Sharesand shibboleths

　　股票與市場準則

　　How much should people get paid for investing inthe stockmarket?

　　人們在股票市場上的投資應該得到多少回報?

　　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.

　　如果說投資者心中有個神圣的信念的話,那就是他們認為從長遠來看股票是最好的資產。買一個多元化投資組合,課以時日,就會得到回報。持有現金或政府債券在短期內也許更保險,但從長期來看它會讓投資者面臨通脹的風險。

　　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.

　　這種信念卻神奇地與東京股票市場的表現相吻合,該股票市場在1989年末達到最高值,并且現在仍然是其1989年最高值的75%。從1970年到2010年這30年間,依據人們所謂長期的標準,美國政府債券年回報都比股票要少一個百分點。

　　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.

　　在發達國家,自進入千禧年以來，股市令人特別失望。自從1999年年末起,美國股票回報為7.6個百分點,低于政府債券的回報。這導致許多企業和公共養老基金出現赤字而且許多私募養老金面臨要么延期發放,要么發得更少,要么退休的境地。理解為什么股票在過去的十年間讓投資者失望將有助于他們認識到對未來股市的期望是什么。

　　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.

　　對股票的長期信心是基于這樣一個理論，投資者在投資有風險的股票時應該得到高額回報,即股票風險溢價。股票風險源于兩個方面。第一種是只有當掌控一個公司資金流轉的人，如工人,稅務稽查員和債權人的得到他們應得的收益后,最后股東才能得到回報。因此對于股東來說,利潤和股息都有很大的不確定性,當經濟蕭條時二者都有可能虧空。第二種風險是與政府債券相比,股票價格是多變的。自1926年以來,美國的股票投資者承受了超過20%的損失，這種情況持續了七年。政府債券投資者從沒遭遇過這樣的悲慘時期。

　　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,最大問題是股票投資者得到的額外收益有多高才合理?區分額外收益投資者實際能從他們所持有的股票得到的回報以及當他們買入股票時期望得到的回報是至關重要的。從20世紀80年代中期學術界就開始關注這個問題。那時Rajnish Mehra 和 Edward Prescott就在論文中指出美國股票投資者的事后估計值總是出奇地高,每年約有7個百分點。似乎投資者預期不可能有這么高。

　　Premium puzzle

　　溢價之謎

　　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.

　　對于如此高額的事后估計收益有種種解釋。一種是幸存者偏差。作為股票風險溢價測量方法的基準的美國,被證明是20世紀最成功的經濟體,但這一切已經不復存在。在第一次世界大戰之前對阿根廷,中國或俄羅斯抱很大希望的投資者沒想到會失望。

　　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.

　　倫敦商學院的Elroy Dimson, Paul Marsh和Mike Staunton對19個國家從1900年到2011年的數據進行分析后發現,股票風險溢價相對于短期無息國庫券相比的收益范圍從丹麥的每年2.5個百分點到澳大利亞的每年6.5個百分點不等。美國的溢價是5個百分點。

　　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.

　　而另一種對高收益的解釋卻和第一種相互矛盾:股票的風險在降低。20世紀初期企業賬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資者以個人股的形式所持有。這大大增加了單個公司破產給他們帶來的風險。也就意味著人們認為股份的價值很低,換而言之，持有這些股份就會有更多的風險溢價。

　　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 .

　　如今大部分股票被機構投資者所持有。這些投資者以多樣化組合進行投資。即使是小投資者也能以較低的成本持有指數基金。這樣受某個公司破產的影響也就很小了。風險的降低也促使投資者高價投資股票。換而言之，投資者要接受一個較低的股息收益率。這樣也許會增加事后估計風險酬金的增加。。

　　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.

　　股票風險溢價的規模及持續性使得一些時事評論員在20世紀90年代末提出了一個巧妙而有缺陷的論點。在《道瓊斯指數36000點》一書中，James Glassman 和Kevin Hassett認為，股票優于債券的出色表現意味著股票根本沒有風險。因此不需要事前風險溢價。

　　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.

　　如果這種觀點是正確的，股票投資者應該愿意接受較低的盈利收益。。在盈利收益走低的情況下，股票市場一路飆升到書中標題所說的36，000點。較低的事前評價風險溢價往往意味著短期內較高的回報。某種程度上作者的觀點被證明是正確的。在1999年購買股票的投資者并沒賺到風險溢價。但這對那些推崇這本書的人來說，顯然缺少安慰。因為13年后，道指僅為 13，000點左右，遠不是書中所說的36，000點。

　　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.

