Frankly my dear, that record has gone with the wind
By Tony Jackson 2010-01-12

The 3D film Avatar is apparently doing well at the box office. Its $1.3bn sales to date put it in contention with the record holder Titanic (1997), at $1.8bn, and eclipse Gone With The Wind (1939), which managed $390m.

Or so the publicity tells us. But for anyone with an ounce of numeracy, this is nonsense. Adjusted for US inflation, Titanic’s sales were $2.4bn and Gone With The Wind’s getting on for $6bn. Add another pinch of numeracy and a further thought occurs.

Inflation apart, real incomes rise over time. If a thing cost $10 in 1900, the question is not just what it would cost today, but what it cost then in terms of available resources.

Applying that logic to box office sales, let us adjust for nominal US gross domestic product per head (a proxy for average wages), which I derive from measuringworth.com. By that yardstick, Gone With The Wind’s sales are worth a rather daunting $26bn in today’s money.

As with Hollywood, so with Wall Street. Today’s reader of JK Galbraith’sThe Great Crash 1929 might find the sums involved rather trivial, since the Dow Jones Industrial Average peaked back then at a mere 380. But do the same adjustment for nominal GDP per head, and the level was more than 21,000.

That is thought-provoking. It has become almost conventional wisdom today that the 2000 peak of 11,700 on the Dow was a record level of overvaluation, based on the twin measures of the 10-year rolling inflation-adjusted price-earnings ratio and the “q” ratio of price to book value.

But even adjusted for GDP, that was less than 16,000 in today’s terms. All the same, the 2000 peak was higher in that respect than any in history except 1929. It was higher even than the nominal 14,000-odd which immediately preceded the latest crisis in 2007.

What do these comparisons tell us?

First, distinguish between the two measures. The cyclically adjusted real p/e, developed by the US economist Robert Shiller, works on the basis of reported corporate earnings rather than broad economic activity.

The two are, of course, intimately linked. But corporate profits as a proportion of GDP fluctuate over time, depending on the bargaining power of capital versus labour.

Those fluctuations tend, naturally enough, to be mean-reverting, that is, they vary around a fairly constant average. Hence the calculation by Smithers & Co that the 2000 valuation peak was a record, based on deviation from the long-run mean. Our “real” valuation of stocks, based on GDP, is rather different. It tells us, in effect, what level of available resources the population has been willing to devote to ownership of corporations. The size of the quoted sector, of course, varies over time. But that need not concern us, since we are measuring an index rather than total dollars.

When we look at the reality of economic growth, the picture is one of false projections from past experience. Average growth in the US economy in the 1920s was 4 per cent a year, and in the 1930s half that. As ever, the 1929 market peak was just in time to be too late.

In the 1990s, which led up to the next market peak, US growth was a more subdued 3.3 per cent, a reflection of the fact that the rate had been slowing ever since the 1960s. But the figure for the 2000s looks like being being a close tie with the 1930s for the worst on record.

The best decade for growth, on the other hand, was the 1940s – a clear case, you might think, of a rebound from the depths and an encouraging signal for the 2010s. But when we recall the enormous impetus given to the US economy by the second world war, we might perhaps temper our hopes.

All that said, let us return to our basic premise. It is encouraging that in real terms, the market excesses of the past decade have not matched those of the 1920s. Equally, it no longer seems likely that the world will slip into a 1930s-style depression, though you never know.

But given the glum outlook for developed world profits in the changed conditions of the new decade, it remains less than comforting that the market should be as high as it is. Let us recall that in the other great bear market of the past century, in the mid-1970s, the peak in today’s adjusted terms was only about 7,700.

Look on the bright side. We were never daft enough, it seems, to pay the kind of prices for stocks our great-grandparents did. And if truth be told, I was never that keen on Gone With The Wind either.

