巴菲特给法玛的一记耳光

landlord

理财周报 [微博] 2013-10-21 07:24

2013年的诺贝尔经济学奖是这周最热的话题，尤金·法玛、彼得·汉森和罗伯特·希勒这三位学者因对资产定价领域的相关贡献得奖。

罗伯特·希勒是我很喜欢的对行为金融学有开创性研究的学者，彼得·汉森我不太熟悉。不过，今天我想跟各位聊聊尤金·法玛。

对于尤金·法玛的得奖，许多人介绍时第一句话就是——他发明了“有效市场假说”。而我不得不说，这个假说实在是让人又爱又恨。

如果你看过我前不久的专栏“索罗斯戳穿有效市场肥皂泡”。你就会知道83岁的索罗斯前不久说过这样一句话——有效市场假说已经破产。

其实我还要告诉你更多，据说巴菲特也说过这样一句话——“如果市场总是有效的，我只能沿街乞讨”。

听完本世纪全球投资界最牛的两个实干家的评价，不知你现在对“有效市场假说”作何感想？

更多的理论和细节我就不展开了，有兴趣的读者可以去看我之前的专栏。

当然，法玛先生获诺贝尔奖的原因并不仅于此。事实上，之后他提出的“三因子模型”更是广受华尔街欢迎的法宝。

法玛/弗兰奇三因子模型，简单地说，就是股票的回报率与三个因子有关。

这三个因子一个叫贝塔，一个叫市值，一个叫估值——更简单地说，小盘股和低市净率的价值股会给你带来更好的回报。

所谓贝塔，有点类似于大家所说的“股性”，比如大盘涨1%，这个股票一般要涨1.5%，股民就会说这个股票“股性活”，而学术界则会说这个股票的Beta值是1.5(1.5÷1=1.5)。三因子模型之前的CAPM理论认为一分风险一分收获，一个股票的Beta越大那么预期收益就该越大。

所谓市值，是指上市公司的规模大小。

所谓估值，是指市盈率或其他可衡量的估值指标。

法玛三因子模型横空出世之后，引发了全球投资界的强烈关注。很多人在不同的市场做了很多实证检验。

在美国市场，有研究指出，从1926年7月到2013年8月，小盘价值股是美股中回报最高的板块，年回报14.98%，与之对比小盘成长股年回报仅8.65%。大盘价值股年回报是11.93%，大盘成长股则是9.4%。

在A股市场，华泰联合证券的研究指出，如果以代表中小盘股的中证500指数作为基准，每半年根据市盈率、市净率、市现率、股息率综合考虑选出这500个成分股中估值最低的50个股票长期持有，那么在2007年到2011年之间，每年都跑赢了中证500指数和沪深300指数，可以实现54.1%的年化收益，而后两者的年化收益仅为26.6%和9.8%。

这样看起来，法玛三因子模型的确看上去很美，用上去很行。不过，先别急着鼓掌，我们再来看一个巴菲特的例子。

对冲基金 AQR CAPITAL MANAGEMENT 曾对巴菲特的40多年的股票投资过程做了非常仔细的研究，得出了一个重要的结论——巴菲特之所以能靠股票投资成为首富，是因为他买的股票都是波动率比较低的（Low beta），而且是当稳定的大公司股票打折的时候买进的。但是为了提高收益率，巴菲特通过发行债券和控股保险（放心保）公司等方法使用了低利息的融资（Leverage），研究报告算出来巴菲特使用了大约1.6倍的融资杠杆。

所以他们认为，巴菲特成功的秘诀就是：低贝塔+大盘股打折+适度杠杆。

如果我们把以上巴菲特的三个秘诀称为首富三因子的话，亲爱的读者你有没有发现——首富三因子中低贝塔，大盘股，这两个要素与法玛三因子模型中的两个因子相矛盾。

教科书害死人？实践才是硬道理？这是个有趣的问题，对吗。

chinesebuffet

novice_trader

cw8888

nobo

jamesmith

Buffett: "I'd be a bum on the street with a tin cup if the market was always efficient."

Buffett: "The competitive strengths of a Coke or Gillette are obvious to even the casual observer of business. Yet the beta of their stocks is similar to that of a great many run-of-the-mill companies who possess little or no competitive advantage. Should we conclude from this similarity that the competitive strength of Coke and Gillette gains them nothing when business risk is being measured? Or should we conclude that the risk in owning a piece of a company -- its stock -- is somehow divorced from the long-term risk inherent in its business operations? We believe neither conclusion makes sense and that equating beta with investment risk makes no sense. "

The whole theory doesn't make much sense to value investors...

ctcld

这是典型的中国式的忽悠。作者是深圳的某位炒家。

法玛和巴菲特都是金融界的水果，但一个是苹果，一个是桔子，一个给市场定位，一个在做市场。

有效市场假说的一个最主要的推论就是，任何战胜市场的企图都是徒劳的，因为股票的价格已经充分反映了所有可能的信息，包括所有公开的公共信息和未公开的私人信息，在股票价格对信息的迅速反应下，不可能存在任何高出正常收益的机会。这也就是所谓的价值性股票决定了市场的综合价值。指数股票的概念也就由此引伸而来。法玛是学者，他是金融经济学的鼻祖，他的随机漫步理论进一步给出了股价是买卖双方的互动，交易确切地反应股票实质

老巴当初靠内部消息起家投机，跑赢大市， 但最终又回归到价值市场上来。

我讨厌的就是国内这些半瓶子醋一会儿巴菲特，一会儿罗杰斯。。

水明善

ctcld 发表于 2013-10-22 12:55 AM
这是典型的中国式的忽悠。作者是深圳的某位炒家。

法玛和巴菲特都是金融界的水果，但一个是苹果，一个是 ...

