Making Sense of Sky-High Stock Prices
Nov 30, 2020
Robert J. Shiller, Laurence Black, Farouk Jivraj
罗伯特・席勒, 劳伦斯・布莱克, 法鲁克・吉弗拉杰
Many have been puzzled that the world's stock markets haven't collapsed in the face of the COVID-19 pandemic and the economic downturn it has wrought. But with interest rates low and likely to stay there, equities will continue to look attractive, particularly when compared to bonds.
许多人一直感到困惑的是，面对 COVID-19 大流行病及其造成的经济衰退，世界股市还没有崩溃。但是，由于利率低并可能保持在该水平，股票将继续具有吸引力，特别是与债券相比。
NEW HAVEN/NEW YORK/LONDON – There has been much puzzlement that the world's stock markets haven't collapsed in the face of the COVID-19 pandemic, and especially in the United States, which has recently been setting record highs for new cases. But maybe it isn't such a puzzle. A measure we call the Excess CAPE Yield (ECY) puts the long-term outlook for the world's stock markets in better perspective.
人们一直感到困惑的是，全球股市在 COVID-19 大流行病面前还没有崩溃，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。
Indisputably, asset markets are substantially driven by psychology and narratives. As the Nobel laureate Daniel Kahneman wrote, “familiarity breeds liking,” and several familiar narratives have emerged in the world's stock markets this year, following the initial COVID-19 shock in the first quarter. For example, there is the V-shaped recovery narrative and the FOMO (fear of missing out) narrative; both might be helping to drive markets to new highs. There is also the work-from-home narrative, which has specifically benefited technology and communication stocks.
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 COVID-19 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（错失恐惧），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信息通讯类股票受益。
But are these narratives the only reason why all of us have not considered just pulling our money out of stocks and putting it into safer alternatives such as bonds, or even under the mattress at home?
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？
The cyclically adjusted price-to-earnings (CAPE) ratio, which captures the ratio of the real (inflation-adjusted) share price to the ten-year average of real earnings per share, appears to forecast real long-term stock-market returns well in five influential world regions. When the CAPE ratio is high, long-term returns tend to be low over the next ten years, and vice versa. Since the COVID-19 shock, CAPE ratios have mostly recovered to their pre-pandemic levels.
周期性调整市盈率（CAPE）是实际（通货膨胀调整后）股价与 10 年平均每股实际收益的比值，它似乎能很好地预测全球 5 个有影响力地区的实际长期股市回报。当 CAPE 较高时，未来 10 年的长期回报往往较低，反之亦然。自 COVID-19 爆发以来，CAPE 比率已基本恢复到大流行前的水平。
For example, the US CAPE ratio in November 2020 is 33, exceeding its level prior to the start of the COVID-19 pandemic; in fact, it is now back to the same level as the high of 33 in January 2018. There are only two other periods when the CAPE ratio in the US was above 30: the late 1920s and the early 2000s.
例如，美国 2020 年 11 月的 CAPE 为 33，超过了 COVID-19 大流行病开始前的水平；事实上，现在已经回到了 2018 年 1 月 33 的高点。美国仅有两个 CAPE 高于 30 的时期：20 世纪 20 年代末和 21 世纪初。
China's CAPE ratio is also higher than it was prior to the pandemic. The stock markets in both regions are skewed toward the technology, communication services, and consumer discretionary sectors, all of which have benefited from the major narratives of the COVID-19 pandemic, which may partly explain their higher CAPE ratios relative to other regions.
中国的 CAPE 也高于疫情爆发前。这两个国家的股市都偏重于技术、通讯服务和非必需消费品行业，所有这些行业都受益于 COVID-19 大流行病，这可能在一定程度上解释了它们相对于其他国家较高的 CAPE 比率。
As for Europe and Japan, their CAPE ratios are largely back at their pre-COVID-19 levels, while only the United Kingdom is still well below its pre-pandemic level and longer-term average. Notably, these regions have lower exposure to the technology, communication services, and consumer discretionary sectors.
至于欧洲和日本，它们的 CAPE 在很大程度上回到了 COVID-19 前的水平，只有英国仍远低于大流行前的水平和长期平均水平。值得注意的是，这些地区在技术、通讯服务和非必需消费品领域的风险敞口较小。
Market observers have noted the potential role of low interest rates in pushing up CAPE ratios. In traditional financial theory, interest rates are a key component of valuation models. When interest rates fall, the discount rate used in these models decreases and the price of the equity asset should appreciate, assuming all other model inputs stay constant. So, interest-rate cuts by central banks may be used to justify higher equity prices and CAPE ratios.
