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Sharesand shibboleths
股票与市场准则
How much should people get paid for investing inthe stockmarket?
人们在股票市场上的投资应该得到多少回报?
If there is a sacred belief among investors, it isthat equities are the best asset for the long run.Buy a diversified portfolio, be patient and rewardswill come. Holding cash or government bonds mayoffer safety in the short term but leaves the investor at risk from inflation over longerperiods.
如果说投资者心中有个神圣的信念的话,那就是他们认为从长远来看股票是最好的资产。买一个多元化投资组合,课以时日,就会得到回报。持有现金或政府债券在短期内也许更保险,但从长期来看它会让投资者面临通胀的风险。
Such beliefs sit oddly with the performance of the Tokyo stockmarket, which peaked at theend of 1989 and is still 75% below its high. Over the 30 years ending in 2010, a long run byany standards, American equities beat government bonds by less than a percentage point ayear.
这种信念却神奇地与东京股票市场的表现相吻合,该股票市场在1989年末达到最高值,并且现在仍然是其1989年最高值的75%。从1970年到2010年这30年间,依据人们所谓长期的标准,美国政府债券年回报都比股票要少一个百分点。
In the developed world, the period since the turn of the millennium has been a particulardisappointment. Since the end of 1999 the return on American equities has been 7.6percentage points a year lower than that on government bonds . That has leftmany corporate and public pension funds in deficit and many people with private pensionsfacing a delayed, or poorer, retirement. Understanding why equities have let investors downover the past decade will help them work out what to expect in the future.
在发达国家,自进入千禧年以来，股市令人特别失望。自从1999年年末起,美国股票回报为7.6个百分点,低于政府债券的回报。这导致许多企业和公共养老基金出现赤字而且许多私募养老金面临要么延期发放,要么发得更少,要么退休的境地。理解为什么股票在过去的十年间让投资者失望将有助于他们认识到对未来股市的期望是什么。
The long-term faith in equities is based on the theory that investors should be rewarded forthe riskiness of shares with a higher return, known as the equity risk premium 。That risk comes in two forms. The first is that shareholders get paid only when otherclaimants on a companys cashflow, such as workers, the taxman and creditors, havereceived their due. Profits and dividends are thus highly variable and can disappearaltogether when times get tough. The second risk is that share prices are volatile, more sothan bond prices. Since 1926 there have been seven calendar years when American equityinvestors have suffered a loss of more than 20%; investors in Treasuries have suffered nosuch calamitous years.
对股票的长期信心是基于这样一个理论，投资者在投资有风险的股票时应该得到高额回报,即股票风险溢价。股票风险源于两个方面。第一种是只有当掌控一个公司资金流转的人，如工人,税务稽查员和债权人的得到他们应得的收益后,最后股东才能得到回报。因此对于股东来说,利润和股息都有很大的不确定性,当经济萧条时二者都有可能亏空。第二种风险是与政府债券相比,股票价格是多变的。自1926年以来,美国的股票投资者承受了超过20%的损失，这种情况持续了七年。政府债券投资者从没遭遇过这样的悲惨时期。
The big question, however, is how large that extra return should be. Here it is important todistinguish between the extra return investors actually achieved for holding equities and the return they expected to achieve when theybought them . Academics started to focus on this problem in themid-1980s when a paper by Rajnish Mehra and Edward Prescott indicated that the ex postreturn of American equity investors had been remarkably high, at around seven percentagepoints a year. It seems unlikely that investors expected to do so well.
然而,最大问题是股票投资者得到的额外收益有多高才合理?区分额外收益投资者实际能从他们所持有的股票得到的回报以及当他们买入股票时期望得到的回报是至关重要的。从20世纪80年代中期学术界就开始关注这个问题。那时Rajnish Mehra 和 Edward Prescott就在论文中指出美国股票投资者的事后估计值总是出奇地高,每年约有7个百分点。似乎投资者预期不可能有这么高。
Premium puzzle
溢价之谜
There are a number of possible explanations for these very high ex post returns. One issurvivorship bias in the numbers. America, which is the benchmark for ERP measurements,turned out to be the most successful economy of the 20th century, but it might not havebeen. Before the first world war investors doubtless had high hopes for Argentina, China orRussiaonly to be disappointed.
