Sharesand shibboleths

　　股票與市場(chǎng)準(zhǔn)則

　　How much should people get paid for investing inthe stockmarket?

　　人們?cè)诠善笔袌?chǎng)上的投資應(yīng)該得到多少回報(bào)?

　　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(shuō)投資者心中有個(gè)神圣的信念的話,那就是他們認(rèn)為從長(zhǎng)遠(yuǎn)來(lái)看股票是最好的資產(chǎn)。買一個(gè)多元化投資組合,課以時(shí)日,就會(huì)得到回報(bào)。持有現(xiàn)金或政府債券在短期內(nèi)也許更保險(xiǎn),但從長(zhǎng)期來(lái)看它會(huì)讓投資者面臨通脹的風(fēng)險(xiǎn)。

　　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(chǎng)的表現(xiàn)相吻合,該股票市場(chǎng)在1989年末達(dá)到最高值,并且現(xiàn)在仍然是其1989年最高值的75%。從1970年到2010年這30年間,依據(jù)人們所謂長(zhǎng)期的標(biāo)準(zhǔn),美國(guó)政府債券年回報(bào)都比股票要少一個(gè)百分點(diǎn)。

　　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(fā)達(dá)國(guó)家,自進(jìn)入千禧年以來(lái)，股市令人特別失望。自從1999年年末起,美國(guó)股票回報(bào)為7.6個(gè)百分點(diǎn),低于政府債券的回報(bào)。這導(dǎo)致許多企業(yè)和公共養(yǎng)老基金出現(xiàn)赤字而且許多私募養(yǎng)老金面臨要么延期發(fā)放,要么發(fā)得更少,要么退休的境地。理解為什么股票在過(guò)去的十年間讓投資者失望將有助于他們認(rèn)識(shí)到對(duì)未來(lái)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(duì)股票的長(zhǎng)期信心是基于這樣一個(gè)理論，投資者在投資有風(fēng)險(xiǎn)的股票時(shí)應(yīng)該得到高額回報(bào),即股票風(fēng)險(xiǎn)溢價(jià)。股票風(fēng)險(xiǎn)源于兩個(gè)方面。第一種是只有當(dāng)掌控一個(gè)公司資金流轉(zhuǎn)的人，如工人,稅務(wù)稽查員和債權(quán)人的得到他們應(yīng)得的收益后,最后股東才能得到回報(bào)。因此對(duì)于股東來(lái)說(shuō),利潤(rùn)和股息都有很大的不確定性,當(dāng)經(jīng)濟(jì)蕭條時(shí)二者都有可能虧空。第二種風(fēng)險(xiǎn)是與政府債券相比,股票價(jià)格是多變的。自1926年以來(lái),美國(guó)的股票投資者承受了超過(guò)20%的損失，這種情況持續(xù)了七年。政府債券投資者從沒(méi)遭遇過(guò)這樣的悲慘時(shí)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(wèn)題是股票投資者得到的額外收益有多高才合理?區(qū)分額外收益投資者實(shí)際能從他們所持有的股票得到的回報(bào)以及當(dāng)他們買入股票時(shí)期望得到的回報(bào)是至關(guān)重要的。從20世紀(jì)80年代中期學(xué)術(shù)界就開始關(guān)注這個(gè)問(wèn)題。那時(shí)Rajnish Mehra 和 Edward Prescott就在論文中指出美國(guó)股票投資者的事后估計(jì)值總是出奇地高,每年約有7個(gè)百分點(diǎn)。似乎投資者預(yù)期不可能有這么高。

