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The Impact of Confidence Indices and Long-Term Valuation Measures on the US Stock Market.

机译：置信指数和长期评估指标对美国股票市场的影响。

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摘要

This dissertation approaches the valuation of the US stock market from two angles. The first study "Survey-Based Confidence Indices and US Stock Market Data" builds on the Investor Behavior Project, a survey-effort that has been initiated by my dissertation director Professor Robert Shiller in the late 1980s and is now administered by the Yale International Center for Finance. For both a sample of wealthy individual investors and a sample of institutional investors, it quantifies respondents' perceptions of the US stock market through four confidence indices. Starting from the raw sample of the underlying survey-responses, the study evaluates the viability of the index methodologies and redefines the indices accordingly. The indices hereby extend from 1994 in the case of the institutional sample and 1999 in the case of the individual sample until the year 2012. I compare the indices not only within and across the two survey samples under consideration, but also embed them within the context of other confidence/sentiment variables. It thereby becomes apparent that the four different indices capture genuinely different facets of market participants' confidence. A binary choice analysis performed not at the index- but at the survey-level underscores this evidence and reveals the variation in determinants of the different confidence indices. Subsequently, the attention of the study turns to the feedback channel between the confidence indices and returns of a variety of market indices, capturing different levels of market capitalization and the distinction between value and growth. Granger-causality tests in conjunction with a correlation analysis reveal the role that past medium-term returns play for two of the confidence indices, but importantly in a contrarian manner. When complementing these tests by a portfolio-sort study as well as by a predictive regression specification, the individual Valuation Confidence Index, measuring the fraction of respondents that perceive stock prices in the United States - relative to true fundamental or sensible investment value - as too low or about right, surfaces as a significant, non-contrarian predictor of the large-cap segment of the US market over a three-month horizon. Finally, the study investigates the relation between the survey-based confidence indices and valuation ratios of market indices. It establishes a sizeably strong relation and even provides insights into the prediction of levels of the ratios from current confidence.;The second study "Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013," which is co-authored with my dissertation director, takes a long-term historic perspective on the valuation of the US stock market and breaks down its valuation into the sectors Industrials, Utilities, and Railroads. For this purpose, we construct a price, dividend, and earnings series for the Industrials sector, the Utilities sector, and the Railroads sector from the beginning of the 1870s until the beginning of the year 2013 from primary sources. To infer about mispricings in the sector markets over more than a century, we investigate the forecasting power of the Cyclically Adjusted Price-Earnings (CAPE) ratio for these sectors. The CAPE ratio, whose basic idea goes back to the 1930s and which has first been formally defined at the end of the 1980s, makes a long-term value assessment by normalizing the current price by a ten-year average of earnings. As part of our analysis, we define a methodological improvement to this ratio to not only make it robust to inflationary changes, but also to changes in corporate payout policy. We then update original evidence about the predictive impact of the CAPE ratio for the overall US stock market and extend this evidence to the three aforementioned sectors individually. In this context, we can clearly attribute the mean-reverting nature of the valuation ratio to movements in the price and reject the notion that earnings fluctuations bring the ratio back to its mean, contrary to the predictions of the Efficient Markets Hypothesis. Whereas this part of our analysis focuses on each sector of the US economy in isolation, we subsequently construct an indicator from the CAPE ratio that enables us to perform valuation comparisons across sectors. In addition to establishing the prediction of subsequent return differences based on differences in the CAPE-based valuation indicator, we also suggest a hypothetical, historical, and simple value investment strategy that rotates between the three sectors based on the valuation signals derived from the CAPE-based indicator, generating slightly more than 1.09% annualized, inflation-adjusted excess total return over the market benchmark during a period of nearly 110 years.
机译：本文从两个角度探讨了美国股票市场的价值。第一项研究“基于调查的信心指数和美国股票市场数据”建立在“投资者行为项目”的基础上，该调查工作由我的论文主任罗伯特·席勒教授在1980年代后期发起，现在由耶鲁国际中心进行管理。财务。对于富裕的个人投资者和机构投资者，它通过四个置信指数来量化受访者对美国股市的看法。从基础调查响应的原始样本开始，该研究评估了指标方法论的可行性，并相应地重新定义了指标。因此，指标从机构样本的1994年开始延伸到个人样本，从1999年一直延伸到2012年。我不仅比较所考虑的两个调查样本之内和之间的指数，而且将它们嵌入到上下文中其他置信度/情感变量。因此，很明显，四种不同的指数反映了市场参与者信心的真正不同方面。二元选择分析不是在索引级别而是在调查级别执行的，着重强调了这一证据，并揭示了不同置信度指标的决定因素的差异。随后，研究的重点转向了信心指数和各种市场指数的回报之间的反馈渠道，捕捉了不同水平的市值以及价值与增长之间的区别。格兰杰因果检验与相关分析相结合，揭示了过去中期收益对两个置信指数的作用，但重要的是以逆势方式。在通过投资组合分类研究和预测回归指标对这些检验进行补充时，也可以使用个人估值信心指数来衡量在美国市场中感知股票价格的受访者所占的比例（相对于真实的基本或明智的投资价值）在三个月的时间范围内，低或大约是对美国市场大盘股的重要非逆向预测指标。最后，本研究调查了基于调查的信心指数与市场指数的估值比率之间的关系。它建立了相当大的牢固关系，甚至提供了根据当前信心对比率水平进行预测的见识。；第二项研究“变化的时代，不断变化的价值：1872-2013年美国股票市场的历史分析”，即与我的论文主任合着，对美国股市的估值具有长期的历史性观点，并将其估值细分为工业，公用事业和铁路。为此，我们从1870年代初到2013年初从主要来源为工业部门，公用事业部门和铁路部门构建了价格，股息和收益系列。为了推断一个多世纪以来该行业市场的定价错误，我们研究了这些行业的周期性调整价格收益（CAPE）比率的预测能力。 CAPE比率的基本概念可以追溯到1930年代，最初是在1980年代末正式定义的，它通过将当前价格标准化为十年平均收益来进行长期价值评估。作为我们分析的一部分，我们定义了对此比率进行方法上的改进，以使其不仅对通胀变化具有鲁棒性，而且对公司支出政策的变化也具有鲁棒性。然后，我们更新有关CAPE比率对整个美国股市的预测影响的原始证据，并将该证据分别扩展到上述三个领域。在这种情况下，我们可以清楚地将估值比率的均值回复性归因于价格变动，并拒绝收益波动使比率回到其均值的观点，这与有效市场假说的预测相反。尽管我们的分析部分仅针对美国经济的各个部门，但随后我们根据CAPE比率构建了一个指标，使我们能够进行跨部门的估值比较。除了根据基于CAPE的估值指标中的差异建立对后续收益差异的预测之外，我们还提出了一种假设的，历史的，简单的价值投资策略，该策略基于CAPE-基于指标的数据，在近110年的时间里，经通胀因素调整后的年化总收益略高于市场基准，略高于1.09％。

著录项

  • 作者

    Bunn, Oliver Detmar.;

  • 作者单位

    Yale University.;

  • 授予单位 Yale University.;
  • 学科 Economics Finance.;Economics General.
  • 学位 Ph.D.
  • 年度 2013
  • 页码 341 p.
  • 总页数 341
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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