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1、编号：时间：2021年x月x日书山有路勤为径，学海无涯苦作舟页码：第17页 共17页失去的十年-20世纪90年代日本经济反思之一（技术分析篇）（摩根斯坦利全球经济论坛,Robert Alan Feldman，中经网编译）摘要日本在过去13年间的经历是至关重要的，无论分析日本金融市场的走势，还是其他国家的市场走势，都能从中吸取有益的教训。无论怎样分析，人们都必须承认，任何成功的全球性投资方案都不应回避日本的资产。事实上，日本问题专家不仅不会受到冷落，甚至会面临供不应求的局面。他们将像过去一样，为世界其他地区的投资者解释日本经济的特点。目前，从某些方面来看，在日投资的业绩正在与其他国家趋同，但人们
2、仍然需要了解日本的特点。不仅如此，我们还必须了解其他国家经济的缺陷，从而有效地借鉴日本经济的教训。本文首先介绍了研究日本经济问题的四象限分析框架，即把分析角度分为技术分析、计量模型、新闻报导和经济理论四个象限，而后从这四个角度进行了分析。（世经评论北京）本文为90年代日本经济反思四部曲的第一篇。本系列包括四篇文章，从四个角度探讨了90年代到21世纪最初几年间日本经济的教训。近来，越来越多的国际投资者纷纷表示，日本经济已经无关紧要了。这种观点何其时髦，又何其错误。依我看，日本在过去13年间的经历是至关重要的，无论分析日本金融市场的走势，还是其他国家的市场走势，都能从中吸取有益的教训。无论怎样分析
3、，人们都必须承认，任何成功的全球性投资方案都不应回避日本的资产。事实上，日本问题专家不仅不会受到冷落，甚至会面临供不应求的局面。他们将像过去一样，为世界其他地区的投资者解释日本经济的特点。目前，从某些方面来看，在日投资的业绩正在与其他国家趋同，但人们仍然需要了解日本的特点。不仅如此，我们还必须了解其他国家经济的缺陷，从而有效地借鉴日本经济的教训。如何分析日本经济的教训2001年，摩根斯坦利在一份报告中提出了一个两坐标轴、四象限的分析框架用以进行投资分析。横轴的两个方向分别表示事件和数据。纵轴的两个方向则表示事实（信息本身）和模型（事实之间的关系）。两轴相交自然形成了四个象限。令横轴为数据-事件
4、轴，负方向表示分析重点为数据，正方向表示分析重点为事件。令纵轴为事实-模型轴，正方向强调事实，负方向则强调模型。在这个坐标系中，左上方的象限为数据-事实的统一。此象限的重点为数量分析，寻找数量规律，而无须过分关系这样的规律是否成立，以及是否稳定。左下方的象限为数据和模型的统一，计量模型是这里的主宰者。这里忽略信息（事实）本身，而注重研究信息的不同侧面究竟如何能够协调一致（即模型）。右上方的象限把事件和事实结合起来，自然，这是新闻报导的世界。如果搜集整理事实的难度很大，而是事实之间的关系较为复杂、或难于量化，那么新闻报导就是最有效的手段。最后，右下方的象限是事件与模型的结合，这里是经济理论的天地
5、，我们在这里运用简单的框架来分析事实的关系，令种种复杂的因素各就其位。技术分析象限的教训首先我们来讨论技术分析象限的教训。本文的其他部分将讨论其他象限的问题。正如我们过去指出的那样，技术分析象限的第一个教训是，虽然日本经历了十几年之久的长期熊市，但不同部门和企业的股价走势存在很大差异。1990-2002年期间，东证指数下跌了70.7%，但其中一些行业的成分股几乎没有下跌，而另一些的跌幅也很有限。就个股而言，在这13年期间，单支股票的价格最多上涨了528%，涨幅居第二十位的股票价格也上涨了80%。最近三年的情况同样如此，东证指数下跌了51%，但其中四个行业的股价实际上上升了，另有三个行业的跌幅不
6、到10%。如果说有什么不同的话，那就是，三年来，不同行业的股价之间的分化更加明显了。个股最大涨幅为598%，第二十位则为127%。技术分析领域的第二个教训是，日本股市的下滑之路并非一降到底。十三年中，确实存在一些股市整体上扬的时期。具体来说，如果一名投资者准确地判断了股市的涨跌走势，那么从1990年1月到2002年12月，他的投资收益累计将达到300%，也就是年度回报率可达10.7%。当然，没有人能够长期对股价走势做出准确的判断，但这并不能否定，日本股市确实有一些强劲增长的时期。更何况，一些转折点出现前有明显的动因，准确判断决非难事。举例来说，1992年8月，当时的首相宫泽喜一改变了政策取向，
7、决定采取财政扩张政策，这无疑是一个重大利好。1998年10月，金融改革法案的通过同样如此。我们认为，虽然技术分析是对过去的数量分析，但投资者不应忽视从中得出的教训。下文中，我们将讨论得自其他三个象限的教训。原文：Japan: Very Relevant - Lessons from the 1990s (Part I) This is the first of a four-part series that discusses the lessons from Japan over the last decade. Subsequent parts will appear in the Glo
8、bal Economic Forum this week.It has become fashionable among some international investors to declare Japan sterile and irrelevant. How chic. How wrong. I view Japans experiences of the last 13 years as highly relevant to analysis of what is still the largest financial market in Asia as well as analy
9、sis of other countries. Regardless of ones style of thought, the overall conclusion is that Japanese assets will continue to be an essential part of any successful global portfolio. Indeed, far from slipping into oblivion, Japan specialists will be in even greater demand. As always, they will need t
10、o interpret the specifics of the Japanese context for the rest of the world (even as Japanese investment performance converges in some respects with that of other countries). In addition, they will also have to acquire expertise in the warts and blemishes of other countries, in order to adapt what w
