泡沫还是基本面?Froth or fundamentals?-书迷号 shumihao.comThere may be more sense to recent market movements than you think
最近的市场走势可能比你认为的要合理

EVEN IN NORMAL times, there is an element of drama to the markets. The oil price may spike or slump in reaction to a geopolitical wobble; bond yields may leap on strong jobs figures; and shareholders may pump up a stock that posted juicy profits. But 2020 has taken the drama to an extreme (see chart 1). The equity sell-off in March was unmatched in its swiftness: stocks lost 30% of their value in a month. The yield on ten-year American Treasuries, the most important asset worldwide, fell by half between January and the middle of March and then by half again in a matter of days, before seizing up and yo-yoing. The contract for imminently delivered barrels of American oil briefly went negative. Over the course of 2020 timber prices have fallen by half, doubled, doubled again, fallen by half once more and then doubled again (overall, they have doubled in 2020).
即使在正常时期,市场也存在些许戏剧性。油价可能会因地缘政治动荡而飙升或骤降;强劲的就业数据可能会让债券收益率激增;股东们可能会推高盈利丰厚的股票。但在2020年,这种戏剧性达到了极致(见图表1)。3月时股票抛售速度之快前所未见:股市在一个月内跌去了30%。全世界最重要的资产——十年期美国国债——从1月到3月中旬收益率下跌了一半,之后短短几天内又跌去一半,接着止住跌势,开始上下波动。即将交割的美国原油合约价一度跌至负值。在这一年里,木材价格先是下跌一半,然后翻一番,再翻一番,再跌一半,继而又翻一番(总体上它们在2020年翻了一番)。

If the plunge in asset prices as countries locked down terrified asset managers, then recovery—led by a fierce bull run in tech stocks over the summer—has made them uneasy. It was only in 2018 that a public company, Apple, first became valued at more than $1trn. In net terms, Apple has gained around $750bn this year. Tesla has increased in value six-fold this year, to a market capitalisation of more than $600bn, roughly the value of the other seven most valuable carmakers combined. Even stocks that were unloved earlier in the year, like banks and energy firms, have rebounded of late, on a spate of good news—of an effective vaccine, and of a clear victory for Joe Biden in America’s presidential elections. When Airbnb, a platform for booking overnight stays, made its public debut on December 10th—after a year in which no-one travelled anywhere—its share price leapt by 115%. On December 5th the value of global stocks crossed $100trn for the first time.
如果说各国封锁引发的资产价格暴跌已把资产经理们吓得不轻,那么今年夏天由科技股强劲的牛市行情引领的股市复苏又让他们感到不安。直到2018年才有一家上市公司(苹果)的市值首次超过1万亿美元。按净值计算,苹果今年上涨了约7500亿美元。特斯拉的市值今年增长了五倍,突破6000亿美元,大致相当于另外七家市值最高的汽车制造商的总和。即使是像银行和能源公司这样在今年早些时候不受待见的股票近来也在一连串好消息(包括一种有效疫苗问世、拜登在美国总统选举中完胜等)的刺激下反弹。在经历了几乎无人出门旅行的一年后,短租预订平台爱彼迎在12月10日上市,当日股价便飙升115%。12月5日,全球股票总市值首次突破100万亿美元。

Financial markets reflect investors’ expectations about the future, so it is hardly surprising that they have been chaotic in 2020. But the rebound in risky assets amid fragile economic conditions prompts the question of whether bubbles have formed in certain assets, or whether the ups and downs can be explained by rapidly shifting fundamental factors.
金融市场反映的是投资者对未来的预期,因此2020年市场如此混乱也就不足为奇了。但在脆弱的经济环境下风险资产的价格却反弹了,这就引发了一个问题:某些资产是否已经出现了泡沫,还是说这些波动可以用快速变化的基本面因素来解释?

Consider first the evidence for froth. Even as profits slumped, investors in the S&P 500 benchmark index earned 14.3% (excluding dividends) in 2020, about double the typical return over the past 20 years. The gains have pumped up measures of stockmarket valuations. One such gauge is the cyclically adjusted price-to-earnings, or “CAPE”, ratio, devised by Robert Shiller, a Nobel-prizewinning economist. This looks at inflation-adjusted share prices relative to the ten-year average of real earnings per share. When the ratio is high, stocks are dear relative to their earnings; such periods have tended to be followed by low long-term returns over the next decade. In America the ratio in November 2020 was 33, above its level earlier in the year (see chart 2). Only twice before has the ratio exceeded 30 in America—the late 1920s and the early 2000s.
先来看关于泡沫的证据。一边是利润大幅下滑,一边却是标普500基准指数的投资者在2020年获得了14.3%的回报率(不包括股息),约为过去20年一般回报率的两倍。这样的收益推高了股市的估值标准。其一是获得诺贝尔奖的经济学家罗伯特·席勒(Robert Shiller)提出的周期调整市盈率,即CAPE。它考察的是经通胀调整的股价与每股10年平均实际收益的比率。当CAPE高企时,股价相对于收益来说过高;这种情况出现后,接下来往往会有10年的长期回报率走低。2020年11月美国股市的CAPE为33,高于今年早些时候的水平(见图表2)。美国历史上CAPE超过30的情况只有两次,分别发生在上世纪20年代末和本世纪初。

