We all do dumb things. Take the billionaire corporate raider Carl Icahn. Handily defeated in his recent effort to gain control of the board of Time Warner – its stock has been a deadbeat ever since he and a trio of hedge funds announced a stake of about 3% last August – he may have latched on to yet another loser in a thriving industry.

That’s BKF Capital Group, a troubled asset manager stung by a management upheaval, largely sparked by poor performance, unusually high costs stemming from flamboyant management compensation, and rapid deterioration of its assets (to $4.5 billion from $13.5 billion in the past eight months).

In response, its stock, which is traded on the Big Board, has plummeted, diving to a 12-month low of $12.22 from a 52-week high of $43.06.Since late June, the shares, which closed yesterday at $13.40, have lost nearly two thirds of their value.

Last October, Mr. Icahn acquired about 695,200 BKF shares, or about 16% of the stock, making him the firm’s largest shareholder. He also has a board representative.

Some investment managers see BKF hard-pressed to engineer any meaningful turnaround in the near future, given its turnover of portfolio managers, massive shrinkage of assets, and an extremely cloudy outlook. In light of its credibility problems, the general view is the asset base may well shrink further.

Likewise, it’s widely believed that Mr. Icahn, who could not be reached for comment, has, as in the case of Time Warner, unwisely frozen himself into an investment that’s likely to be dead money for an appreciable period.

The same bleak outlook is seen for two activist BKF hedge fund holders – New York’s Steel Partners and San Francisco-based Cannell Capital – which joined forces to wage a proxy fight against BKF in an effort to bring about change. In June, they won three seats on the board. Given the stock plunge, however, the two funds in effect managed to win a skirmish but appear poised to lose the war. Neither returned calls seeking comment.

One hedge fund wise enough to anticipate the chaos, at least as far as the stock skid is concerned, was Pirate Capital of Norwalk, Conn. It ditched its position in the $30s, reasoning that the turnover of key personnel was bound to worry investors and possibly drive the share price lower. It still sees this concern as an ongoing detriment to the stock.

What does BKF have to say? Alas, not too much. John Siciliano, who took over as president and CEO in September, was guarded in a brief conversation during which he was aided by a spokesperson from a pricey public relations firm, Kekst & Co. Mr. Siciliano mostly confined his comments to a repetition of what he wrote in a letter to shareholders.

He did say, though, that BKF “is in very good shape to grow,” that it might seek to acquire a mutual fund company, and that the hedge fund holders are very supportive and constructive.

One sour note: Mr. Siciliano did not rule out the possibility that BKF, which is running cash flow negative, could run cash flow negative again in 2007.When specifically asked about such a possibility, he replied, “I won’t project.” Growing investor awareness of this prospect, however, could further weaken the stock.

BKF Capital Group primarily operates through its subsidiary, BKF Asset Management, a New York-based investment management firm founded in 1982 as John A. Levin & Co.

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DID ANYONE CHEAT? Or more specifically, did someone illegally trade on inside information about the shares or options of Chicago Bridge & Iron Co. N.V. prior to a series of negative disclosures early this month that clobbered the stock of the Dutch-based global specialty engineering and construction company. That apparently is the suspicion of the Securities and Exchange Commission, which, The New York Sun has learned, has launched an investigation into trading in the company’s securities, which involves possible short selling (a bet the stock price will fall).

Those unfavorable company disclosures involved the firing of both its CEO and chief operating officer, terminations that took place after the firm’s chief financial officer had resigned three months earlier amid an internal accounting investigation; likewise, the announcement that the company’s estimates would fall below expectations. In reaction to these revelations, the stock immediately tumbled more than 30%.

A regulatory contact confirmed the trading probe, but declined to discuss it.

Speaking of trading investigations, two others, I’m reliably told, were also recently commenced by the SEC. Yet to be officially disclosed, they involve Siebel Systems, a manufacturer of software systems, and Benchmark Electronics, which provides contract manufacturing services to electronics producers.