信息在市场得到了有效的表达，不等同于市场本身是有效的。巴菲特的评语更多关乎市场的效率，和有效市场假说好像关系不大的。

jamesmith

水明善 发表于 2013-10-22 12:09 AM
信息在市场得到了有效的表达，不等同于市场本身是有效的。巴菲特的评语更多关乎市场的效率，和有效市场假 ...

Effiicent Market Hypothesis is a market theory that evolved from a 1960's Ph.D. dissertation by Eugene Farma, the efficient market hypothesis states that at any given time and in a liquid market, security prices fully reflect all available information. This theory contends that since markets are efficient and current prices reflect all information, attempts to outperform the market are essentially a game of chance rather than one of skill.

Buffett wrote an article on this: http://www4.gsb.columbia.edu/nul ... oad&file_id=522

jamesmith

ctcld 发表于 2013-10-21 11:55 PM
这是典型的中国式的忽悠。作者是深圳的某位炒家。

法玛和巴菲特都是金融界的水果，但一个是苹果，一个是 ...

Buffett did insider trading to beat market? where did you get this?

jamesmith

Digged up more Buffett, directly from 2006 annual letter: http://www.berkshirehathaway.com/letters/2006ltr.pdf

Let me end this section by telling you about one of the good guys of Wall Street, my long-time
friend Walter Schloss, who last year turned 90. From 1956 to 2002, Walter managed a remarkably
successful investment partnership, from which he took not a dime unle
ss his investors made money. My
admiration for Walter, it should be noted, is not based on hindsight. A full fifty years ago, Walter was my
sole recommendation to a St. Louis family who wanted an honest and able investment manager.
Walter did not go to business school, or for that matter, college. His office contained one file
cabinet in 1956; the number mushroom
ed to four by 2002. Walter work
ed without a secretary, clerk or
bookkeeper, his only associate being his son, Edwin, a graduate of the North Carolina School of the Arts.
Walter and Edwin never came within a mile of inside in
formation. Indeed, they used “outside” information
only sparingly, generally selecting securities by certa
in simple statistical methods Walter learned while
working for Ben Graham. When Walter and Edwin were asked in 1989 by
Outstanding Investors Digest
,
“How would you summarize your approach?” Edwin replied, “We try to buy stocks cheap.” So much for
Modern Portfolio Theory, technical analysis, macroeconomic thoughts and complex algorithms.
Following a strategy that involved no real risk – defined as permanent loss of capital – Walter
produced results over his 47 partnership years that dramatically surpassed those of the S&P 500. It’s
particularly noteworthy that he built this record by investing in about 1,000 securities, mostly of a
lackluster type. A few big winners
did not account for his success. It’s
safe to say that had millions of
investment managers made trades by a) drawing stock names from a hat; b) purchasing these stocks in
comparable amounts when Walter made a purchase; a
nd then c) selling when Walter sold his pick, the
luckiest
of them would not have come close to equaling his record. There is simply
no
possibility that what
Walter achieved over 47 years was due to chance.
I first publicly discussed Walter’s remarkable record in 1984. At that time “efficient market
theory” (EMT) was the centerpiece of investment instru
ction at most major business schools. This theory,
as then most commonly taught, held that the price of any stock at any moment is not demonstrably
mispriced, which means that no investor can be
expected
to overperform the stock market averages using
only publicly-available information (though some will do so by luck). When I talked about Walter 23 years
ago, his record forcefully contradicted this dogma.
And what did members of the academic community
do when they were exposed to this new and
important evidence? Unfortunately, they reacted in
all-too-human fashion: Ra
ther than opening their
minds, they closed their eyes. To my knowledge
no
business school teaching EMT made any attempt to
study Walter’s performance and what it meant for the school’s cherished theory.
Instead, the faculties of the schools went me
rrily on their way presenting EMT as having the
certainty of scripture. Typically, a finance instructor who had the nerve to question EMT had about as
much chance of major promotion as Galileo had of being named Pope.
Tens of thousands of students were therefore sent out into life believing that on every day the price
of every stock was “right” (or, more accurately, not de
monstrably wrong) and that attempts to evaluate
businesses – that is, stocks – were useless. Walter
meanwhile went on overperforming, his job made easier
by the misguided instructions that had been given to those young minds. After all, if you are in the
shipping business, it’s helpful to have all of your pot
ential competitors be taught that the earth is flat.
Maybe it was a good thing for his investors that Walter didn’t go to college.

amansblab