寄生草莓的英文俱樂部

Low bond yields don’t always help equity returns

bond yields (債券收益率)

衡量債券投資收益通常使用的一個指標，是債券收益與其投入本金的比率，通常用年利率表示。債券的投資收益不同於債券利息，債券利息僅指債券票面利率與債券面值的乘積，它只是債券投資收益的一個組成部分。除了債券利息以外，債券的投資收益還包括價差和利息再投資所得的利息收入，其中價差可能為負值。

Return On Equity(股本回报率)

股本回报率是指税后净利润对股本投资额的比值。股本回报率根据其计算公式，由于作为分子的净收入并不能真实反映企业绩效，所以ROE的最终值也并不是决定企业价值或成功与否的一个可靠指标。然而，这一公式仍然出现在许多公司的年报里。

　　然而，公司的股权收益高不代表盈利能力强。部分行业由于不需要太多资产投入，所以通常都有较高ROE，例如咨询公司。有些行业需要投入大量基础建筑才能产生盈利，例如炼油厂。所以，不能单以ROE判定公司的盈利能力。一般而言，资本密集行业的进入门槛较高，竞争较少，相反高ROE但低资产的行业则较易进入，面对较大竞争。所以ROE应用作比较相同行业。

股本回报率的计算公式   　　股本回报率＝净收入／股东股本（shareholder's equity）

MANY a gloomy pundit(評論員), Buttonwood included, has been tut-tutting about equity valuations in America for the past year or two. After all, by historical standards, they are high. Yet there is no shortage of cheerleaders to explain why equities are not such a bad deal after all. A notable one now is Olivier Blanchard, until recently the chief economist of the IMF. He and Joseph Gagnon, a colleague at the Peterson Institute for International Economics, a think-tank, have published a blog post* arguing that American equities are not overvalued, in particular compared with the values seen ten years ago.

許多評論員，包括 Buttonwood 在內，已經對美國過去一兩年的股票評價焦慮不已，畢竟，依照歷史的標準來看，它們的確很高的，也從來不缺少啦啦隊解釋為什麼股市不是一個糟糕的生意。值得注意的像是奧利維爾·布蘭查德，國際貨幣基金組織的首席經濟學家，和約瑟夫·加尼翁，彼得森國際經濟研究所智囊團的同事，都發表了博客文章，說明美國股市沒有被高估，特別是跟十年前的值相比。

Alas, there is reason to quibble(吹毛求疵的反對意見) with the data underpinning(加強) the post. It refers to the cyclically adjusted price-earnings ratio(週期調整市盈率) compiled by Robert Shiller of Yale University, which averages profits over ten years. Mr Shiller has calculated the ratio back to 1881. The average since then is 16.7, so the current ratio, 24, suggests shares are 44% overvalued by historical standards. But the Peterson post compares current valuations with the 60-year average of 20, arguing that accounting and tax changes and the impact of the Depression make earlier numbers a poor guide. This makes equities look only 20% overvalued.

然而我們仍然有理由對他們的數據吹毛求疵，根據耶魯大學的羅伯特·希勒提出的 CAPE 統計超過十年的獲利平均值，他計算了從1881年以來的平均值是16.7，流動比率 24 表示根據歷史標準，股價被高估了 44％。但彼得森將現有價值與 60年平均水平相比則得到 20，他認為會計和稅收的變化和大蕭條的影響，使得早期的數字是個誤導，使得股票看起來只有20％的高估。

CAPE : The cyclically adjusted price-to-earnings ratio, commonly known as CAPE,[1] Shiller P/E, or P/E 10 ratio,[2] is a valuation measure usually applied to the US S&P 500 equity market. It is defined as price divided by the average of ten years of earnings (moving average), adjusted for inflation.[3] As such, it is principally used to assess likely future returns from equities over timescales of 10 to 20 years, with higher than average CAPE values implying lower than average long-term annual average returns. It is not intended as an indicator of impending market crashes, although high CAPE values have been associated with such events.[4]

Then there is the way that the post estimates future returns. One approach is based on dividends(紅利；股息); the authors assume future dividend growth of 2.2%, matching real GDP. But why assume that real dividends keep up with GDP? The London Business School keeps a database on the actual growth rate of dividends over time. Since 1900 American dividends have grown at 1.67%, well below real GDP growth (of around 3% a year). And America is an outlier(離群值): the dividend growth rate for all the countries covered is just 0.57%.