对于如此高额的事后估计收益有种种解释。一种是幸存者偏差。作为股票风险溢价测量方法的基准的美国,被证明是20世纪最成功的经济体,但这一切已经不复存在。在第一次世界大战之前对阿根廷,中国或俄罗斯抱很大希望的投资者没想到会失望。
Elroy Dimson, Paul Marsh and Mike Staunton of the London Business School haveanalysed the data for 19 countries from 1900 to 2011 and found that the ERP relative toTreasury bills ranged from just over two-and-a-halfpercentage points a year in Denmark to six-and-a-half points in Australia. They found apremium for America of five percentage points.
伦敦商学院的Elroy Dimson, Paul Marsh和Mike Staunton对19个国家从1900年到2011年的数据进行分析后发现,股票风险溢价相对于短期无息国库券相比的收益范围从丹麦的每年2.5个百分点到澳大利亚的每年6.5个百分点不等。美国的溢价是5个百分点。
Another explanation for the high returns is a paradoxical one: that equities have becomeless risky. In the early part of the 20th century corporate accounts were more opaque andless reliable . Moststocks were owned by private investors with only a handful of individual shares. This leftthem more exposed to the risk of a single firm failing, which meant they put a lower valueon sharesor, to put it another way, they demanded a higher premium for owning them.
而另一种对高收益的解释却和第一种相互矛盾:股票的风险在降低。20世纪初期企业账目更加不透明而且可靠程度更低。大部分股票被那些私人投资者以个人股的形式所持有。这大大增加了单个公司破产给他们带来的风险。也就意味着人们认为股份的价值很低,换而言之，持有这些股份就会有更多的风险溢价。
Today most equities are owned by institutional investors who can assemble a diversifiedportfolio. Even small investors can own an index fund at low cost. The impact of onecompany failing is thus far smaller. This reduced risk has prompted investors to pay higherprices for shares; in other words, to accept a lower dividend yield. That may well haveincreased the ex post risk premium .
如今大部分股票被机构投资者所持有。这些投资者以多样化组合进行投资。即使是小投资者也能以较低的成本持有指数基金。这样受某个公司破产的影响也就很小了。风险的降低也促使投资者高价投资股票。换而言之，投资者要接受一个较低的股息收益率。这样也许会增加事后估计风险酬金的增加。。
The size and persistence of the ERP led some commentators in the late 1990s to come upwith an ingenious, if flawed, argument. In their book Dow 36,000, for instance, JamesGlassman and Kevin Hassett argued that the reliable outperformance of shares over bondsmeant that equities were not riskier at all. As a result, there need be no ex ante riskpremium.
股票风险溢价的规模及持续性使得一些时事评论员在20世纪90年代末提出了一个巧妙而有缺陷的论点。在《道琼斯指数36000点》一书中，James Glassman 和Kevin Hassett认为，股票优于债券的出色表现意味着股票根本没有风险。因此不需要事前风险溢价。
This time is not different
今非昔比
If this belief were correct, equity investors should have been willing to accept a lowerearnings yield. In the course of moving to the lower earnings yield, the market would havesoared to the 36,000 level of the books title. A lower ex ante risk premium implies higherreturns in the short term. The authors were proved right in one sense. Investors who boughtshares in 1999 did not earn a risk premium. But that will be of scant consolation to thosewho believed the book, since 13 years later the Dow is at around 13,000, not 36,000.
如果这种观点是正确的，股票投资者应该愿意接受较低的盈利收益。。在盈利收益走低的情况下，股票市场一路飙升到书中标题所说的36，000点。较低的事前评价风险溢价往往意味着短期内较高的回报。某种程度上作者的观点被证明是正确的。在1999年购买股票的投资者并没赚到风险溢价。但这对那些推崇这本书的人来说，显然缺少安慰。因为13年后，道指仅为 13，000点左右，远不是书中所说的36，000点。
One obvious problem with their reasoning was that, although equities might have beatenbonds over most long periods, the horizon of the average investor is much shorter. Therehave been many equity bear markets in history and investors are exposed to the real riskthat they will have to sell in the middle of one. Most shares are owned by professional fundmanagers, who have to report to their clients every three months. If a big bet on equitiesgoes wrong they cannot wait 20 years to be proved right. Clients will have deserted themlong before then.
