable to the emerging markets sell-off because asset prices had been driven so high in the past two years.

Analysts warn that political and economic factors could continue to weigh on the Istanbul markets.

The Russian equity market, among the worst hit in past days, recovered by some 10 per cent. Christopher Weafer, chief strategist for Alfa Bank, said the sell-off of equities was triggered by concerns over rising US interest rates rather than by anything specific to Russia itself. “

[…]

Datele puse la dispozitie de site-ul Vanguard (www.vanguard.ro) fac posibil un raspuns preliminar la o intrebare importanta: care e strategia de investitii cea mai rentabila: speculator (adica turnover mare) sau investitor (aka “buy & hold”).

Graficul asta: http://tinypic.com/view/?pic=10fqq0p prezinta randamentele portfoliilor jucatorilor cu peste 100M investite (cam 250 investitori — in rosu — si 250 speculatori — cu albastru).

Ce rezulta: in medie investitorii o duc mai bine: 90% din investitori au avut portofolii mai rentabile pe 2006 decit speculatorii. Pe de alta parte primii 10% din speculatori au avut profituri cu mult mai mari decit investitorii.

Date: la 17/5/06; base: 1/1/2006 == 100%; speculator (definitia Vanguard): cel care ruleaza portofoliul cel puton odata la doua luni.

Pe scurt: Nu.

Mai detaliat: analizind tranzactiile pe piata din Taiwan pe un interval de 5 ani ca, grup day traderi pierd bani. Pe o perioada tipica de 6 lini peste 80% din day traders pierd bani. Totusi: exista o mica minoritate (care pare sa ramina constanta de-a lungul timpului!) care reusesc sa faca profit.
Si mai detaliat: Do Individual Day Traders Make Money?, Evidence from Taiwan, by B. Barber & Yi Tsung Lee. May ‘04.

Pentru cine vrea sa seinformaze mai aproape de sursa si nu din ziarele romanesti sau straine: Un sumar si intregul raport al comisiei europene pentru romania.

Lucrurile sint mai complicate decit par …

Ofera o posibila explicatie pentru scaderea bursei din ultimele saptamini: pina de curind toata lumea se astepta la o decizie finala de admitere a Romaniei de ia 1/1/07.  Pare insa ca situatia e evaluata mai ‘nuantat’ si admiterea e conditionata de o noua evaluare pozitiva in octombrie.  Articolul urmeaza …
Joining the Union
May 15th 2006

IT WILL be a green light, but a rather dim one. Bulgaria and Romania this week will get a tentative go-ahead for their bid to join the European Union (EU) early next year. There is no great enthusiasm among existing members. But, for the applicants, even imperfect membership looks better than nothing.

Both countries have rushed into law the tens of thousands of pages of new measures necessary to comply with EU requirements. The problem, in each place, is implementation. In Bulgaria, the biggest outstanding issue is the belated and partial reforms of law and order. The conspicuous gangsterdom of the 1990s is gone, but contract killings and untouchable crime bosses are still dramatic features of the landscape.

In Romania, the problem is not organised crime but corruption and incompetence in public administration. Under the energetic leadership of a non-party justice minister, Monica Macovei, Romania has made impressive progress in dealing with high-level corruption. But there is still much to do in making ministries and local governments clean and efficient.

Until a few days ago, it seemed that this week would be the clear deadline for both countries. Now the report by Olli Rehn, commissioner for enlargement, is likely to endorse membership but also recommend a further assessment in the autumn of progress in a few important areas.

In theory, the EU could at that point decide to postpone membership until 2008—the only get-out clause in the agreement that frames the accession negotiations. But in practice, that is highly unlikely. Putting off membership for Bulgaria, now the weakest candidate, would require a unanimous vote of all EU member countries. Postponing Romania’s membership would be a bit easier, because when the treaty was drawn up, it, not Bulgaria, was the laggard.

Delaying the final decision will give both countries more time for reform, but not more oomph. Romania’s ruling politicians already seem fully committed to change; their problem is a lack of skilled officials at every level—not something that will change quickly. In Bulgaria’s case, the problem seems to be a lack of political will to meet the spirit, rather than the letter, of the EU’s requirements.

… care par sa sustina ideea ca ‘reasezarea’ a preturilor din ultimele doua luni e probabil sa continue:

A.) Actinile listate la BVB mai scumpe decit cele la alte brse din regiune (sursa Saptamina Financiara 17.4.06)

“[…] la Bucuresti valoarea indicatorului PER (pret/profit net unitar) era de 26,9, la Varsovia era de numai 15,11, iar la Praga - de 27,7.”

“[…] pentru P/BV, care arata evaluarea actiunilor in functie de activul net unitar, valoarea la Bucuresti este de 3,78, in timp ce la Praga e de 2,85, iar la Varsovia - de numai 2,2.”

O sa caut mai multe date despre piete similare.  Pe de alta parte probabil ca ar trebui sa comparam indicatorii BVB cu cei de la bursele din tarile care au intrat in EU la momentul dinaintea aderarii.

B.) Pozitia investitorilor straini

Daca in luna ianuarie investitorii straini aveau un sold investitional de 58,3 milioane de euro (diferenta dintre cumparari si vinzari), in februarie s-a redus la 32,7 milioane de euro, pentru ca in martie sa fie negativ, in valoare de 24 milioane de euro.
Un pattern similar cu primele trei luni din anul trecut. Anul trecut investitorii straini au continuat sa vinda in Aprilie si Mai.

Urmaresc si investesc pe piata romaneasca din 1998. Din anul 2000, cind indicele BET(USD) a ajunsese sub 150, si pina in Martie 2006 cind indicele a ajuns la 2142 (o crestere de aproape 15 ori!) piata a crescut aproape fara intrerupere. Cresterea indicelui BET-SIF(USD) este si mai spectaculoasa: de peste 40 de ori!

In timpul acesta, desi profitabilitatea companiilor romanesti s-a imbunatatit substantial, majoritatea indicilor de evaluare s-au deteriorat. Un exemplu: in timp ce indicele PER (price per earnings) la nivelul pietei era sub 4 in anul 2000 (cf [1]) astazi sint putine companiile listate la BVB cu un PER pentru anul 2006 sub 15. Bancile listate la BVB au PER-uri in jur de 20, printre cele cele mai mari din regiune.

Toata aceasta lunga introducere doar pentru a va prezenta tema acestui blog: Multe din actiunile listate astazi piata romaneasca de capital sint puternic supraevaluate.  Corectii puternice ale preturilor acestor actiuni sint probabile.

E imposibil de estimat cu exactitate cind vor veni corectiile si cit vor fi ele de puternice. Sper insa ca post-arile mele si discutiile de pe site sa ne ajute sa ne protejam investitiile si, eventual sa profitam de contextul actual.

Disclaimers: Nu am lucrat si nu lucrez in ‘financial industry’ (in afara de o scurta perioada in ‘98-’99).  Comentariile mele de pe acest site reprezinta opinii personale si nu sfaturi de investitii. Deseori am pozitii deschise la BVB sau BMFMS — ele in general sint in concordanta cu opiniile postate aici.
-bubble