耶鲁大学金融市场英文文本FinancialMarketsLecture05Transcript.docx

1、耶鲁大学金融市场英文文本FinancialMarketsLecture05TranscriptFinancial Markets: Lecture 5 Transcript Professor Robert Shiller: I wanted to talk today about insurance, which is another risk management device thats traditionally separate from securities, which we talked about last time, but the underlying principle

2、s are the same. Before I begin, I want to just give some more thoughts about the diversification through securities and that will lead us into insurance. Let me just review the preceding lecture briefly for that purpose. What we did-the core theoretical framework that we had-was the mean variance th

3、eory, which led us to the capital asset pricing model. But the basic thing was that we had to-in order to use the framework-we had to start by producing estimates of the expected returns on each asset, we called those r, and the standard deviation of the return on each asset and the covariance betwe

4、en the returns of each pair of assets. Then, once we did that we could plug that into the formula that I gave you last time and get the standard deviation of the portfolio and the expected return on the portfolio. From then on, if you accept the analysis and the assumptions or the estimates that und

5、erlie it, then we pretty much know how to construct portfolios. The underlying estimates may not accord with your belief or your intuitive sense of common sense. The other thing that I mentioned last time was that there seems to be a really big difference between the expected return on the stock mar

6、ket and the expected return on short-term debt. We found an equity premium-or actually Jeremy Siegels book gave an equity premium of 4% a year. Some people find that hard to believe. How can it be that one asset does 4% a year better than another? Some people say, well if thats the case I want to in

7、vest in nothing more than that one asset. Why should I take something that is underperforming? Jeremy Siegel goes on further to say that since the mid-nineteenth century weve never had a thirty-year period when stocks under performed bonds, so stocks are really-if anyone who has an investment horizo

8、n of thirty years-youd think, why should I ever holds bonds. The numbers that Jeremy Siegel produces seem implausibly high for the stock market. What we call this is the-I want to emphasize it, Ill write this again-the equity premium puzzle. That term was actually coined by economists, Prescott and

9、Mehra; its now in general use. That is, it just seems that stocks so much outperform other investments. For Jeremy Siegel, in the latest edition of his book, the equity premium is 4% a year since 1802. Thats almost-no thats more than 100-thats 206 years. Why would that be and can you believe that? O

10、ne question that comes up is that maybe-this is for the U.S. data-and some people say, well, maybe, why are we looking at the U.S.? Because the U.S. is an arguably very successful country, so we have, potentially, a bias in-its called a selection bias. If you pick as the country you study one of the

11、 most successful countries in the world, that doesnt inform you very well about what it is for a random country or for the U.S. going forward, theres something wrong. The U.S. has been successful in financial markets and its being imitated by lots of countries. Financial markets similar to ours are

12、being set up in many places. You wonder, you know, maybe theyre over imitating; maybe we were just lucky or maybe it was because the U.S. was the first, in some ways, to develop some of these financial institutions-or one of the first. But now, when more and more countries start doing it, maybe it w

13、ont work so well. One way of investigating this is-to get around the selection bias-is to try to look at all countries. Lets not just look at the United States; lets look at every country of the world and lets see if they have an equity premium. Theres a problem with that and the problem is that cou

14、ntries that are less successful dont keep data-thats a problem. Or they-sometimes they just shut down their stock markets at some point. This is since 1802-now how many countries do you think have uninterrupted stock market data since 1802? What do you think? Name another country that probably has i

15、t. Whats that? England, UK? If you go onto the continent, though, they tended to be interrupted by World War I and World War II. What about Japan, do they have-do you think they have uninterrupted? They had a little bit of a problem around World War II and you can try to bridge the gap, but-anyway,

16、there are people who have tried to sort this out. Theres one, its a book by Dimson, Marsh, & Staunton that-called Triumph of the Optimists-that Jeremy Siegel quotes. He has a table in the new, fourth edition of his book. Dimson, Marsh and Staunton look at the following countries: Belgium, Italy, Ger