　　Premium puzzle

　　溢價(jià)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(duì)于如此高額的事后估計(jì)收益有種種解釋。一種是幸存者偏差。作為股票風(fēng)險(xiǎn)溢價(jià)測(cè)量方法的基準(zhǔn)的美國(guó),被證明是20世紀(jì)最成功的經(jīng)濟(jì)體,但這一切已經(jīng)不復(fù)存在。在第一次世界大戰(zhàn)之前對(duì)阿根廷,中國(guó)或俄羅斯抱很大希望的投資者沒(méi)想到會(huì)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(xué)院的Elroy Dimson, Paul Marsh和Mike Staunton對(duì)19個(gè)國(guó)家從1900年到2011年的數(shù)據(jù)進(jìn)行分析后發(fā)現(xiàn),股票風(fēng)險(xiǎn)溢價(jià)相對(duì)于短期無(wú)息國(guó)庫(kù)券相比的收益范圍從丹麥的每年2.5個(gè)百分點(diǎn)到澳大利亞的每年6.5個(gè)百分點(diǎn)不等。美國(guó)的溢價(jià)是5個(gè)百分點(diǎn)。

　　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(duì)高收益的解釋卻和第一種相互矛盾:股票的風(fēng)險(xiǎn)在降低。20世紀(jì)初期企業(yè)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(gè)人股的形式所持有。這大大增加了單個(gè)公司破產(chǎn)給他們帶來(lái)的風(fēng)險(xiǎn)。也就意味著人們認(rèn)為股份的價(jià)值很低,換而言之，持有這些股份就會(huì)有更多的風(fēng)險(xiǎn)溢價(jià)。

　　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(jī)構(gòu)投資者所持有。這些投資者以多樣化組合進(jìn)行投資。即使是小投資者也能以較低的成本持有指數(shù)基金。這樣受某個(gè)公司破產(chǎn)的影響也就很小了。風(fēng)險(xiǎn)的降低也促使投資者高價(jià)投資股票。換而言之，投資者要接受一個(gè)較低的股息收益率。這樣也許會(huì)增加事后估計(jì)風(fēng)險(xiǎn)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(fēng)險(xiǎn)溢價(jià)的規(guī)模及持續(xù)性使得一些時(shí)事評(píng)論員在20世紀(jì)90年代末提出了一個(gè)巧妙而有缺陷的論點(diǎn)。在《道瓊斯指數(shù)36000點(diǎn)》一書中，James Glassman 和Kevin Hassett認(rèn)為，股票優(yōu)于債券的出色表現(xiàn)意味著股票根本沒(méi)有風(fēng)險(xiǎn)。因此不需要事前風(fēng)險(xiǎn)溢價(jià)。

　　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(diǎn)是正確的，股票投資者應(yīng)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(chǎng)一路飆升到書中標(biāo)題所說(shuō)的36，000點(diǎn)。較低的事前評(píng)價(jià)風(fēng)險(xiǎn)溢價(jià)往往意味著短期內(nèi)較高的回報(bào)。某種程度上作者的觀點(diǎn)被證明是正確的。在1999年購(gòu)買股票的投資者并沒(méi)賺到風(fēng)險(xiǎn)溢價(jià)。但這對(duì)那些推崇這本書的人來(lái)說(shuō)，顯然缺少安慰。因?yàn)?3年后，道指僅為 13，000點(diǎn)左右，遠(yuǎn)不是書中所說(shuō)的36，000點(diǎn)。