市场观察人士注意到了低利率在推高 CAPE 比率方面的潜在作用。在传统金融理论中，利率是估值模型的关键组成部分。当利率下降时，在这些模型中使用的贴现率下降，假设所有其他模型的投入保持不变，权益资产的价格应该上升。因此，央行的降息可能会被用来证明较高的股价和 CAPE 的合理性。
Thus, the level of interest rates is an increasingly important element to consider when valuing equities. To capture these effects and compare investments in stocks versus bonds, we developed the ECY, which considers both equity valuation and interest-rate levels. To calculate the ECY, we simply invert the CAPE ratio to get a yield and then subtract the ten-year real interest rate.
因此，在评估股票价值时，利率水平是一个越来越重要的考虑因素。为了捕捉这些效应并比较股票和债券的投资，我们提出了 ECY，它同时考虑了股票估值和利率水平。为了计算 ECY，我们只需反转 CAPE 得到一个收益率，然后减去 10 年实际利率。
This measure is somewhat like the equity market premium and is a useful way to consider the interplay of long-term valuations and interest rates. A higher measure indicates that equities are more attractive. The ECY in the US, for example, is 4%, derived from a CAPE yield of 3% and then subtracting a ten-year real interest rate of -1.0% (adjusted using the preceding ten years' average inflation rate of 2%).
这一指标有点像股票市场溢价，是考虑长期估值和利率相互作用的有用方法。指数越高，表明股票越有吸引力。例如，美国的 ECY 为 4%，由 3% 的 CAPE 收益率减去 10 年的 - 1.0% 实际利率（根据前 10 年 2% 的平均通胀率进行调整）得出。
We looked back in time for our five world regions – up to 40 years, where the data would allow – and found some striking results. The ECY is close to its highs across all regions and is at all-time highs for both the UK and Japan. The ECY for the UK is almost 10%, and around 6% for Europe and Japan. Our data for China do not go back as far, though China's ECY is somewhat elevated, at about 5%. This indicates that, worldwide, equities are highly attractive relative to bonds right now.
我们回顾了过去的 5 个世界地区 —— 在有数据显示的过去 40 年 —— 发现了一些惊人的结果。在所有地区，ECY 都接近其高点，英国和日本都处于历史高点。英国的 ECY 接近 10%，欧洲和日本约为 6%。我们对中国的数据没有追溯得那么久，尽管中国的 ECY 有所提高，约为 5%。这表明，在全球范围内，目前股票相对于债券极具吸引力。
The only other time ECYs were this high using our global data was in the early 1980s. That period was characterized by depressed equities with cheap valuations, high interest rates, and high inflation. CAPE ratios for the five regions were in the low teens back then, compared with levels in the twenties and thirties now. These conditions are almost the opposite of what we see today: expensive equities and exceptionally low real interest rates.
从我们的全球数据看，ECY 值达到如此高的唯一一次是在 20 世纪 80 年代初。那个时期的特点是股票价格低、利率高、通货膨胀高。这五个地区的 CAPE 在当时只有十几，而现在则是二十和三十。这些情况几乎与我们今天看到的情况相反：股票价格昂贵，实际利率极低。
We cannot know how the COVID-19 pandemic will end, and it may well end soon with the advent of effective vaccines. But a key takeaway of the ECY indicator is that it confirms the relative attractiveness of equities, particularly given a potentially protracted period of low interest rates. It may justify the FOMO narrative and go some way toward explaining the strong investor preference for equities since March.
我们不知道 COVID-19 大流行病将如何结束，而随着有效疫苗的出现，它很可能很快结束。但从 ECY 指标中可以得出的一个关键结论是，它证实了股票的相对吸引力，尤其是在低利率可能持续较长时间的情况下。这或许可以解释 “FOMO” 的说法，并在一定程度上解释了自 3 月份以来投资者对股票的强烈偏好。
Eventually, down the line, bond yields may just rise, and equity valuations may also have to reset alongside yields. But, at this point, despite the risks and the high CAPE ratios, stock-market valuations may not be as absurd as some people think.
最终，债券收益率可能只会上升，股票估值也可能不得不随着收益率的升高而重新调整。但目前，尽管存在风险，CAPE 比率也很高，但股市估值可能并不像一些人想象的那么荒谬。
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