分析:从《阿凡达》到美国股市
作者:英国《金融时报》 托尼·杰克逊 2010-01-12

3D影片《阿凡达》(Avatar)显然票房收入不俗。迄今13亿美元的票房收入,令其有望挑战《泰坦尼克号》(Titanic)(1997年)保持的18.4亿美元的历史最高票房记录。在它的面前,《飘》(Gone
With The Wind)(1939年)创下的3.9亿美元票房收入黯然失色。

公开宣传中是这么讲的。但对于任何稍微有点计算能力的人来说,这简直是一派胡言。按照美国的通胀因素进行调整后,《泰坦尼克号》的票房收入为24亿美元,而《飘》接近60亿美元。再加上一点其它的计算,还会有进一步的想法。

抛开通胀因素,实际收入也随着时间而增长。如果一件东西在1900年价值10美元,问题不仅仅是这件东西目前值多少钱,还有从可用资源的角度说,它当时价值几何。

将这种逻辑运用到票房收入上,让我们按照源自measuringworth.com的美国人均名义国内生产总值(GDP)(代替平均薪酬)进行调整。按照这一标准计算,《飘》的票房收入相当于今天的260亿美元—-这个数目高得令人敬畏。

与好莱坞一样,华尔街的情况也是如此。如今阅读加尔布雷思(JK Galbraith)的《1929年大崩盘》(The Great Crash
1929)一书的读者可能发现,相关数据简直是微不足道,因为当时的道琼斯工业平均指数峰值仅为380点。但根据人均名义GDP因素进行调整后,道指对应的点位将超过21000点。

这种情况发人深思。按照通胀调整后的10年滚动的市盈率和市净率(Q比率)这两大标准衡量,2000年时道指的11700点,是创纪录的估值过高水平,这几乎已经成为当今的传统看法。

但即使按GDP因素进行调整后,当时的道指仍不到目前的16000点。尽管如此,按这种方法计算,2000年道指达到的峰值仍高于历史上任何时期(1929年除外)。它甚至高于2007年危机爆发前14000多点的名义水平。

这些比较告诉了我们什么?

首先,要对这两种标准加以区分。美国经济学家罗伯特*希勒(Robert
Shiller)提出的调整后的周期性实际市盈率,是建立在企业发布的收益、而非广泛的经济活动基础上的。

当然,这两种标准关联密切。但作为GDP组成部分的企业利润会随着时间变化而波动—-这取决于劳资之间的谈判力。

不用说,这些波动倾向于向均数回归,即围绕一个相当恒定的均值波动。因此Smithers &
Co计算出,基于对长期均值的背离,2000年道指峰值是一个历史最高记录。而我们基于GDP对股票的”真实”估值则大不相同。实际上它告诉我们的是,人们愿意拿出多少可用资源投资企业的所有权。当然,我们所谈到的行业规模随着时间的推移而变化。但我们不必担心这些,因为我们衡量的是指数,而不是美元总额。

当我们研究经济增长的现实时,会发现一种对过去经历的错误投射。美国经济上世纪20年代的年均增长率是4%,30年代为2%。同样,1929年股市峰值还是出现得太迟了。

在走向下一个市场峰值的上世纪90年代,美国的年均经济增长率更低,为3.3%,这反映出经济增长自上世纪60年代以来一直在放缓。但就历史上最糟糕的情况而言,本世纪头10年的数据看起来与上世纪30年代非常接近。

另一方面,上世纪40年代是经济增长最快的10年—-你可能认为,这是市场触底反弹的一个明显案例,同时对于今后10年来说,也是一个令人鼓舞的信号。但我们一回想起第二次世界大战对美国经济的巨大推动作用,我们或许就会克制自己的期许。

说到这里,还是让我们回到基本前提。令人鼓舞的是,过去10年的实际市场过度程度,还没有达到上世纪20年代的水平。同样,全球似乎不再会陷入上世纪30年代那种衰退—-不过这一点人们永远无从得知。

但在新10年变化了的形势下,发达国家的利润前景暗淡,有鉴于此,对于市场应该保持目前的高位,人们难以感到安心。让我们回想一下,在上世纪70年代中期的另一场大熊市期间,在调整后的基础上,峰值水平只相当于目前的7700点左右。

从乐观的角度想一想:我们似乎从来没有傻到像自己的曾祖辈那样,支付过高的股价。而且说句实话,对于《飘》,我也从来没有那么热心过。

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