经济学人下载:股票与市场准则

Finance and Economics；Equity markets；Shares and shibboleths；
财经；股票市场；股票与市场准则；

How much should people get paid for investing in the 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 is that equities are the best asset for the long run. Buy a diversified portfolio, be patient and rewards will come. Holding cash or government bonds may offer safety in the short term but leaves the investor at risk from inflation over longer periods.

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 the end of 1989 and is still 75% below its high. Over the 30 years ending in 2010, a “long run” by any standards, American equities beat government bonds by less than a percentage point a year.

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 particular disappointment. Since the end of 1999 the return on American equities has been 7.6 percentage points a year lower than that on government bonds (see chart 1). That has left many corporate and public pension funds in deficit and many people with private pensions facing a delayed, or poorer, retirement. Understanding why equities have let investors down over 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 for the riskiness of shares with a higher return, known as the “equity risk premium” (ERP)。 That risk comes in two forms. The first is that shareholders get paid only when other claimants on a company’s cashflow, such as workers, the taxman and creditors, have received their due. Profits and dividends are thus highly variable and can disappear altogether when times get tough. The second risk is that share prices are volatile, more so than bond prices. Since 1926 there have been seven calendar years when American equity investors have suffered a loss of more than 20%; investors in Treasuries have suffered no such 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（ERP）。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 to distinguish between the extra return investors actually achieved for holding equities (what could be called the ex post number) and the return they expected to achieve when they bought them (the ex ante figure). Academics started to focus on this problem in the mid-1980s when a paper by Rajnish Mehra and Edward Prescott indicated that the ex post return of American equity investors had been remarkably high, at around seven percentage points 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（即事后估计值）得到的回报以及当他们买入股票时期望得到的回报（即事前估计值）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 is survivorship 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 have been. Before the first world war investors doubtless had high hopes for Argentina, China or Russia—only 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 (LBS) have analysed the data for 19 countries from 1900 to 2011 and found that the ERP relative to Treasury bills (short-term government debt) ranged from just over two-and-a-half percentage points a year in Denmark to six-and-a-half points in Australia. They found a premium 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(短期政府债务)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 become less risky. In the early part of the 20th century corporate accounts were more opaque and less reliable (though shareholders in Enron, a bust energy company, may disagree). Most stocks were owned by private investors with only a handful of individual shares. This left them more exposed to the risk of a single firm failing, which meant they put a lower value on shares—or, 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(虽然对于已经破产的能源公司－安然的股东也许不同意这种看法)。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 diversified portfolio. Even small investors can own an index fund at low cost. The impact of one company failing is thus far smaller. This reduced risk has prompted investors to pay higher prices for shares; in other words, to accept a lower dividend yield. That may well have increased the ex post risk premium (other things being equal, a fall in the dividend yield from 4% to 2% means investors double their money).

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。（在其它条件相同的情况下，股息收益率从4%跌到2%意味着投资者要投双倍的钱）。

The size and persistence of the ERP led some commentators in the late 1990s to come up with an ingenious, if flawed, argument. In their book “Dow 36,000”, for instance, James Glassman and Kevin Hassett argued that the reliable outperformance of shares over bonds meant that equities were not riskier at all. As a result, there need be no ex ante risk premium.

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 lower earnings yield. (This is the inverse of the price-earnings ratio; if the p/e is 50, the earnings yield is 2%.) In the course of moving to the lower earnings yield, the market would have soared to the 36,000 level of the book’s title. A lower ex ante risk premium implies higher returns in the short term. The authors were proved right in one sense. Investors who bought shares in 1999 did not earn a risk premium. But that will be of scant consolation to those who 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。（这是逆向市盈率，如果市盈率达到50，那么收益率为2%）。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 beaten bonds over most long periods, the horizon of the average investor is much shorter. There have been many equity bear markets in history and investors are exposed to the real risk that they will have to sell in the middle of one. Most shares are owned by professional fund managers, who have to report to their clients every three months. If a big bet on equities goes wrong they cannot wait 20 years to be proved right. Clients will have deserted them long 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 share prices have already risen a lot, commentators scramble for reasons why they should rise even further. In the 1980s those who queried whether the Japanese stockmarket was expensive on a minimal dividend yield and a sky-high price-earnings ratio were told that “Western valuation methods” did not apply in Tokyo. At the turn of the century many assumed that, because the achieved ERP had been high in the past, it would be so in the future. But investors had their reasoning backwards. When share valuations are high, future returns 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 Analysts Institute. The collection is a follow-up to a similar exercise undertaken in 2001, where the range 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 and Staunton break it down into the following components: the dividend yield, plus the real dividend growth rate, plus or minus any change in the price/dividend ratio (the inverse of the dividend yield), 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(股息收益率的倒数)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 dividend growth was just 0.8%; and the rerating of the market added 0.4%。 That comes to a real equity return of 5.4% (the calculation is geometric, not arithmetic)。 Stripping out the risk-free interest rate, the ERP was 4.4% versus short-term government debt and 3.5% versus longer-term government bonds (see chart 2).

