Saturday, November 1, 2014
11

畏惧带来的经济代价

伯克利——标准普尔指数S&P股票指数今日得到了百分之七(通货膨胀调整后)实质性的回报。相比之下,美国五年通货膨胀保值国债(简称为TIPS)的实质性年利率为负1.03%。的确,在百分比之前有个“负号”,若你购买了五年制通胀保值国债,每一年美国财政部会以上一年消费者通胀率减去1.02%的利率给你支付利息。甚至30年TIPS的实质性年利率只是0.63%,它的价值会在下一年度有某种程度的减少而让你承受颇大的风险,暗示着若你在股票成熟前将其抛售将会面临巨大损失。

因此,假设你投资给S&P一万美元。这一年,那些涉及的公司给你的投资带来700美元利润。现在,想象一下在这总共的700美元当中,有250美元是由这些公司以股息(你用它来购入更多股票再作投资)的形式来支付,而剩下的450美元则由它们保留作为对它们企业的再投资。如果公司的经营者开展工作让公司继续运营,那么这一笔再投资就会让你所持股票的价值攀升到10450美元,在加上新购买的250美元股票,下一年度你的股票投资组合总值会是10700美元——若股市股价增高,总值随之增加,反之,总值减少。

事实上,在过去,积极因素与消极因素这两股浪潮经历了足够长的时间才相互抵消,度过了任何一个这样的时期,S&P指数的平均收入输出便会持续对投资组合的回报起着良好的引导作用。所以,如果你在下一个五年对S&P投资一万美元,你就有充分的理由期待着(冒着稍微正面的与反面的巨大风险)每一年得到约为7%的利润,这利润是经过通胀调整后4190美元的累积利润。若你把这一万美元投资给TIPS,你就铁定将会面临五年后510美元的损失。

你可以合理的预算处这两种投资的回报所存在的巨大差异。问题油然而生:为何人们不把钱从TIPS(还有美国国库债券和其他安全性资产)中转投给股市(以及其他相对有风险的资产)?

人们的原因各有不同。许多人的想法并不十分统一,但普遍存在着两张主要的解释。

第一,大多数人并不确定现实的状况会否持续下去。大多数经济学家预言一年后的世界经济与如今的状况相差不大,前后两年的事业率和利润几乎相同,平均的工资与物价水平大约上升1.5个百分点,总生产量增加两个百分点,喜忧参半。然而许多投资者认为像2008与2009这样重大的机会,不论它是由充分发张后的欧元危机所引发的还是由我们未能发现的潜在“黑天鹅”所带来的,都会重来,而且人们担心,政府并不会像它们在2008年和2009年的时候那样做,而是缺乏权利和意志去减缓经济的消极影响。

这些投资者没有把7%的年收益率看做普通的期望,这期望中附带的负面风险会被正面基于所抵消。确切地说,他们认为只有有勇无谋的人才会相信这种预设的完美结果。

第二,不少人把这7%的股票回报看得理所当然,加上有带来意外收入的机会,他们还会急切地抓住机会去取得报偿,但他们不认为自己能抵御负面风险。事实上,世界看起来比五年或者十年前的世界存在更多的风险。现有债务的负担沉重,投资者的主要目标是避损失,而不是求利润。

第三,两种原因都反映出经济机构的的极度失败之处。第一个原因显示出人们不再信任政府可以并将会履行他们从经济大萧条中学习到的职责:去保持消费资金稳定以便抑制伴有持续久,两位数字失业率的经济衰退再次出现。第二个原因反映了金融行业为了服务企业而动用社会承受风险的能力是个十足的失败。

作为个人,我们似乎认为有约一半机会加倍财富并有约一半机会让财富减半的赌博值得一试。——这不是一件容易之事,但也不是根本不可能。功能充分发挥的金融市场会转移承受风险的能力,为了所有人的利益而将其利用,因此那些认为自己没能力度过股市风险的人会通过付一笔合理的费用把风险转移到别人身上。

作为经济学者,我发现这种现状令人沮丧。众所周知,或者我们应该知道,要如何建立可以接受维持个体经济稳定局面任务的政治体系以及如何建立金融机构去动用承受风险能力分散风险。然而,从某种明显的程度上看,我们没有做到。

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  1. CommentedGreg Rushing

    "Both reasons reflect a massive failure of our economic institutions. The first reason betrays a lack of trust that governments can and will do the job that they learned how to do in the Great Depression: keep the flow of spending stable so that big depressions with long-lasting, double-digit unemployment do not recur. The second reveals the financial industry’s failure adequately to mobilize society’s risk-bearing capacity for the service of enterprise."


    Yes. That's the problem. Investors are shunning stocks because they are essentially upset that current government policies aren't closer to FDR's New Deal policies.

  2. CommentedJason Cawley

    Yes we know how to build such institutuons, the technical capacity is not a problem. But those running our institutions do not want to use them for those purposes.

    Our macroeconomic policies are run to ensure re-election and reward supporters, and our financial institutions have in the recent past been run, to too large an extent, to extract payments to their operators from their clients.

