mercoledì 13 aprile 2011

Ma il mercato è caro o no? Bianco contro Shiller.

La domanda "ma il mercato è caro o a buon mercato?" è dibattuta senza tregua sui giornali finanziari, blog, ecc. Uno dei metodi di valutazioni più importanti è il cyclically adjusted price-earnings ratio o P/E10,
utilizzato da Robert Shiller ma che affonda le sue radici negli scritti del padre del value investing, Benjamin Graham. Secondo questo metodo di valutazione (discusso in questo post) il mercato azionario U.S.A. non è a buon mercato e i prossimi dieci anni potrebbero rivelarsi non molto migliori della infelice prima decade del nuovo millennio. C'è però una voce autorevole che dissente dalla tesi di Shiller:  secondo il Wall Street Journal

David Bianco, U.S. stock strategist at Bank of America Merrill Lynch, has been on a campaign to revise the good professor's math. Once he tweaks the calculations, he says, stocks look cheap. The issue is more than a tempest in an academic teapot. The stock market has roared back from its March 2009 lows, doubling in value on an intraday basis in less than two years. But the last leg of the rally, which began last summer, largely has been driven by the Federal Reserve, whose policy of buying Treasury bonds to inflate asset values across the economy is set to end in June. Investors want to know whether stock prices are too frothy now, or whether they are reasonable estimations of companies' underlying earnings power.
Which side you take—Mr. Shiller's or Mr. Bianco's—depends partly on whether you are more comfortable with the analysis of an academic who works far from Wall Street and whose job is to test theories, or a Wall Street strategist who is paid to track the market closely and bring in business.

Robert Shiller: il mercato è caro!
David Bianco: no! Anzi è a buon mercato
La metodologia che Shiller utilizza per valutare il mercato  impiega una media decennale dei profitti con l'obiettivo di smussare l'effetto del ciclo economico. Bianco non è d'accordo sul modo di procedere e 
utilizzando la sua metodologia trova l'indice S&P 500 trading currently at about 14.5 times his own calculation of 10-year profits, a much more attractive level than Mr. Shiller's 23 times profits. (...)
Mr. Bianco doesn't dispute the usefulness of a 10-year average, an idea in line with the thinking of the founders of modern stock analysis, Benjamin Graham and David Dodd. He proposes to change Prof. Shiller's numbers in three ways, however, to remove what he thinks are distortions.
First, Mr. Bianco would adjust the way corporate earnings are calculated. Instead of the as-reported profits Mr. Shiller favors, he would use what analysts call operating earnings, which don't count some of the write-offs of the dot-com bust and the financial crisis. That change sharply boosts 10-year average earnings, making price/earnings ratios look less scary.
Second, he would change the historical data to which today's numbers are compared. He prefers to compare today's numbers only to data since 1960 or 1980, a period during which P/E ratios have been higher than in the past, making current levels look less extreme. If long-term data are used, he wouldn't count the decade following 1914, on the grounds that corporate profits were distorted by World War I more than by any other modern event, even the Great Depression. Throwing out that decade also makes past P/E ratios higher, so that today's look better.
Finally, he would adjust earnings figures still higher, based on the fact that companies have been retaining a higher percentage of profits and paying lower dividends for decades. When companies retain and invest more profits, he says, earnings growth is faster and reported earnings don't fully reflect the ability of retained earnings to spur growth. He calls this the Equity Time Value Adjustment, or ETVA.

Secondo il WSJ Jeremy Siegel sostiene la tesi di Bianco mentre Robert Arnott è scettico e in particolare concentra la sua critica sulla relazione inversa tra dividend yield e tasso di crescita dei profitti. Secondo Arnott lower dividends come when companies are worried about the future or may be spending cash hoards on big acquisitions, which can hold down earnings growth, he says.
"It is peculiar that this thesis keeps coming up year after year when it is so demonstrably wrong," Mr. Arnott says.
Like Mr. Shiller, Mr. Arnott also doesn't trust operating earnings and prefers to use those reported according to generally accepted accounting principles. Such numbers tend to show lower earnings results, but are more accurate, he says.
Mr. Arnott says he uses Shiller-style P/E calculations in his work. The figures helped persuade him to boost his U.S. stock exposure in 2009, when the 10-year P/E was low, and then cut his exposure when the P/E moved higher.

Se siete a Pisa questa settimana potete venire a sentire le lezioni che Jean-Philippe Bouchaud terrà alla Scuola Normale a partire da oggi pomeriggio. Qui potete trovare il programma e anche il calendario delle attività passate ma soprattutto future del gruppo di ricerca in finanza quantitativa.

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