The big tech firms, many of which were expected to benefit from online shopping and home working, have played a disproportionate role in the broader rally. They account for two-thirds of the total returns from holding the S&P 500. At the start of 2020 Alphabet, Amazon, Apple, Facebook and Microsoft were worth around $5trn and made up 17.5% of the value of the index. The five are now worth more than $7trn, and their share has risen to 22% (see chart 3).
大型科技公司——其中很多被认为会从网购和居家办公中受益——在更广泛的止跌回升中发挥了异乎寻常的作用。它们贡献了标普500指数总回报的三分之二。2020年初,Alphabet、亚马逊、苹果、Facebook以及微软的总市值约为5万亿美元,占标普500指数总市值的17.5%。目前,这五大公司的市值超过7万亿美元,占比已升至22%(见图表3)。

Further evidence of froth is the frenzy around initial public offerings of firms such as Airbnb, and the revival in retail trading. Retail investors accounted for 20% of the volume of stock trading, up from 15% in 2019. In the summer small buyers of call options—bets on share prices rising—were responsible for more derivatives trading than large ones.
存在泡沫的更多证据是对爱彼迎等公司上市的狂热,以及散户交易的复苏。散户投资者的股票交易量占比从2019年的15%上升到20%。今年夏天,押注股价上涨的看涨期权的小买家进行的金融衍生品交易超过了大买家。

The circumstantial evidence, then, looks bubbly. But a cross-examination of fundamental factors suggests that these can explain more than a fair chunk of what is going on. Cyclical assets, like stocks in restaurants and retailers, or commodities, like oil and copper, tend to rally as business booms. These fell quickly in value in February and March, followed by slow recoveries as the world reopened. But since November 9th, when news of an effective vaccine broke, they have surged. Container-freight rates have risen to all-time highs. Brent crude oil rose above $50 a barrel for the first time since March on December 10th.
由此,从间接证据看存在泡沫。但对基本面要素的交叉验证表明,它们可以解释眼下的大部分情况。周期性资产,比如餐饮和零售股票或石油和铜等大宗商品,往往随商业繁荣而价格上涨。它们在二三月间迅速下跌,之后随着世界重新开放而缓慢回升。但自11月9日传出一种有效疫苗即将推出的消息后,它们开始飞涨。集装箱运价已升至历史新高。12月10日,布伦特原油自3月以来首次突破每桶50美元。

Moreover, the move in interest rates appears to more than explain the behaviour of equity prices. In isolation, the CAPE ratio ignores the impact of discount rates on valuations. The value of a firm, to its shareholders, is the present value of a firm’s future profits—meaning share prices tend to be sensitive to changing expectations of future profits, but also to the discount rate used to calculate what those are worth today. There have been enormous changes in this discount rate for stocks. At the start of 2020 the yield on ten-year Treasuries was 1.8%; by the middle of March it was just 0.6%. Since the vaccine news yields have risen once more, to around 0.9%.
此外,利率的变动似乎与股价走势高度相关。孤立地看,CAPE没有考虑折现率对股价的影响。对股东来说,公司的价值就是它未来收益的现值——这意味着股价往往不仅对未来收益的预期变化很敏感,还对用来计算未来收益现值的折现率很敏感。股票的折现率发生了巨大变化。2020年初,十年期美国国债收益率为1.8%,到3月中旬仅为0.6%。自从疫苗的消息传出后,它又上涨到0.9%左右。

To account for this, on November 30th Mr Shiller published “excess CAPE yield” numbers, which are calculated by inverting the CAPE ratio, to give an indication of the expected yield on equities, and then subtracting the expected real returns on holding bonds (which, thanks to low rates and modest inflation expectations over the next decade, are negative). The excess yield is actually higher than in January (see chart 4). In other words, equities have become more attractive than bonds—at first probably because bond yields fell so quickly, boosting the relative appeal of stocks, but lately thanks to the vaccine heralding the return of growth and profits, which a modest increase in yields has not offset.
为了解释这一点,席勒在11月30日提出了“超额CAPE收益率”,这个指标是用CAPE的倒数(体现股票的预期收益率)减去持有债券的预计实际收益率(由于低利率和对未来10年较低的通胀预期,这一收益率为负数)。目前超额CAPE收益率实际上高于今年1月的水平(见图表4)。换句话说,股票已经变得比债券更有吸引力。究其原因,一开始可能是因为债券收益率下跌得太快,加大了股票的相对吸引力;但最近是因为疫苗的推出预示着经济增长和利润的恢复,债券收益率的小幅上涨并不能抵消这一影响。

The rise in share prices alone, then, is probably not enough to indicate a mania, given the shift in discount rates. This may not dispel investors’ disquiet, in part because they are surrounded by evidence of exuberance. But the case for a bubble, at the very least, is not open and shut. ■
因此,考虑到折现率的变化,单单股价的上涨可能不足以表明这是一股狂热。这也许无法消除投资者的忧虑,一定程度上是因为他们周围不乏证据显示出现了过度繁荣。但要说存在泡沫,支撑这一看法的理据最起码不是一目了然的。