Arbitrage : Η στρατηγική αυτών που κερδίζουν από την ελληνική κρίση

Κατ' αρχάς να δώσουμε τον ορισμό της λέξης και ένα επίκαιρο παράδειγμα λειτουργίας της.  Το arbitrage είναι μια χρηματοοικονομική ορολογία που έχει εφαρμογή και στο στοίχημα. Arbitrage σημαίνει σίγουρος κέρδος χωρίς κανένα απολύτως ρίσκο, σε αντίθεση με το trading όπου ρισκάρει κανείς στο ποια θα είναι η τάση της αγοράς. Πως προκύπτει αυτό το κέρδος χωρίς ρίσκο; Μα από τις διαφορές στις αποδόσεις ανάμεσα σε δύο ή παραπάνω εταιρίες; Αν π.χ. παίζει Ολυμπιακός - Εφές Πίλσεν και μία εταιρία δίνει το παιχνίδι 1.70 - 2.05 ενώ μία άλλη 2.10 - 1.65, τότε όπως γίνεται αντιληπτό με το 2.05 της πρώτης και το 2.10 της δεύτερης έχουμε σίγουρο κέρδος. Φυσικά για να βγάλει κανείς καλά χρήματα με τη μέθοδο του arbitrage, θα πρέπει να είναι γρήγορος και να τα προλαβαίνει πριν διορθωθεί η αγορά, να επενδύει αρκετά χρήματα (αφού π.χ. ένα σίγουρο 3% θεωρείται πολύ καλό σαν arbitrage, οπότε πρέπει να ποντάρει κανείς 10.000 ευρώ για να βγάλει 300 ή έστω 1.000 για να βγάλει 30 ευρώ). Το τελευταίο γεγονός έχει και άλλη μία παράμετρο. Πρέπει ο παίκτης να μπορεί να ποντάρει τα ανάλογα ποσά και στα δύο σημεία και φυσικά πρέπει να υπολογίσει και τα έξοδα που προκύπτουν από το στοίχημα (π.χ. προμήθειες, έξοδα κατάθεσης ή ανάληψης κλπ).

Η ανάλυση που ακολουθεί είναι στα αγγλικά από καθηγητή του Harvard School of Economics. Η επιτυχία της στρατηγικής του arbitrage, όσον αφορά την ελληνική κρίση, οφείλεται στην δομή της ελληνικής οικονομίας όπως διαμορφώθηκε από την δεκαετία του '70.

What made both the Greek fiscal crisis  possible? Not overconfident or overleveraged financial institutions, not underregulated or underpriced risk, not irrational or irresponsible investors. The problem was the limits of arbitrage. Until we understand that, we won't prevent the next crisis.

Arbitrage is the lynchpin of the self-regulating market. When an asset's price moves away from what it should be, arbitrageurs make money betting that the gap will close. George Soros's bet against the British pound in 1992, when he made a billion dollars in one day by shorting the currency, was the most famous example of this until John Paulson's megabets on credit default swaps in 2007-08 netted him three times as much.

We shouldn't be talking about Paulson's bet in 2007 against the U.S. economy; we should be talking about someone who made a hundred million dollars in 2004 by seeing the problems in subprime mortgages. We shouldn't be talking about riots in Athens in 2010; we should be talking about rates on Greece's debt spiking in the early 2000s when its fiscal situation began deteriorating.

But arbitrage cannot always do its job. It's hard to bet against a mispricing for a long time or at a large scale, because arbitrageurs are individuals investing other people's money. A strategy that ends up paying huge returns can be a failure for years before that, so its investors retrench. Even if a few intrepid souls are willing to take the risk, their investment will usually be too small to affect prices. It took many years for the US housing bubble to pop, and along the way many arbitrageurs lost their shirts by being too smart. They saw the bubble too early and were unable to hang on for the full ride. That is a particular danger when the possibility of public bailouts prolongs the mispricing, as in both the US financial crisis and Greece's debt crisis. Finally, arbitrage is powerless against falsified data. When Greece reported lower deficits than it incurred, arbitrageurs didn't even know they should be betting against Greek debt.

We knew about the limits of arbitrage long before either of these crises. In 1997, economists Andrei Shleifer and Robert W. Vishny laid it all out in the Journal of Finance. We could (and should) have known that betting against the US housing market would be a difficult arbitrage, and that we'd see little betting against a country falsifying its data to meet the fiscal and monetary "convergence criteria" required for adoption of the euro.

I see three key lessons from the recent crises:

1. The limits of arbitrage handicap the entire apparatus of self-correcting markets. Our faith in the market is not misplaced — arbitrage eventually did correct both mispricings. But it took a long time, and the damage was greater because of the delay.

2. Governments ought to be wary of going too far when limiting the reach of arbitrage. Explicit limits on short-selling, bailouts that prop up asset prices, and restrictions on derivative instruments that target a particular investment all have this effect. Instead, a top priority must be transparency. In the case of Greece, this would mean increased oversight and public analysis of EU members' fiscal balances.

3. Some limits to arbitrage are unavoidable, so the best policymakers can do is reduce the economy's vulnerability to those limits. That fact gives some justification to restricting the size of systemically important financial institutions. It also helps explain why the EU is tightening its fiscal convergence criteria following the crisis in Greece, hoping that a more closely watched and strictly limited Greek public sector will pose less risk to the rest of Europe. In both cases, regulators would be capping the size of the damage that can result from persistent mispricing. For the sake of the EU and the world economy, it's important that this chapter in Greek — and perhaps, world — history be one of a kind.

HBS assistant professor Matthew Weinzierl is an economist who teaches the course Business, Government and the International Economy in Harvard Business School's required first-year MBA curriculum.