按照他们的推断，一个显而易见的问题出现了，尽管在较长的周期内股票的收益可能已经超过了债券，但普通投资者却越来越目光短浅。史上曾出现过多次熊市但投资者们面临的风险是他们不得不在中间价位抛售手中的股票。那些每三个月向他们的客户汇报股市行情的基金经理持有大量股票。如果大笔赌注投在股票上而亏了，用不了他们等待20年来证明是正确的，客户早就会把他们抛弃。
The late-1990s debate illustrated a familiar pattern at the top of bull markets. When shareprices have already risen a lot, commentators scramble for reasons why they should riseeven further. In the 1980s those who queried whether the Japanese stockmarket wasexpensive on a minimal dividend yield and a sky-high price-earnings ratio were told thatWestern valuation methods did not apply in Tokyo. At the turn of the century manyassumed that, because the achieved ERP had been high in the past, it would be so in thefuture. But investors had their reasoning backwards. When share valuations are high, futurereturns are likely to be low and vice versa.
20世纪90年代末的争论证明了牛市见顶的一个熟悉模式。当股价大幅上涨时，时事评论员东拼西凑各种理由来解释为什么股价上涨甚至会涨得更多。在20世纪80年代那些质疑以极低的股息收益率和极高的市盈率的日本股市是否昂贵的人被告之西方的计价方法并不适合东京股票市场。在世纪之交许多假设都认为是这样，因为已经兑现的股票风险溢价在过去收益很高，在未来也是如此。但是投资者自己分析认为这一情况将会改变。当股票价值高涨时，未来的收益就可能偏低。反之亦然。
Given the history of the risk premium, what will the future reward for equity investors be?This question is discussed in a new set of papers issued by the Chartered Financial AnalystsInstitute. The collection is a follow-up to a similar exercise undertaken in 2001, where therange of estimates of the premium varied from zero to seven percentage points a year.
从风险溢价的历史来看，股票投资者未来的收益将会是什么呢?最近由特许金融分析师学会发表的论文中多次讨论到这个问题。论文中收集到的数据是基于2001年发生的相同交易，估计每年的股票溢价范围在0到7个百分点之间。
The first step is to define the equity risk premium more exactly. Mssrs Dimson, Marsh andStaunton break it down into the following components: the dividend yield, plus the realdividend growth rate, plus or minus any change in the price/dividend ratio , minus the real risk-free interest rate.
第一步是尽可能精确地界定股票风险溢价的范畴。Mssrs Dimson,Marsh和Staunton将股票风险溢价分成以下几个部分:股息收益率加上实际股息成长率,加上或减去价格与股息之比率中的变动值,最后再减去实际无风险利率。
In the period 1900-2011, the average world dividend yield was 4.1%; real dividendgrowth was just 0.8%; and the rerating of the market added 0.4%。 That comes to a realequity return of 5.4% 。 Stripping out therisk-free interest rate, the ERP was 4.4% versus short-term government debt and 3.5%versus longer-term government bonds .
从1900年到2011年,世界平均股息收益率为4.1%。实际股息增长率仅为0.8%。加上0.4%的市场重估价值就构成5.4%的实际股票收益。。除去无风险利率,与短期政府债券相比,股票风险溢价为4.4%。和长期政府债券相比,股票风险溢价为3.5%。
The dividend yield comprised the vast bulk of the return. This was true across all thecountries studied by the authors. Had investors consistently bought the highest-yieldingquintile of equity markets over the past 112 years they would have earned an averagenominal annual return of 13.3% compared with a return of just 5.4% for those buying thelowest-yielding quintile. High-dividend markets have also performed best so far thiscentury.
股息收益率包括高额回报。这是作者经过对许多国家的研究后证实的。与在收益率最低的15年内投资者在其购买股票后的年收益率仅为5.4%相比,投资者在过去112年中收益率最高的15年内持续购买股票后的平均名义年收益率为 13.3%。到本世纪为止,高股息市场的发展最为迅猛。
Sharesand shibboleths
股票与市场准则
How much should people get paid for investing inthe stockmarket?