    Added to the disfunction of each is the greater disfunction from their interaction after each fails - the political system turns to using the banks as a punching bag for blame, and via defaults into dumping ground for socialized losses.

    Everyone knows that the only thing that has ever made capital cheaper is paying on the nail as contracted, yet entire regions use the public credit simply to extract one time transfers from creditors, with no intention of actually repaying. Then regulators wonder why capital flees, when it doesn't evaporate outright.

    You are right to be frustrated, but wrong to imagine that any of it was ever a problem of knowedge. It is a problem of character and of politics, and a very old one.

    Why do so many major banks trade at half or less of book? Hint, check out the bulleyes on their backs...

  3. CommentedDavid Doney

    Regarding the right return rate to use for the S&P 500, I'd be curious what time period and assumptions he is using.

    From January 1990 (S&P at 339) to May 1 2012 (S&P at 1313) we had about a 6.2% nominal annual return, excluding dividends (this is the monthly CAGR x 12). So assuming dividends and inflation offset, he's in the ballpark but a little high.

    However, if you look at the chart below, the S&P 500 is still below its 2000 level. It approached 1,500 in January 2000, then fell to 815. It made it to 1,526 in July 2007, then fell to 797. It got to 1408 recently,
    then fell back again a bit.

    In other words, its been in a trading range with two nearly 50% declines for the past decade! That is a huge amount of risk!

    What does this suggest? Buy stocks with sustainable 4-6% dividend yields (utilities and oil) and hold them. Not much point in trying for growth.

    http://finance.yahoo.com/echarts?s=%5EGSPC+Interactive#symbol=^gspc;range=19900101,20120530;compare=;indicator=volume;charttype=area;crosshair=on;ohlcvalues=0;logscale=off;source=undefined;

      Portrait of J. Bradford DeLong

      CommentedJ. Bradford DeLong

      Yes, there is a lot of risk involved in investing in stocks. But there is also an even much larger possibility of upside gains...

  4. CommentedRichard Foosion

    BTW, didn't Fight the Fed Model by one Clifford Asness include that "traditional p/e is what matters in forecasting long-term stock returns."

      CommentedClifford Asness

      Your comments about 1-year P/Es were reasonable, even if I disagree. I was probably too harsh in my initial comment, I admit. But DeLong doesn't even say "I'm using a figure on the high bullish side of the current debate", he simply presents his method, a flawed method in my eyes (it's amazing how fast the bulls drop 1-year P/Es when E is depressed), as fact and moves on.

      CommentedRichard Foosion

      That's what I get for reading too quickly. At least you didn't push back on my other comments.

  5. CommentedRichard Foosion

    The earnings yield based on one year earnings is around 7%. Shiller's PE10 might be better methodology (and Brad has used it in the past), but regular p/e isn't crazy.

    What we really want to know is the price of future earnings, so we're left with using some imperfect proxies, such as e/p or dividend yield plus growth, which likely have an error well in excess of the extra 2%

  6. CommentedClifford Asness

    The repeat of the argument at the end was a bad cut and paste. The shot at liberals was just mean. Go figure. But DeLong really can't add.

  7. CommentedClifford Asness

    The S&P 500 yields 7% real? How do you get that? You give an example that is just a tautology - returns are 7% real because you give numbers that sum up to 7% real.

    The Shiller P/E is about 21. Most who've looked at this would put the real E[r] of the S&P 500 at about 5% real accordingly. That is not a dangerous level, but it's low versus history (the Shiller P/E is about 60th percentile expensive (high) since 1960 so the earnings yield is low versus history, a bit worse if you look even further back in time).

    Alternatively dividends yields are about 2.3%. If you add in historic real growth of about 1.5% you get almost (rounding up) 4%. If you'd like to add another 1% for super-optimism (like extra growth or buy backs or something else that's never worked) fine, 5%, again that's optimistic but I'll give it to you.

    These are now fairly standard forecasts among academics who look at the ERP. How on Earth do you get an extra 2% (a huge number!) to get to 7%, and how do you do that w/o explanation?

    Your central point, if stocks vs. bonds is your central point, is not wrong, just wildly overdone w/o explanation. While as described above, equities are around historical mean valuation (again, a bit expensive), bonds are indeed very expensive. But looking at the difference between stocks and the 10-year treasury, but NOT using your crazy 7% real for stocks, the differential is indeed pro-stocks, but at about 75th percentile since 1960. That is not an extreme reading and not consistent with the histrionics in your artcile.

    Do better. Explain more.

    http://www.project-syndicate.org/commentary/the-economic-costs-of-fear

    Now, for stocks vs. bonds he's at least directionally right, but w/o giving numbers, he's way off in his rhetoric. Comparing the E[r] through the Shiller E/P to the agreed very low real yield on bonds the difference is in the 75th percentile back to 1960. High, but hardly worth a histrionic article.

    Just thought I'd wax quantitative for a moment.

    LIBERALS CAN'T ADD

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