　　按照他們的推斷，一個顯而易見的問題出現了，盡管在較長的周期內股票的收益可能已經超過了債券，但普通投資者卻越來越目光短淺。史上曾出現過多次熊市但投資者們面臨的風險是他們不得不在中間價位拋售手中的股票。那些每三個月向他們的客戶匯報股市行情的基金經理持有大量股票。如果大筆賭注投在股票上而虧了，用不了他們等待20年來證明是正確的，客戶早就會把他們拋棄。

　　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世紀90年代末的爭論證明了牛市見頂的一個熟悉模式。當股價大幅上漲時，時事評論員東拼西湊各種理由來解釋為什么股價上漲甚至會漲得更多。在20世紀80年代那些質疑以極低的股息收益率和極高的市盈率的日本股市是否昂貴的人被告之西方的計價方法并不適合東京股票市場。在世紀之交許多假設都認為是這樣，因為已經兌現的股票風險溢價在過去收益很高，在未來也是如此。但是投資者自己分析認為這一情況將會改變。當股票價值高漲時，未來的收益就可能偏低。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.

　　從風險溢價的歷史來看，股票投資者未來的收益將會是什么呢?最近由特許金融分析師學會發表的論文中多次討論到這個問題。論文中收集到的數據是基于2001年發生的相同交易，估計每年的股票溢價范圍在0到7個百分點之間。

　　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.

　　第一步是盡可能精確地界定股票風險溢價的范疇。Mssrs Dimson,Marsh和Staunton將股票風險溢價分成以下幾個部分:股息收益率加上實際股息成長率,加上或減去價格與股息之比率中的變動值,最后再減去實際無風險利率。

　　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 .

　　從1900年到2011年,世界平均股息收益率為4.1%。實際股息增長率僅為0.8%。加上0.4%的市場重估價值就構成5.4%的實際股票收益。。除去無風險利率,與短期政府債券相比,股票風險溢價為4.4%。和長期政府債券相比,股票風險溢價為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.

　　股息收益率包括高額回報。這是作者經過對許多國家的研究后證實的。與在收益率最低的15年內投資者在其購買股票后的年收益率僅為5.4%相比,投資者在過去112年中收益率最高的15年內持續購買股票后的平均名義年收益率為 13.3%。到本世紀為止,高股息市場的發展最為迅猛。

　　Sharesand shibboleths

　　股票與市場準則

　　How much should people get paid for investing inthe stockmarket?

　　人們在股票市場上的投資應該得到多少回報?

　　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.

　　如果說投資者心中有個神圣的信念的話,那就是他們認為從長遠來看股票是最好的資產。買一個多元化投資組合,課以時日,就會得到回報。持有現金或政府債券在短期內也許更保險,但從長期來看它會讓投資者面臨通脹的風險。

　　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.

　　這種信念卻神奇地與東京股票市場的表現相吻合,該股票市場在1989年末達到最高值,并且現在仍然是其1989年最高值的75%。從1970年到2010年這30年間,依據人們所謂長期的標準,美國政府債券年回報都比股票要少一個百分點。

　　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.

　　在發達國家,自進入千禧年以來，股市令人特別失望。自從1999年年末起,美國股票回報為7.6個百分點,低于政府債券的回報。這導致許多企業和公共養老基金出現赤字而且許多私募養老金面臨要么延期發放,要么發得更少,要么退休的境地。理解為什么股票在過去的十年間讓投資者失望將有助于他們認識到對未來股市的期望是什么。

　　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.

　　對股票的長期信心是基于這樣一個理論，投資者在投資有風險的股票時應該得到高額回報,即股票風險溢價。股票風險源于兩個方面。第一種是只有當掌控一個公司資金流轉的人，如工人,稅務稽查員和債權人的得到他們應得的收益后,最后股東才能得到回報。因此對于股東來說,利潤和股息都有很大的不確定性,當經濟蕭條時二者都有可能虧空。第二種風險是與政府債券相比,股票價格是多變的。自1926年以來,美國的股票投資者承受了超過20%的損失，這種情況持續了七年。政府債券投資者從沒遭遇過這樣的悲慘時期。

　　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,最大問題是股票投資者得到的額外收益有多高才合理?區分額外收益投資者實際能從他們所持有的股票得到的回報以及當他們買入股票時期望得到的回報是至關重要的。從20世紀80年代中期學術界就開始關注這個問題。那時Rajnish Mehra 和 Edward Prescott就在論文中指出美國股票投資者的事后估計值總是出奇地高,每年約有7個百分點。似乎投資者預期不可能有這么高。

　　Premium puzzle

　　溢價之謎

　　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.

