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Beyond reason理智之外
2008年05月25日 星期日 12:21 P.M.
The strange existence of market anomalies 行情异常的奇异存在 STOCKMARKETS are efficient machines, populated by rational investors seeking to make the best returns that they can. As evidence, look at the difficulty the average fund manager faces in trying to beat the market. 股票市场是有效的机器，充满了欲获得最大回报的理智投资者——看看平常的基金经理欲在市场中胜出所面临的困难就知道了。 But if that is so, how do you explain the dotcom bubble, when companies with no profits and barely any sales had billion-dollar valuations? And what lies behind the continued existence of market anomalies, such as the tendency for smaller companies to outperform? 但事实果真如此，怎样解释网络泡沫？（当时没有利润、几乎没有销售额的公司却有着十亿美元计的市值。）行情异常持续存在的背后是什么？（如有的小公司市值暴涨。） Academics have been discovering these effects for decades. There are seasonal patterns (stocks tend to do well in January and poorly during the summer). There are also valuation discrepancies (growth stocks tend to underperform). Some of these effects may be random. Analyse enough data and a few oddities will show up; plenty of people think some lottery numbers are “lucky” because they occur more often— though it would be odder still if they all turned up the same number of times. Other effects are real, but may be costly to exploit. For small companies, higher returns may be negated by higher costs, reduced liquidity and higher risk (smaller firms are more likely to go bust). 数十年来，学者们一直在观察这些效果。原因有季节性的，如股票在一月倾向于强劲，在夏季倾向于疲软，也有估价上的偏差，增长股常被低估。这些现象中有些是随机的。通过大量数据分析，你会发现一些奇怪的现象。许多人认为某些个别数字会带来“好运”，因为它们更经常表现异常——如果表现异常的一直是这些数字，人们会感到更加奇怪。其它效果也是真实的，考察起来也耗时。对于小公司，高回报可能被高成本、低流动性、高风险所抵消。（小公司更倾向于破产）。 The underperformance of growth stocks is linked to an overenthusiasm for extrapolation. A company increases its profits at 20% a year for five years and investors are tempted to believe it can do so for 15;historically, however, such paragons are about as rare as vegetarian cats. In contrast, the prices of“value” stocks (which have a poorer record but lower ratings) perform better than expected. 成长股市值过低和投资者过分推断紧密相关。一个公司5年内年利润增长率为20％，投资者则倾向于认为其业绩会持续15年；然而，历史证明，此类现象十分罕见。相反，“价值”股（以往表现差，等级也低）的价格比预期好得多。 The latest quirk to be examined is momentum, or the tendency for stocks that did well in the past to do well in the future. Three academics at the London Business School devised portfolios consisting of stocks that had outperformed over a 12-month period. They waited a month to buy them and then rebalanced the portfolio after a further month. In the British market, the “winners” under this methodology outdid the worst performers by more than ten percentage points a year over the past 108 years. 最新的异常情形是关于趋势的——以往表现佳的股票前景也好。伦敦商学院的三位学者设计了包含在过去12个月内表现良好股票的投资组合。选定股票后，他们等了一个月买下；买完一个月后，他们又重新计算组合的市值。在最近108年的英国市场上，每年按此方法的“赢家”比业绩最差的多收益10％。 Some of this excess return will have been eaten up by higher costs; trading costs were substantial until the last 20 years. The momentum effect has also suffered some sharp switchbacks (including an 80% decline in 1975) that may have wiped out those traders who tried to follow it. That could be about to happen now, given that the strategy would leave investors heavily exposed to mining stocks. Momentum wannabes should also be warned that the effect works for individual stocks over months, not years. 这种超额回报的一部分被过高的费用抵消掉；直到最近20年前，交易费用一直很高。趋势效果也不是四平八稳的（其中1975年的市值缩水80％），这种不稳定可能使一些坚持此效果作用的投资者改弦易辙。现在，此情形有可能将要发生作用，因为奉行趋势效果策略会使投资者承担矿业股票严重缩水的风险。相信此效果的投资者应意识到，该效果对个股作用常会是数月，而不是数年。 Nevertheless, it is still a puzzle why such a glaring anomaly has not been arbitraged away. Academics have just about abandoned the idea that all investors are rational; there are too many examples of psychological quirks (such as an aversion to recognising losses) for that to be the case. Nor can a bunch of “super-smart” investors necessarily keep prices in line; they may face constraints on their ability to trade or simply run out of money before the anomalies can be corrected. 此种引人注目的异常没有被投机活动抵消，这让人有些困惑。学者们几乎已经放弃了所有投资者都是理智的这一观点；很多情况下，投资者心理活动异常（如拒绝承认损失）。一些“超聪明”的投资者也不一定能使价格合理变化；他们有时会面临自己交易能力有限的约束或仅仅是资金短缺，所以无法力挽狂澜。 Perhaps the most compelling reason why market prices are tough to beat is the “wisdom of crowds”phenomenon. If people are asked to estimate the number of jellybeans in a jar, their average estimate is usually quite close to the truth; indeed the average guess is far better than the vast majority of individual guesses. In other words, as Michael Mauboussin of the fund-management group Legg Mason remarks, the collective is smarter than the average person within the collective. 或许，难以在市场中胜出的最主要原因是由于“人群智慧”这个现象。如果让人们去猜测罐中的软糖数，通常情况下平均数最接近事实；平均数比大部分个体的猜测数目准确得多。也就是说，如Legg Mason基金管理集团迈克尔 毛布森（Michael Mauboussin）所言，集体比集体中的个人聪明得多。 But this wisdom depends on the diversity of the people making the guesses. Mr Mauboussin argues that problems occur when diversity breaks down and “groupthink” starts to take over. Investors no longer guess how many jellybeans are in the jar, but what other people's guesses might turn out to be. 但此种智慧取决于猜测人差别的存在。毛布森（Mausoussin）先生认为，当差别性不发生作用，“集体商议”开始起效时，问题便会发生。投资者不再猜测罐中有多少软糖，而是去猜测其他人的想法。 There's an old test that neatly makes this point. Participants have to choose a number between zero and 100 that will be two-thirds of the average choice of the others taking part. So if you thought the average would be 50, you would go for 33. However, if everyone makes this logical leap, the best guess should be 22 (two-thirds of 33). Extend this process a few times and you can work out that the best choice would be zero. In real life, however, not everyone is so rational and the correct answer is never that low. 以前有个测试很好地说明了这一点。参与者必须从0到100选出一个数，该数为所有参与者所选数平均数的2/3。所以，如果你认为平均数是50，你会选择 33。然而，若所有人都作此推断，最佳答案应为22（33的2/3）。若将此过程持续几次，你会发现最佳答案应是0。实际上，不是每个人都是理智的，正确答案也不是那样低。 In short, it is very hard to quantify the precise irrationality of investors. That is why investors get lured into buying dotcom stocks in the hope that a “greater fool” will purchase them at a higher price. And that is why there will always be market anomalies for academics to discover. 简而言之，准确计算投资者的不理智性是十分困难的。正因为如此，人们会禁不住诱惑去买网络股，希望会有“更大的傻瓜”在更高的价格购买这些股票。也因为如此，市场上总存在异常行情等待学者们去发现。 |
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