另外就是那兩篇文章對於未來收益的估計方式。一種方法是根據股息來計算。作者假設未來股息的成長率是 2.2％，與實際GDP 相同。但問題是為什麼假定實際股息能夠跟上GDP？倫敦商學院統計股息隨時間的成長率，自1900年以來美國的股息成長率為1.67％ 遠低於實際GDP增長率（一年約 3％）。然而其實美國是一個例外，其他國家的股息增長率僅為0.57％。

Why the shortfall? Economic growth does not arise entirely from quoted companies(上市公司); many fast-growing firms have yet to list. And then there is new share issuance. Research shows that earnings have long been diluted by around 2% a year before existing shareholders get their hands on them. Despite the rise of buy-backs this is still happening, thanks to the use of share awards as incentives for managers. Assume the dilution effect is only three-quarters of what it was (ie, 1.5 points off the assumed GDP growth rate). That still brings future dividend growth down to 0.7%, making equities less alluring(迷人的) than Messrs Blanchard and Gagnon think.

為什麼這麼少？一方面是因為經濟增長並不全部來自上市公司，許多快速成長的企業還沒有上市。另外還有新股的發行，利潤在股東拿到手之前等於已經被稀釋了2％，儘管有回購，然而這種情況仍然存在，這都要感謝的新崛起公司的管理者利用股份做為工作獎勵。假定稀釋作用只占四分之三（也就是比假設的 GDP 成長率少1.5% ），這仍然使未來的股息成長落在0.7％，股市的魅力仍然不如布蘭查德先生和加格農所說的那樣誘人。

The authors also use a valuation approach based on the relationship between the earnings yield (the inverse of the price-earnings ratio) and the real bond yield. Cliff Asness of AQR, a fund-management group, examined this issue in a paper about the “Fed model”, a similar method which bulls used during the internet bubble to argue that equities were cheap. Mr Asness found the model was a poor guide to the subsequent performance of equities. What really matters is the p/e ratio. “Long-term expected real stock returns are low when starting p/es are high and vice versa, regardless of starting nominal interest rates,” he wrote.

作者還使用收益率（的市盈率的倒數）與實際債券收益率之間的關係來評估。 AQR的 Cliff Asness，一個基金管理小組，在一份有關“美聯儲模式”的文件中檢視這個問題，美聯儲模式是在網路股泡沫化時看漲股市的人用來爭辯股票很便宜的常用的說法。 Asness先生認為該模型在預測股票的未來績效上是一個很可憐的指引，最主要的是在本益比。 “不管初始的利率是多少，高本益比的股票的長期預期收益就會比較低。”他寫道。

Worries about growth have prompted central banks to keep rates near zero since 2009. If future growth prospects are poor, then estimates of future profits and dividends need to be revised lower. Equity valuations, in other words, do not have to rise just because rates are low.

對經濟增長的擔憂使得央行從 2009 以來維持接近零的利率，如果未來成長前景不佳，對於未來利潤和分紅的預估就需要下修。換句話說，股票的價值並不會因為利率下降而上升。

Japan provides a good illustration of all this. Its government-bond yields have been low for two decades. Has this made Japanese equities a great investment, as the reasoning of Messrs Blanchard and Gagnon would imply? Not a bit of it. By the mid-1990s, there had been a big shift in the relative valuation of equities and bonds (see left-hand chart). But over the past 20 years, the return on Japanese bonds has easily outstripped(勝過) returns on equities (see right-hand chart). America is not Japan, but its foundering(下沉的) stocks and falling bond yields look eerily(神秘的) familiar.

日本的經驗為這一切提供很好的例子，他的政府債券的收益率已經維持了二十年的低迷，但日本的股市，似乎並沒有如布蘭查德先生和加格農的推理一樣而成長。在90年代中期曾有過在股票和債券（見左側圖）的相對估值一個很大的轉變，但在過去的20年中，日本債券所得的回報，輕鬆超過股票的收益（見右圖）。雖然美國不是日本，但是他下跌的股票和債券收益率卻神秘的相似。