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如何理解目前极高的股价

Nov 30, 2020 Robert J. Shiller , Laurence Black, Farouk Jivraj

纽黑文/纽约/伦敦—人们一直感到困惑的是，全球股市在2019冠状病毒病大流行面前还没有崩溃，特别是在美国，最近其新增病例不断创下新高。但也许这并不是一个谜题。我们称之为超额收益指数(ECY)的一项指标，让人们对全球股市的长期前景有了更好的认识。

毋庸置疑，资产市场在很大程度上受到心理和叙事的驱动。正如诺贝尔奖得主丹尼尔·卡尼曼(Daniel Kahneman)所写的，“熟悉会滋生好感”，在第一季度2019冠状病毒病疫情爆发后，今年全球股市出现了几个熟悉的故事。例如，V型复苏和FOMO(害怕错过)，这两种因素都可能推动股市创出新高。还有一种是“居家办公”的说法，这种说法尤其令科技和通讯类股票受益。

但是，这些说法是我们所有人没有考虑把钱从股票中撤出、投入债券等更安全的替代品、甚至把钱藏在家里床垫底下的唯一原因吗?

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Robert J. Shiller

Writing for PS since 2003
130 Commentaries

Robert J. Shiller, a 2013 Nobel laureate in economics, is Professor of Economics at Yale University and the co-creator of the Case-Shiller Index of US house prices. He is the author of Irrational Exuberance, Phishing for Phools: The Economics of Manipulation and Deception (with George Akerlof), and Narrative Economics: How Stories Go Viral and Drive Major Economic Events.

Laurence Black

1 Commentary

Laurence Black is Founder of The Index Standard.

Farouk Jivraj

Writing for PS since 2020
1 Commentary

Farouk Jivraj, Visiting Researcher at Imperial College Business School, is a senior member of the Quantitative Investment Strategies group at Barclays in London.

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0 Comments on this paragraph, 13 Comments on this article

John McDermott Dec 13, 2020

This is embarrassing: “Forget everything I told you before. It was wrong. So sorry about that. Hope you didn’t make any life decisions based on theories I have relentlessly promoted in the media the last few decades. I’m just an economist playing with Excel. You should know better than to take me seriously.”
- Josh Scandlen Dec 15, 2020
  
  could not agree more, John. Same data. different conclusion now??? After all these years??? Weird.
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Elliot Royce Dec 12, 2020

I would feel much more comfortable with Professor Shiller's conclusion if bond yields today reflected the actual market rate of interest. Surely the whole theoretical basis for equity and bond valuations rests on using a market rate of interest, not a financially repressed, government-set rate. As a thought experiment, what would the 10 year US government borrowing rate be if there was no Federal Reserve? IMO, that would be the appropriate rate to use.

Looked at another way, according to Shiller's new theory, when the Fed drives down the 10 year rate by 2 percentage points, it can increase equity values by trillions. This seems to be in complete contradiction to all mainstream academic theories on valuations.
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miles dudley Dec 12, 2020

This method of comparing bonds to stocks is more sophisticated,
but doesn't it really boil down to the 'TINA' idea? It's obvious retirees
and conservative financial institutions like pensions are being forced
into taking too much risk. When you jack up the risk, you should be able to afford
the possible losses, and many today cannot. There's something wrong with that.
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alex Finch Dec 9, 2020

In an interview on 28.02.20 Prof. Shiller claimed that the Market was 40% overvalued and a huge correction was imminent (Handelsblatt). Now the market is up 15%. I believe he predicted for years that housing was overvalued, contributing to the 2008 crash, yet real estate prices all over the world have only increased since before the crash. He belongs in the camp of Dr. Doom Roubini. I used to be an academic but lost all respect decades ago while at university. The academia has a bloated view of it’s own importance and intelligence. This can not bode well for the economy should the Leftwing academia gain influence under Biden/Harris. You need to permanently change sides Prof. Shiller - may I suggest Not the one you have been on. I hate to think how many people have lost money thanks to your scaremongering over the years. Give the Nobel Price to Siegel.
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Mad Sarmatian Dec 7, 2020

Sky High Stock princes in a pandemic, and no mention of the CARES act? What is going on here then?
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Bob Scott Dec 6, 2020

To Dr. Shiller and his co-authors. Three CFA charterholders/analysts struggled with the media representation of this paper (including the Marketwatch headline "Sky-high stock prices make sense, Robert Shiller says....The low level of interest rates indicates that equities may not be overvalued after all") so we have gone through Dr. Shiller's data and we believe we have a better understanding now of ECY and its predictive value and will try to explain it here clearly but it would be great if one of you could confirm we have done this correctly.