11、e have learned from Japan to other contexts. Thinking About Thinking About the LessonsIn November 2001, a Morgan Stanley report (Thinking About Thinking About Investment, November 6, 2001) outlined different approaches to the analysis of investments in a two-axis, four quadrant framework. The horizo
12、ntal axis differentiates whether emphasis is placed on stories or on numbers. The second axis differentiates between emphasis on facts (information per se) and on models (relationships among facts). This set of axes naturally results in a four-quadrant system. Let the horizontal axis be the Number-S
13、tory (NS) axis. Emphasis on numbers is on the left, and emphasis on stories on the right. Let the vertical axis be the Facts-Models (FM), with emphasis on facts at the top and on models at the bottom. The northwest quadrant is the Numbers-Facts combination. This is the quadrant of quantitative analy
14、sis, which concentrates on finding numerical regularities, without worrying too much about why such regularities might exist, or if they are stable. The southwest quadrant is the Numbers-Models combination, where econometric models dominate. The quantity of information (facts) is reduced in favor of
15、 analytic specification of exactly how the different pieces of information fit together (models). The northeast quadrant is the Stories-Facts combination, which is the realm of journalism. Journalism is most applicable where gathering facts is difficult, and where the relationships among them are co
16、mplex or inherently non-quantifiable. Finally, the southeast quadrant is the Stories-Models combination. This is the realm of theory, where complex sets of factors must be fit into simple frameworks or patterns of relationships among facts.Lessons from the Technical QuadrantFirst, let us consider th
17、e lessons from the technical quadrant. Subsequent parts of this essay will consider the other three quadrants.As my colleague Katsuji Moriguchi has pointed out, the first lesson from the technical quadrant is that there is a huge divergence among sectors and stocks, even in a major, long-term bear m
18、arket. Taking the whole period from 1990 to 2002, when TOPIX fell by 70.7%, some sectors barely fell at all, and some suffered only moderate declines. Looking at individual stocks, the best performer rose by 528% over the 13-year period, and even the 20th-best performer was up by 80%. Taking the mos
19、t recent three years, the conclusion is identical. Although TOPIX fell by 51%, four sectors actually rose, and three others fell by less than 10%. If anything, the divergences have been greater in the last three years. The best-performing stock was up by 598%, and the 20th-best by 127%.The second ma
20、jor technical lesson is that the path down was not a one-way street. There were significant periods of positive equity performance for the market as a whole. This may be seen by looking at the potential performance of an investor with perfect timing in calling peaks and troughs (based on monthly dat