人们在股票市场上的投资应该得到多少回报?
If there is a sacred belief among investors, it isthat equities are the best asset for the long run.Buy a diversified portfolio, be patient and rewardswill come. Holding cash or government bonds mayoffer safety in the short term but leaves the investor at risk from inflation over longerperiods.
如果说投资者心中有个神圣的信念的话,那就是他们认为从长远来看股票是最好的资产。买一个多元化投资组合,课以时日,就会得到回报。持有现金或政府债券在短期内也许更保险,但从长期来看它会让投资者面临通胀的风险。
Such beliefs sit oddly with the performance of the Tokyo stockmarket, which peaked at theend of 1989 and is still 75% below its high. Over the 30 years ending in 2010, a long run byany standards, American equities beat government bonds by less than a percentage point ayear.
这种信念却神奇地与东京股票市场的表现相吻合,该股票市场在1989年末达到最高值,并且现在仍然是其1989年最高值的75%。从1970年到2010年这30年间,依据人们所谓长期的标准,美国政府债券年回报都比股票要少一个百分点。
In the developed world, the period since the turn of the millennium has been a particulardisappointment. Since the end of 1999 the return on American equities has been 7.6percentage points a year lower than that on government bonds . That has leftmany corporate and public pension funds in deficit and many people with private pensionsfacing a delayed, or poorer, retirement. Understanding why equities have let investors downover the past decade will help them work out what to expect in the future.
在发达国家,自进入千禧年以来，股市令人特别失望。自从1999年年末起,美国股票回报为7.6个百分点,低于政府债券的回报。这导致许多企业和公共养老基金出现赤字而且许多私募养老金面临要么延期发放,要么发得更少,要么退休的境地。理解为什么股票在过去的十年间让投资者失望将有助于他们认识到对未来股市的期望是什么。
The long-term faith in equities is based on the theory that investors should be rewarded forthe riskiness of shares with a higher return, known as the equity risk premium 。That risk comes in two forms. The first is that shareholders get paid only when otherclaimants on a companys cashflow, such as workers, the taxman and creditors, havereceived their due. Profits and dividends are thus highly variable and can disappearaltogether when times get tough. The second risk is that share prices are volatile, more sothan bond prices. Since 1926 there have been seven calendar years when American equityinvestors have suffered a loss of more than 20%; investors in Treasuries have suffered nosuch calamitous years.
对股票的长期信心是基于这样一个理论，投资者在投资有风险的股票时应该得到高额回报,即股票风险溢价。股票风险源于两个方面。第一种是只有当掌控一个公司资金流转的人，如工人,税务稽查员和债权人的得到他们应得的收益后,最后股东才能得到回报。因此对于股东来说,利润和股息都有很大的不确定性,当经济萧条时二者都有可能亏空。第二种风险是与政府债券相比,股票价格是多变的。自1926年以来,美国的股票投资者承受了超过20%的损失，这种情况持续了七年。政府债券投资者从没遭遇过这样的悲惨时期。
The big question, however, is how large that extra return should be. Here it is important todistinguish between the extra return investors actually achieved for holding equities and the return they expected to achieve when theybought them . Academics started to focus on this problem in themid-1980s when a paper by Rajnish Mehra and Edward Prescott indicated that the ex postreturn of American equity investors had been remarkably high, at around seven percentagepoints a year. It seems unlikely that investors expected to do so well.
然而,最大问题是股票投资者得到的额外收益有多高才合理?区分额外收益投资者实际能从他们所持有的股票得到的回报以及当他们买入股票时期望得到的回报是至关重要的。从20世纪80年代中期学术界就开始关注这个问题。那时Rajnish Mehra 和 Edward Prescott就在论文中指出美国股票投资者的事后估计值总是出奇地高,每年约有7个百分点。似乎投资者预期不可能有这么高。
Premium puzzle
溢价之谜
There are a number of possible explanations for these very high ex post returns. One issurvivorship bias in the numbers. America, which is the benchmark for ERP measurements,turned out to be the most successful economy of the 20th century, but it might not havebeen. Before the first world war investors doubtless had high hopes for Argentina, China orRussiaonly to be disappointed.