For starters, we now believe that what the green line is showing in a graph in a Bloomberg article is the REAL next 10 year excess returns annualized OF THE STOCK MARKET TOTAL RETURN (including dividends) OVER THE TOTAL REAL RETURN OF 10-YEAR BONDS annualized (including interest).

Put another way, the ECY when high indicates that the stock market will outperform the bond market. In our reading of things, it does NOT mean the stock market is absolutely undervalued (as at least Marketwatch's headline on Dr. Shiller's paper stated). It just means you are better off investing in the stock market rather than the bond market, which doesn't seem like a major revelation given that bond yields are close to zero or even negative.

To make sure we understand the graph in the Bloomberg article, we'll give an example. The ECY is around 20% in 1921 so you would expect a significant better return of stocks over bonds in the next 10 years. This was evidently an outlier but to better understand the chart, the dotted green line that appears to be around 1921 (it's actually 1922 from Dr. Shiller's data), says there was a -4.67% excess return from the period 1922-1932) annualized. So the green line, which had thrown all of us off, is forward looking for 10 years and portrays the excess return of stocks over bonds on an annualized basis.

Using Dr. Shiller's data, we reran his data going back to 1881 (thus ten years after his data collection starts in 1871).

We found a few interesting things. If our calculations are correct and we ran this directly from Dr. Shiller's data, the R-squared from the period starting in 1881 to the most recent data is just .2609. That is a correlation of .51. Thus we question this sentence in the Bloomberg article: "This measure has usually done a great job of predicting subsequent returns over the following 10 years." Great? We are wondering what is considered average, good or great (We are asking. We just don't know).

The data looks better if we start with 1950 going forward (that year was chosen arbitrarily because it is the birth year of one of the analyst's mother so it's not scientific but does represent 70 years worth of data). The R-squared is .4874. The correlation (square root of the R-squared) is .698, which we could argue is at least good and maybe even great (we don't know where to draw the line).

Finally, if anyone is interested, we decided to see what the R-squareds look like since 1950 when the ECY is below 5% and above 5%. The R-squared is quite high, .6232, when the ECY is below 5% meaning it good predictive value. Above 5%, the R-squared was .3572.

Our understanding of the current reading, as Mr. Authers also states in the article, is that an ECY of 5% is decent. What it means, though, we believe, is that the stock market will outperform the bond market over the next 10 years. This doesn't seem like a shocking conclusion given where bond yields are.

To Dr. Shiller and his co-authors, are our conclusions accurate? Many thanks
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Kamesh K Dec 4, 2020

Thank you Prof Shiller that is insightful. Are you going all in then? Jokes apart, not sure what the narrative is anymore. FOMO or Fed put. Markets also pricing for another forward narrative, coming soon Treasury put.
ECY looks high because of the low real rates. The issue I have is , the yield is kept low by Fed to help real economy ultimately. Real economy is in tatters that is given. So clearly the Fed response has not worked. The thing that worked was the fiscal response. Economists now talk about how stock markets are not barometers of real economy anymore. Why are the Fed bothered about asset prices anymore or is that the only thing they can pump up? May be Treasury put is coming to rectify that and take the Fed put away(chuckling).
Also underlying economy might be changing , everything tech is distorting the real picture to an extent.
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Stephan Seip Dec 3, 2020

The ECY indicator reminds me of the PEG ratio to justify valuation levels in 2000.
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Michael Public Dec 2, 2020

Sure, fundamentals are looking good. But these fundamentals belie the reality that they reflect the earnings of corporations and not the general population - read bottom 90%. In the good old days of assembly lines and raw materials extraction it was the same thing. In todays world of trillion dollar algorithms and hyper-financialization of everything there is a great decoupling going on - which inevitably leads, one way or another, to implications for corporations earnings.
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alex Finch Dec 1, 2020

Basically you are finally acknowledging what people like Prof. Jeremy Siegel, Warren Buffett and Bill Miller have been saying for some time now. I’m sure the Democrats and socialist’ academia appreciate you bringing out this information AFTER the election.
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