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。(此计算结果为几何级数算法,未按算数式来计算)。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 the countries studied by the authors. Had investors consistently bought the highest-yielding quintile of equity markets over the past 112 years they would have earned an average nominal annual return of 13.3% compared with a return of just 5.4% for those buying the lowest-yielding quintile. High-dividend markets have also performed best so far this century.

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。

The importance of the dividend yield is ironic, given the lack of focus on the measure in most modern investment commentary. Many analysts argue that the dividend has been superseded by the share buy-back which (particularly in America) is a more tax-efficient way of returning cash to shareholders. But Robert Arnott of Research Affiliates points out that, although buy-backs reduce share capital, companies are also finding ways to add to it. Firms issue shares to pay for acquisitions, for example, or to reward executives through incentive schemes. Historically, net share issuance has been around 2% of total equity capital a year. This dilution of existing shareholders is part of the reason why real dividend growth has been so low, well below GDP growth. 

股息收益率的重要性却颇具讽刺意味,很多现代投资评论很少关注如何衡量股息收益率。许多分析家认为,股息已被股票回购所取代(特别是在美国),这是一种向股东返还现金而且更加节税的办法。但是研究机构的Robert Arnott指出,尽管回购会减少股本金,公司仍可以找到办法来增加它。 例如，公司通过发行股份以支付收购所需的资金，或通过激励措施来回报高管。从历史上看，一年的净股票发行已经达到总股本的2％左右。为什么真正的股息增长已经如此之低，远远低于GDP的增长，其一部分原因是减少现有股东的持股。

As a starting point for estimating the future ERP, this is not encouraging. The current dividend yield on stockmarkets is lower (at 2.7% in the countries covered by the LBS data) than the historical average. Dividends tend to grow (at best) no faster than GDP, and usually slower because of the dilution effect. Nor is there much hope of a boost from a revaluation of the market. Since the yield is low, relative to history, it is more likely that any revaluation will subtract from returns. In another paper, Cliff Asness of AQR Capital, a hedge-fund group, uses his estimates of dividend yield and likely dividend growth to come up with a forecast for future real equity returns in America of around 4% a year.

作为估计未来股票风险溢价的起点,这并不让人欢欣鼓舞。股市目前的股息收益率(在LBS数据覆盖的国家,股息收益率为2.7%)低于历史平均水平。在最好的情况下,股息收益率也不如GDP增长快。通常增长缓慢是由于稀释作用的影响。不要对市场的重新评估所带来对股市的推动抱有太大希望。和以往相比,现在的收益率偏低,任何重新评估的推动力很可能从收益中剔除。 AQR资本管理公司（它是对冲基金公司）的Cliff Asness在另一篇文章中，利用他们对股息收益率和可能的股息增长的估计，预测出美国未来每年4％左右实际的股权回报。

Future imperfect
不太美妙的未来

Although this figure is lower than the historical average, it still means that equity investors will earn a risk premium. The real yields on short- and long-term debt are zero, or negative in some cases. Nominal yields are close to historic lows. If the risk-free return is zero, then the entire return from equities will count as a risk premium. And a 4% premium would be only a little below the long-term average for America.

尽管这一数据低于历史平均水平，但仍意味着股票投资者能获得风险溢价。短期或长期债券的收益率为零，或在某些情况下是负数。名义收益率接近历史最低水平。如果无风险收益为零，那么全部股票收益将被当作风险溢价。并且4%的溢价仅比美国历史平均水平略低。

That still would not be high enough for many pension funds. In America, local-government pension funds base their contributions on the assumption that they will earn 8% (in nominal terms) on their investment portfolios. Treasury bonds yield 2% at the moment, so a 4% risk premium suggests a nominal return of 6% on equities. That means pension funds will fall well short of their targeted return.

对于许多养老基金来讲，这4%的溢价仍不算高。在美国，当地政府养老基金是建立在他们在投资组合中将获得8%（名义收益）的收益的假设基础之上的。同期的国债收益为2%，因此4%的风险溢价意味着6%的股权名义回报。这就意味着养老基金远没达到它的目标回报。

Pension providers have two options: increase contributions or cut benefits. Cutting benefits will be difficult for many American states since pension rights are legally or constitutionally guaranteed. So taxes will have to go up or other services will have to be cut. Companies that have offered pensions linked to final salaries may have to divert money into their pension schemes, cash that could have been invested to boost the economy. Individuals who rely on private pensions (or on so-called defined-contribution benefits, where the company does not promise a payout) face the same problem.

提供养老金的人有两种选择：要么增加捐款，要么削减福利。削减福利对于大部分美国的州来讲非常困难，因为养老金领取权是合法的或者受宪法保障的。所以不得不在税收上削减或者将其它服务削减。提供与最终薪金相关的养老金的公司不得不把它们原本投资用来刺激经济的钱转投到养老金计划中。依赖私人养老金的个人（或依赖所谓的养老金固定缴纳计划，而公司不承担支付的人）面临同样的问题。

Equities are not a miracle asset that will turn measly contributions into a generous pension. Those who want to retire in comfort should save more.

股票不是一种可将微薄的捐款转化成丰厚的养老金的神奇资产。那些想要在退休后颐养天年的人应该更加节俭。