对于如此高额的事后估计收益有种种解释。一种是幸存者偏差。作为股票风险溢价测量方法的基准的美国,被证明是20世纪最成功的经济体,但这一切已经不复存在。在第一次世界大战之前对阿根廷,中国或俄罗斯抱很大希望的投资者没想到会失望。
Elroy Dimson, Paul Marsh and Mike Staunton of the London Business School haveanalysed the data for 19 countries from 1900 to 2011 and found that the ERP relative toTreasury bills ranged from just over two-and-a-halfpercentage points a year in Denmark to six-and-a-half points in Australia. They found apremium for America of five percentage points.
伦敦商学院的Elroy Dimson, Paul Marsh和Mike Staunton对19个国家从1900年到2011年的数据进行分析后发现,股票风险溢价相对于短期无息国库券相比的收益范围从丹麦的每年2.5个百分点到澳大利亚的每年6.5个百分点不等。美国的溢价是5个百分点。
Another explanation for the high returns is a paradoxical one: that equities have becomeless risky. In the early part of the 20th century corporate accounts were more opaque andless reliable . Moststocks were owned by private investors with only a handful of individual shares. This leftthem more exposed to the risk of a single firm failing, which meant they put a lower valueon sharesor, to put it another way, they demanded a higher premium for owning them.
而另一种对高收益的解释却和第一种相互矛盾:股票的风险在降低。20世纪初期企业账目更加不透明而且可靠程度更低。大部分股票被那些私人投资者以个人股的形式所持有。这大大增加了单个公司破产给他们带来的风险。也就意味着人们认为股份的价值很低,换而言之，持有这些股份就会有更多的风险溢价。
Today most equities are owned by institutional investors who can assemble a diversifiedportfolio. Even small investors can own an index fund at low cost. The impact of onecompany failing is thus far smaller. This reduced risk has prompted investors to pay higherprices for shares; in other words, to accept a lower dividend yield. That may well haveincreased the ex post risk premium .
如今大部分股票被机构投资者所持有。这些投资者以多样化组合进行投资。即使是小投资者也能以较低的成本持有指数基金。这样受某个公司破产的影响也就很小了。风险的降低也促使投资者高价投资股票。换而言之，投资者要接受一个较低的股息收益率。这样也许会增加事后估计风险酬金的增加。。
The size and persistence of the ERP led some commentators in the late 1990s to come upwith an ingenious, if flawed, argument. In their book Dow 36,000, for instance, JamesGlassman and Kevin Hassett argued that the reliable outperformance of shares over bondsmeant that equities were not riskier at all. As a result, there need be no ex ante riskpremium.
股票风险溢价的规模及持续性使得一些时事评论员在20世纪90年代末提出了一个巧妙而有缺陷的论点。在《道琼斯指数36000点》一书中，James Glassman 和Kevin Hassett认为，股票优于债券的出色表现意味着股票根本没有风险。因此不需要事前风险溢价。
This time is not different
今非昔比
If this belief were correct, equity investors should have been willing to accept a lowerearnings yield. In the course of moving to the lower earnings yield, the market would havesoared to the 36,000 level of the books title. A lower ex ante risk premium implies higherreturns in the short term. The authors were proved right in one sense. Investors who boughtshares in 1999 did not earn a risk premium. But that will be of scant consolation to thosewho believed the book, since 13 years later the Dow is at around 13,000, not 36,000.
如果这种观点是正确的，股票投资者应该愿意接受较低的盈利收益。。在盈利收益走低的情况下，股票市场一路飙升到书中标题所说的36，000点。较低的事前评价风险溢价往往意味着短期内较高的回报。某种程度上作者的观点被证明是正确的。在1999年购买股票的投资者并没赚到风险溢价。但这对那些推崇这本书的人来说，显然缺少安慰。因为13年后，道指仅为 13，000点左右，远不是书中所说的36，000点。
One obvious problem with their reasoning was that, although equities might have beatenbonds over most long periods, the horizon of the average investor is much shorter. Therehave been many equity bear markets in history and investors are exposed to the real riskthat they will have to sell in the middle of one. Most shares are owned by professional fundmanagers, who have to report to their clients every three months. If a big bet on equitiesgoes wrong they cannot wait 20 years to be proved right. Clients will have deserted themlong before then.