　　對于如此高額的事后估計收益有種種解釋。一種是幸存者偏差。作為股票風險溢價測量方法的基準的美國,被證明是20世紀最成功的經濟體,但這一切已經不復存在。在第一次世界大戰之前對阿根廷,中國或俄羅斯抱很大希望的投資者沒想到會失望。

　　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.

　　倫敦商學院的Elroy Dimson, Paul Marsh和Mike Staunton對19個國家從1900年到2011年的數據進行分析后發現,股票風險溢價相對于短期無息國庫券相比的收益范圍從丹麥的每年2.5個百分點到澳大利亞的每年6.5個百分點不等。美國的溢價是5個百分點。

　　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.

　　而另一種對高收益的解釋卻和第一種相互矛盾:股票的風險在降低。20世紀初期企業賬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資者以個人股的形式所持有。這大大增加了單個公司破產給他們帶來的風險。也就意味著人們認為股份的價值很低,換而言之，持有這些股份就會有更多的風險溢價。

　　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 .

　　如今大部分股票被機構投資者所持有。這些投資者以多樣化組合進行投資。即使是小投資者也能以較低的成本持有指數基金。這樣受某個公司破產的影響也就很小了。風險的降低也促使投資者高價投資股票。換而言之，投資者要接受一個較低的股息收益率。這樣也許會增加事后估計風險酬金的增加。。

　　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.

　　股票風險溢價的規模及持續性使得一些時事評論員在20世紀90年代末提出了一個巧妙而有缺陷的論點。在《道瓊斯指數36000點》一書中，James Glassman 和Kevin Hassett認為，股票優于債券的出色表現意味著股票根本沒有風險。因此不需要事前風險溢價。

　　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.

　　如果這種觀點是正確的，股票投資者應該愿意接受較低的盈利收益。。在盈利收益走低的情況下，股票市場一路飆升到書中標題所說的36，000點。較低的事前評價風險溢價往往意味著短期內較高的回報。某種程度上作者的觀點被證明是正確的。在1999年購買股票的投資者并沒賺到風險溢價。但這對那些推崇這本書的人來說，顯然缺少安慰。因為13年后，道指僅為 13，000點左右，遠不是書中所說的36，000點。

　　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.

　　按照他們的推斷，一個顯而易見的問題出現了，盡管在較長的周期內股票的收益可能已經超過了債券，但普通投資者卻越來越目光短淺。史上曾出現過多次熊市但投資者們面臨的風險是他們不得不在中間價位拋售手中的股票。那些每三個月向他們的客戶匯報股市行情的基金經理持有大量股票。如果大筆賭注投在股票上而虧了，用不了他們等待20年來證明是正確的，客戶早就會把他們拋棄。

　　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世紀90年代末的爭論證明了牛市見頂的一個熟悉模式。當股價大幅上漲時，時事評論員東拼西湊各種理由來解釋為什么股價上漲甚至會漲得更多。在20世紀80年代那些質疑以極低的股息收益率和極高的市盈率的日本股市是否昂貴的人被告之西方的計價方法并不適合東京股票市場。在世紀之交許多假設都認為是這樣，因為已經兌現的股票風險溢價在過去收益很高，在未來也是如此。但是投資者自己分析認為這一情況將會改變。當股票價值高漲時，未來的收益就可能偏低。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.

　　從風險溢價的歷史來看，股票投資者未來的收益將會是什么呢?最近由特許金融分析師學會發表的論文中多次討論到這個問題。論文中收集到的數據是基于2001年發生的相同交易，估計每年的股票溢價范圍在0到7個百分點之間。

　　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.

　　第一步是盡可能精確地界定股票風險溢價的范疇。Mssrs Dimson,Marsh和Staunton將股票風險溢價分成以下幾個部分:股息收益率加上實際股息成長率,加上或減去價格與股息之比率中的變動值,最后再減去實際無風險利率。

　　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 .

　　從1900年到2011年,世界平均股息收益率為4.1%。實際股息增長率僅為0.8%。加上0.4%的市場重估價值就構成5.4%的實際股票收益。。除去無風險利率,與短期政府債券相比,股票風險溢價為4.4%。和長期政府債券相比,股票風險溢價為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.

　　股息收益率包括高額回報。這是作者經過對許多國家的研究后證實的。與在收益率最低的15年內投資者在其購買股票后的年收益率僅為5.4%相比,投資者在過去112年中收益率最高的15年內持續購買股票后的平均名義年收益率為 13.3%。到本世紀為止,高股息市場的發展最為迅猛。