耶鲁-Robert Shiller-金融市场-Lect05Diversification and Supporting Financial Institutions课件.ppt

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1、Lecture5:PortfolioDiversificationandSupportingFinancialInstitutionsPortfolioDiversificationAllthatshouldmattertoaninvestoristheperformanceoftheentireportfolio.MeanandvarianceofportfoliomatterLawoflargenumbersmeansthatspreadingovermanyindependentassetsr

2、educesrisk,hasnoeffectonexpectedreturn.Equally-WeightedPortfolioWhenAssetReturnsareIndependent&SameVarianceSamedollarvalueineachassetRebalancingeachperiodPortfolioexpectedreturnequalsaverageofassetexpectedreturnsPortfoliostandarddeviationequalsassetsta

3、ndarddeviationdividedbySquarerootruleInvestmentCompaniesasProvidersofDiversificationInvestmenttrusts(before1940s)Mutualfunds(especiallyindexfunds)ClosedendinvestmentcompaniesUnitinvestmenttrustsAlltheseinstitutionscanenablesmallinvestorstoovercometrans

4、actionscostandlumpinessproblemsinachievingdiversifiedportfoliosDoubtsaboutDiversificationCompletediversificationwouldimplyholdingmuchinfixedincomes,realestate,etc.Buthasn’tstockmarketoutperformedthese?EquityPremiumPuzzleGeometricaveragerealstockmarketr

5、eturn1871-1997:7.0%(SiegelTable1-1).Geometricaveragerealfixed-incomereturn1871-1997:1.7%(SiegelTable1-2)Equitypremium=7.0%-1.7%=5.3%Puzzle:Whyhasequitypremiumbeensohigh?DominanceofStocksoverFixedIncomes?Nothirty-yearperiodsince1831-1861whenthereturnone

6、itherlong-termorshort-termbondsexceededthatonequities.(Siegelp.15)SurveyofInstitutionalInvestors,Shiller,1993“Thereisnothirty-yearperiodsince1860inwhichUSgovernmentbondshaveoutperformedstocks.”Haveyouheardroughlythisclaim(evenifdetails,suchastheuseof30

7、years)aredifferent?1.Yes,often52%2.Yes,onceortwice22%3.No26%ButisEquityPremiumRobust?GeometricaverageUSrealstockmarketreturn1802-1997:7.0%(SiegelTable1-1)Geometricaveragerealfixedincomereturn1802-1870:5.1%(Siegel,Table1-2)Equitypremium=7.0%-5.1%=1.9%Eq

8、uitypremiumwasmuchsmallerthen.InternationalEvidenceMedianrealstockmarketappreciationratefor39countries1926-96:0.8%peryear.RealstockmarketappreciationrateforUS1926-96:4.3%peryear.(PhilippeJorionandWilliamGoetzmann,JournalofFinance54:953-