　　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(gè)顯而易見(jiàn)的問(wèn)題出現(xiàn)了，盡管在較長(zhǎng)的周期內(nèi)股票的收益可能已經(jīng)超過(guò)了債券，但普通投資者卻越來(lái)越目光短淺。史上曾出現(xiàn)過(guò)多次熊市但投資者們面臨的風(fēng)險(xiǎn)是他們不得不在中間價(jià)位拋售手中的股票。那些每三個(gè)月向他們的客戶匯報(bào)股市行情的基金經(jīng)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(lái)證明是正確的，客戶早就會(huì)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(jì)90年代末的爭(zhēng)論證明了牛市見(jiàn)頂?shù)囊粋€(gè)熟悉模式。當(dāng)股價(jià)大幅上漲時(shí)，時(shí)事評(píng)論員東拼西湊各種理由來(lái)解釋為什么股價(jià)上漲甚至?xí)q得更多。在20世紀(jì)80年代那些質(zhì)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(jì)價(jià)方法并不適合東京股票市場(chǎng)。在世紀(jì)之交許多假設(shè)都認(rèn)為是這樣，因?yàn)橐呀?jīng)兌現(xiàn)的股票風(fēng)險(xiǎn)溢價(jià)在過(guò)去收益很高，在未來(lái)也是如此。但是投資者自己分析認(rèn)為這一情況將會(huì)改變。當(dāng)股票價(jià)值高漲時(shí)，未來(lái)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(fēng)險(xiǎn)溢價(jià)的歷史來(lái)看，股票投資者未來(lái)的收益將會(huì)是什么呢?最近由特許金融分析師學(xué)會(huì)發(fā)表的論文中多次討論到這個(gè)問(wèn)題。論文中收集到的數(shù)據(jù)是基于2001年發(fā)生的相同交易，估計(jì)每年的股票溢價(jià)范圍在0到7個(gè)百分點(diǎn)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(fēng)險(xiǎn)溢價(jià)的范疇。Mssrs Dimson,Marsh和Staunton將股票風(fēng)險(xiǎn)溢價(jià)分成以下幾個(gè)部分:股息收益率加上實(shí)際股息成長(zhǎng)率,加上或減去價(jià)格與股息之比率中的變動(dòng)值,最后再減去實(shí)際無(wú)風(fēng)險(xiǎn)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(shí)際股息增長(zhǎng)率僅為0.8%。加上0.4%的市場(chǎng)重估價(jià)值就構(gòu)成5.4%的實(shí)際股票收益。。除去無(wú)風(fēng)險(xiǎn)利率,與短期政府債券相比,股票風(fēng)險(xiǎn)溢價(jià)為4.4%。和長(zhǎng)期政府債券相比,股票風(fēng)險(xiǎn)溢價(jià)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(bào)。這是作者經(jīng)過(guò)對(duì)許多國(guó)家的研究后證實(shí)的。與在收益率最低的15年內(nèi)投資者在其購(gòu)買股票后的年收益率僅為5.4%相比,投資者在過(guò)去112年中收益率最高的15年內(nèi)持續(xù)購(gòu)買股票后的平均名義年收益率為 13.3%。到本世紀(jì)為止,高股息市場(chǎng)的發(fā)展最為迅猛。

　　Sharesand shibboleths

　　股票與市場(chǎng)準(zhǔn)則

　　How much should people get paid for investing inthe stockmarket?

　　人們?cè)诠善笔袌?chǎng)上的投資應(yīng)該得到多少回報(bào)?

　　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(shuō)投資者心中有個(gè)神圣的信念的話,那就是他們認(rèn)為從長(zhǎng)遠(yuǎn)來(lái)看股票是最好的資產(chǎn)。買一個(gè)多元化投資組合,課以時(shí)日,就會(huì)得到回報(bào)。持有現(xiàn)金或政府債券在短期內(nèi)也許更保險(xiǎn),但從長(zhǎng)期來(lái)看它會(huì)讓投資者面臨通脹的風(fēng)險(xiǎn)。

　　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(chǎng)的表現(xiàn)相吻合,該股票市場(chǎng)在1989年末達(dá)到最高值,并且現(xiàn)在仍然是其1989年最高值的75%。從1970年到2010年這30年間,依據(jù)人們所謂長(zhǎng)期的標(biāo)準(zhǔn),美國(guó)政府債券年回報(bào)都比股票要少一個(gè)百分點(diǎn)。