17、many, France, Spain, Japan, Switzerland, Ireland, Denmark, Netherlands, UK, Canada, U.S., South Africa, Australia, and Sweden. Every one of them has a positive equity premium; although the U.S. is on the high side of them all, its not the best. The country that has the highest equity premium-and tha

18、ts for the whole twentieth century, they couldnt go back to 1802-the most successful country is Sweden and after that Australia. U.S. is not the most successful stock market although its high on the list. Jeremy Siegel concludes that theres-that the equity-he said that these-that this book by Dimson

19、, Marsh and Staunton puts to bed any concerns about selection bias and he claims that so many countries have shown an equity premium that we can be confident. His book is really very strong on the conclusions. The title of the book, Stocks for the Long Run-stocks always outperform other investments

20、for the long run and he says its not due to selection bias. You know, I kind of wonder, the list of countries that I just read to you, that Dimson, Marsh and Staunton studied, excludes some important countries, doesnt it? Who does it exclude? Well, it doesnt have India, Russia, and China in it, for

21、example. At least Russia and China-do you know anything about their history? They have any stock market disruptions in the last one hundred years? Thats kind of obvious. They had a communist revolution in both places, right? Russia and China are not mentioned by-or not studied by Dimson, Marsh and S

22、taunton. Why not? Well, they cant get data, there wasnt a stock market. Well there actually was a stock market in Russia before 1918 and in China before 1949, so what happened to investors? If you were a Chinese investor in Chinese stocks in 1949, what happened? We know what happened. It went-thats

23、that famous minus 100% return, right, which dominates everything. I think-what would Siegel say? Hes really saying that this equity premium is enduring and we should believe it. I dont know, I think that-I think what Jeremy would say is, well youre looking-if you look at Russia and China, youre look

24、ing at political factors and Im only looking at politically stable countries, so this whole thing is irrelevant. Really, were not going to have a communist revolution in any of these advanced countries now. So Jeremy would say, forget that, it looks pretty sound that we have an equity premium so we

25、can trust that. Well, hes a good friend of mine, but I think he may be overstating it a little bit; we have some disagreements. The thing that comes to my mind is that-I want to say before concluding this review of the last lecture-that is that the stock market is inherently political in any country

26、. Politics have tremendous effects on the values in the stock market and thats because of-even if the government doesnt nationalize the stock market or confiscate assets, they tax them. Do you know we have, in the U.S., a corporate profits tax? Well, its not just in the U.S., essentially every-I don

27、t know if theres any exception. There may not be an exception, but essentially every country has a corporate profits tax and then we also have a personal income tax. The corporate profits tax goes after the profits that corporations make. The personal-its taken from corporations before they pay out

28、their dividends. The personal income tax is levied on individuals and these individuals have to pay it. The personal income tax is not simple; its not just a flat rate on your income, it depends on the type of income. Dividend income or capital gains income in the stock market is taxed differently.

29、The interesting thing is that through time, as political winds change, these taxes have changed and theyve gone up to some very high levels in the past in the United States and other countries. Im going to give some U.S. tax rates. The personal tax on dividends-of course it depends also on your tax

30、bracket and your income; Im going to talk about the highest tax bracket. In the U.S., it went over 90% in World War II and the succeeding years. The government was taking 90% of your dividend income. What is it today? Does anyone know? Whats the tax rate of dividends today? It might be zero for some

31、 people, but its actually-it is-the standard rate for people who have not negligible income is 15%. Its gone down from over 90% to 15%. Why did it do that? Well, its some kind of political change and the corporateincidentally, at the beginning of the twentieth century you were right. Who said zero?

32、We didnt even have income tax until 1913 when the Supreme Court allowed it, so it was zero, then it went up to 90%-or actually it was 94% at the peak-and it came down to 15%. Thats a pretty big hit on the stock market. So, it wasnt just China that took the stock market. When we were taking 90% of dividends that was 90% of the stock market being taken by the government; but thats not all because we were also taxing the corporations. In the early post-war period, the corporate-now Im going to talk-theres a distinction between the rate that they charge and the a