按照他们的推断，一个显而易见的问题出现了，尽管在较长的周期内股票的收益可能已经超过了债券，但普通投资者却越来越目光短浅。史上曾出现过多次熊市但投资者们面临的风险是他们不得不在中间价位抛售手中的股票。那些每三个月向他们的客户汇报股市行情的基金经理持有大量股票。如果大笔赌注投在股票上而亏了，用不了他们等待20年来证明是正确的，客户早就会把他们抛弃。
The late-1990s debate illustrated a familiar pattern at the top of bull markets. When shareprices have already risen a lot, commentators scramble for reasons why they should riseeven further. In the 1980s those who queried whether the Japanese stockmarket wasexpensive on a minimal dividend yield and a sky-high price-earnings ratio were told thatWestern valuation methods did not apply in Tokyo. At the turn of the century manyassumed that, because the achieved ERP had been high in the past, it would be so in thefuture. But investors had their reasoning backwards. When share valuations are high, futurereturns are likely to be low and vice versa.
20世纪90年代末的争论证明了牛市见顶的一个熟悉模式。当股价大幅上涨时，时事评论员东拼西凑各种理由来解释为什么股价上涨甚至会涨得更多。在20世纪80年代那些质疑以极低的股息收益率和极高的市盈率的日本股市是否昂贵的人被告之西方的计价方法并不适合东京股票市场。在世纪之交许多假设都认为是这样，因为已经兑现的股票风险溢价在过去收益很高，在未来也是如此。但是投资者自己分析认为这一情况将会改变。当股票价值高涨时，未来的收益就可能偏低。反之亦然。
Given the history of the risk premium, what will the future reward for equity investors be?This question is discussed in a new set of papers issued by the Chartered Financial AnalystsInstitute. The collection is a follow-up to a similar exercise undertaken in 2001, where therange of estimates of the premium varied from zero to seven percentage points a year.
从风险溢价的历史来看，股票投资者未来的收益将会是什么呢?最近由特许金融分析师学会发表的论文中多次讨论到这个问题。论文中收集到的数据是基于2001年发生的相同交易，估计每年的股票溢价范围在0到7个百分点之间。
The first step is to define the equity risk premium more exactly. Mssrs Dimson, Marsh andStaunton break it down into the following components: the dividend yield, plus the realdividend growth rate, plus or minus any change in the price/dividend ratio , minus the real risk-free interest rate.
第一步是尽可能精确地界定股票风险溢价的范畴。Mssrs Dimson,Marsh和Staunton将股票风险溢价分成以下几个部分:股息收益率加上实际股息成长率,加上或减去价格与股息之比率中的变动值,最后再减去实际无风险利率。
In the period 1900-2011, the average world dividend yield was 4.1%; real dividendgrowth was just 0.8%; and the rerating of the market added 0.4%。 That comes to a realequity return of 5.4% 。 Stripping out therisk-free interest rate, the ERP was 4.4% versus short-term government debt and 3.5%versus longer-term government bonds .
从1900年到2011年,世界平均股息收益率为4.1%。实际股息增长率仅为0.8%。加上0.4%的市场重估价值就构成5.4%的实际股票收益。。除去无风险利率,与短期政府债券相比,股票风险溢价为4.4%。和长期政府债券相比,股票风险溢价为3.5%。
The dividend yield comprised the vast bulk of the return. This was true across all thecountries studied by the authors. Had investors consistently bought the highest-yieldingquintile of equity markets over the past 112 years they would have earned an averagenominal annual return of 13.3% compared with a return of just 5.4% for those buying thelowest-yielding quintile. High-dividend markets have also performed best so far thiscentury.
股息收益率包括高额回报。这是作者经过对许多国家的研究后证实的。与在收益率最低的15年内投资者在其购买股票后的年收益率仅为5.4%相比,投资者在过去112年中收益率最高的15年内持续购买股票后的平均名义年收益率为 13.3%。到本世纪为止,高股息市场的发展最为迅猛。