　　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(fā)達(dá)國(guó)家,自進(jìn)入千禧年以來(lái)，股市令人特別失望。自從1999年年末起,美國(guó)股票回報(bào)為7.6個(gè)百分點(diǎn),低于政府債券的回報(bào)。這導(dǎo)致許多企業(yè)和公共養(yǎng)老基金出現(xiàn)赤字而且許多私募養(yǎng)老金面臨要么延期發(fā)放,要么發(fā)得更少,要么退休的境地。理解為什么股票在過(guò)去的十年間讓投資者失望將有助于他們認(rèn)識(shí)到對(duì)未來(lái)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(duì)股票的長(zhǎng)期信心是基于這樣一個(gè)理論，投資者在投資有風(fēng)險(xiǎn)的股票時(shí)應(yīng)該得到高額回報(bào),即股票風(fēng)險(xiǎn)溢價(jià)。股票風(fēng)險(xiǎn)源于兩個(gè)方面。第一種是只有當(dāng)掌控一個(gè)公司資金流轉(zhuǎn)的人，如工人,稅務(wù)稽查員和債權(quán)人的得到他們應(yīng)得的收益后,最后股東才能得到回報(bào)。因此對(duì)于股東來(lái)說(shuō),利潤(rùn)和股息都有很大的不確定性,當(dāng)經(jīng)濟(jì)蕭條時(shí)二者都有可能虧空。第二種風(fēng)險(xiǎn)是與政府債券相比,股票價(jià)格是多變的。自1926年以來(lái),美國(guó)的股票投資者承受了超過(guò)20%的損失，這種情況持續(xù)了七年。政府債券投資者從沒(méi)遭遇過(guò)這樣的悲慘時(shí)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(wèn)題是股票投資者得到的額外收益有多高才合理?區(qū)分額外收益投資者實(shí)際能從他們所持有的股票得到的回報(bào)以及當(dāng)他們買入股票時(shí)期望得到的回報(bào)是至關(guān)重要的。從20世紀(jì)80年代中期學(xué)術(shù)界就開始關(guān)注這個(gè)問(wèn)題。那時(shí)Rajnish Mehra 和 Edward Prescott就在論文中指出美國(guó)股票投資者的事后估計(jì)值總是出奇地高,每年約有7個(gè)百分點(diǎn)。似乎投資者預(yù)期不可能有這么高。

　　Premium puzzle

　　溢價(jià)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(duì)于如此高額的事后估計(jì)收益有種種解釋。一種是幸存者偏差。作為股票風(fēng)險(xiǎn)溢價(jià)測(cè)量方法的基準(zhǔn)的美國(guó),被證明是20世紀(jì)最成功的經(jīng)濟(jì)體,但這一切已經(jīng)不復(fù)存在。在第一次世界大戰(zhàn)之前對(duì)阿根廷,中國(guó)或俄羅斯抱很大希望的投資者沒(méi)想到會(huì)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(xué)院的Elroy Dimson, Paul Marsh和Mike Staunton對(duì)19個(gè)國(guó)家從1900年到2011年的數(shù)據(jù)進(jìn)行分析后發(fā)現(xiàn),股票風(fēng)險(xiǎn)溢價(jià)相對(duì)于短期無(wú)息國(guó)庫(kù)券相比的收益范圍從丹麥的每年2.5個(gè)百分點(diǎn)到澳大利亞的每年6.5個(gè)百分點(diǎn)不等。美國(guó)的溢價(jià)是5個(gè)百分點(diǎn)。

　　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(duì)高收益的解釋卻和第一種相互矛盾:股票的風(fēng)險(xiǎn)在降低。20世紀(jì)初期企業(yè)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(gè)人股的形式所持有。這大大增加了單個(gè)公司破產(chǎn)給他們帶來(lái)的風(fēng)險(xiǎn)。也就意味著人們認(rèn)為股份的價(jià)值很低,換而言之，持有這些股份就會(huì)有更多的風(fēng)險(xiǎn)溢價(jià)。

　　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(jī)構(gòu)投資者所持有。這些投資者以多樣化組合進(jìn)行投資。即使是小投資者也能以較低的成本持有指數(shù)基金。這樣受某個(gè)公司破產(chǎn)的影響也就很小了。風(fēng)險(xiǎn)的降低也促使投資者高價(jià)投資股票。換而言之，投資者要接受一個(gè)較低的股息收益率。這樣也許會(huì)增加事后估計(jì)風(fēng)險(xiǎn)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(fēng)險(xiǎn)溢價(jià)的規(guī)模及持續(xù)性使得一些時(shí)事評(píng)論員在20世紀(jì)90年代末提出了一個(gè)巧妙而有缺陷的論點(diǎn)。在《道瓊斯指數(shù)36000點(diǎn)》一書中，James Glassman 和Kevin Hassett認(rèn)為，股票優(yōu)于債券的出色表現(xiàn)意味著股票根本沒(méi)有風(fēng)險(xiǎn)。因此不需要事前風(fēng)險(xiǎn)溢價(jià)。

　　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(diǎn)是正確的，股票投資者應(yīng)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(chǎng)一路飆升到書中標(biāo)題所說(shuō)的36，000點(diǎn)。較低的事前評(píng)價(jià)風(fēng)險(xiǎn)溢價(jià)往往意味著短期內(nèi)較高的回報(bào)。某種程度上作者的觀點(diǎn)被證明是正確的。在1999年購(gòu)買股票的投資者并沒(méi)賺到風(fēng)險(xiǎn)溢價(jià)。但這對(duì)那些推崇這本書的人來(lái)說(shuō)，顯然缺少安慰。因?yàn)?3年后，道指僅為 13，000點(diǎn)左右，遠(yuǎn)不是書中所說(shuō)的36，000點(diǎn)。

　　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(gè)顯而易見(jiàn)的問(wèn)題出現(xiàn)了，盡管在較長(zhǎng)的周期內(nèi)股票的收益可能已經(jīng)超過(guò)了債券，但普通投資者卻越來(lái)越目光短淺。史上曾出現(xiàn)過(guò)多次熊市但投資者們面臨的風(fēng)險(xiǎn)是他們不得不在中間價(jià)位拋售手中的股票。那些每三個(gè)月向他們的客戶匯報(bào)股市行情的基金經(jīng)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(lái)證明是正確的，客戶早就會(huì)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(jì)90年代末的爭(zhēng)論證明了牛市見(jiàn)頂?shù)囊粋€(gè)熟悉模式。當(dāng)股價(jià)大幅上漲時(shí)，時(shí)事評(píng)論員東拼西湊各種理由來(lái)解釋為什么股價(jià)上漲甚至?xí)q得更多。在20世紀(jì)80年代那些質(zhì)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(jì)價(jià)方法并不適合東京股票市場(chǎng)。在世紀(jì)之交許多假設(shè)都認(rèn)為是這樣，因?yàn)橐呀?jīng)兌現(xiàn)的股票風(fēng)險(xiǎn)溢價(jià)在過(guò)去收益很高，在未來(lái)也是如此。但是投資者自己分析認(rèn)為這一情況將會(huì)改變。當(dāng)股票價(jià)值高漲時(shí)，未來(lái)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(fēng)險(xiǎn)溢價(jià)的歷史來(lái)看，股票投資者未來(lái)的收益將會(huì)是什么呢?最近由特許金融分析師學(xué)會(huì)發(fā)表的論文中多次討論到這個(gè)問(wèn)題。論文中收集到的數(shù)據(jù)是基于2001年發(fā)生的相同交易，估計(jì)每年的股票溢價(jià)范圍在0到7個(gè)百分點(diǎn)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(fēng)險(xiǎn)溢價(jià)的范疇。Mssrs Dimson,Marsh和Staunton將股票風(fēng)險(xiǎn)溢價(jià)分成以下幾個(gè)部分:股息收益率加上實(shí)際股息成長(zhǎng)率,加上或減去價(jià)格與股息之比率中的變動(dòng)值,最后再減去實(shí)際無(wú)風(fēng)險(xiǎn)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(shí)際股息增長(zhǎng)率僅為0.8%。加上0.4%的市場(chǎng)重估價(jià)值就構(gòu)成5.4%的實(shí)際股票收益。。除去無(wú)風(fēng)險(xiǎn)利率,與短期政府債券相比,股票風(fēng)險(xiǎn)溢價(jià)為4.4%。和長(zhǎng)期政府債券相比,股票風(fēng)險(xiǎn)溢價(jià)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(bào)。這是作者經(jīng)過(guò)對(duì)許多國(guó)家的研究后證實(shí)的。與在收益率最低的15年內(nèi)投資者在其購(gòu)買股票后的年收益率僅為5.4%相比,投資者在過(guò)去112年中收益率最高的15年內(nèi)持續(xù)購(gòu)買股票后的平均名義年收益率為 13.3%。到本世紀(jì)為止,高股息市場(chǎng)的發(fā)展最為迅猛。