21、a). Such an investor would have earned a cumulative 300% over the January 1990-December 2002 period, for an annualized return of about 10.7%. That fact that no one can ever get timing perfectly over a long period does nothing to invalidate the point that there were significant periods of strong perf
22、ormance. Moreover, calling some of the turning points was far from difficult. For example, the August 1992 shift to an expansionary fiscal policy by then-PM Miyazawa was a ringing buy signal. So was the October 1998 passage of the financial reform legislation.Although numerical and backward looking,
23、 the lessons from the technical quadrant cannot be ignored by investors, in our view. This observation is even more true for the other three quadrants, which are the subjects of subsequent parts of this series.失去的十年-20世纪90年代日本经济反思之二（计量模型篇）摘要日本在过去13年间的经历是至关重要的，无论分析日本金融市场的走势，还是其他国家的市场走势，都能从中吸取有益的教训。无论
24、怎样分析，人们都必须承认，任何成功的全球性投资方案都不应回避日本的资产。事实上，日本问题专家不仅不会受到冷落，甚至会面临供不应求的局面。他们将像过去一样，为世界其他地区的投资者解释日本经济的特点。目前，从某些方面来看，在日投资的业绩正在与其他国家趋同，但人们仍然需要了解日本的特点。不仅如此，我们还必须了解其他国家经济的缺陷，从而有效地借鉴日本经济的教训。本文首先介绍了研究日本经济问题的四象限分析框架，即把分析角度分为技术分析、计量模型、新闻报导和经济理论四个象限，而后从这四个角度进行了分析。（世经评论北京）本文是90年代日本经济反思四部曲的第二篇。第一篇首先介绍了研究日本经济问题的四象限分析框
25、架，即把分析角度分为技术分析、计量模型、新闻报导和经济理论四个象限;而后，该篇讨论了技术分析象限的教训。本篇将从数据和理论入手，讨论计量模型象限的教训。本篇将以数量模型为中心，运用各种模型来分析股市走势与经济指标走势以及资产价格走势之间的关系。本系列的后两篇分别讨论新闻、理论二象限的教训。用计量经济模型来分析日本经济“失去的十年”，可以得到一些有益的教训。其中最重要的分析方法包括分析资产负债表、分析不同行业价格变化的差异、研究消费格局的变化、以及拓展投资风格的类型，将其应用于新领域。下面我们依次对这些方法进行讨论。资产负债分析在通货紧缩时代，分析资产负债表是至关重要的。不过，这种分析方法并不仅
26、仅是简单地“良好的财务比率意味着企业的经营状况良好”。举例来说，为什么一些财务状况良好的日本公司会突然倒闭呢？为什么如此之多财务状况糟糕的日本公司反而维持了如此之久呢？其所以出现前一种情况，是因为一些公司采取了违规的会计操作，甚至进行肆无忌惮的欺诈；而后一种情况屡屡出现则说明，如果公司的现金流足以支付利息，那么企业就可以承受较高的财务比率。随着日本经济在通货紧缩中越陷越深，利率下降也就不可避免，这样，财务状况薄弱的公司就更容易生存下来。另一方面，财务状况良好的企业却难于凭借自身的实力加强自己的地位，因为那些弱小的对手可以借助有利的宏观经济政策维持下去。即使低利率不足以维持企业生存，事实上，只要
27、不断借入新资金从而实现正的现金流，企业就可以坚持下去。在日本，主银行体制保证了财务状况不良的企业能够借入资金，因为借款的大企业倒闭将给那些主银行带来无法承受的巨额损失。此外，日本公司还可以通过出售资产来获取现金，甚至运用会计操作，对按照账面价值计算的资产进行重新估价。由此可以得出我们的教训：投资者不能仅仅关注各种财务比率，而应对资产定价方法以及财务比例赖以生成、现金流赖以实现的财务操作进行研究，判断出这些方法是否如实地反映了企业的财务状况。财务操作问题一直是威胁金融业发展的大问题。事实证明，日本金融当局以及各银行使用的不良贷款定义存在很大漏洞。通货紧缩时期，利润率反而有可能上升90年代日本经济
28、最令人吃惊的教训之一是，在通货紧缩时期，公司利润未必会下降，即使经济增长缓慢也是如此。举例来说，自从日本在90年代后期出现持续的通货紧缩以来，非金融行业利润率事实上上升了。即使在90年代末经济反复振荡时期，名义利润一直持续上升。消费格局的变化创造了新的市场机会我们从上一个十年得出的另一个结论是：通货紧缩可以创造新的商机。消费格局的变化为投资者创造了巨大的机遇。20世纪90年代初，日本向亚洲的工业制成品敞开了进口大门，由此，通货紧缩开始降临日本。90年代中期，来自中国的进口成为影响日本消费者市场的重要因素，此后，中国产品大量涌入日本市场。由于日本制造业向海外转移，该国的经济资源必然转向新领域。部
29、分资源未能找到新的活动领域，由此造成了失业率上升。然而，廉价优质进口品的涌入为日本的消费者和企业节省了大量资源，规模之巨大足以用来创建全新的行业。例如，13年来，日本消费者在食品上节省的费用相当于消费开支总额的2个百分点，在服装上节省的费用也相当于消费开支的2个百分点。由此节省的巨额资金支持了移动电话、电动器具、保健以及房地产业的繁荣。一些公司十年前还不存在，现在已经成为日本市场上叱咤风云的企业巨头，电信业尤其如此。事实上，每个收入层都存在新的商机，而不仅限于高端产品。投资风格：超越价值型与增长型投资正如我们过去指出的，对投资者来说，最后一个教训涉及到投资风格，这恐怕也是最重大的教训。日本陷入
30、通货紧缩之前，大部分投资者认为，成长型投资和价值型投资存在根本性的区别。给定投资者的投资回报目标，那么成长型的投资者会更加注重市盈率，因为高市盈率意味着良好的增长前景。而价值型投资者则不然，他们不愿承担企业成长的风险，因此不会投资于市盈率较高的股票。这种区分投资风格的方法适用于稳定增长的经济体，却不适用于日本这种通货紧缩之中的经济体。要理解过去十几年中日本资产价格的变化，这是非常重要的。简言之，关于经济和股市的计量经济模型不断推陈出新，由此大大加深了投资者对经济和市场的认识。我们的结论不仅适用于日本，也适用于其他国家。在本系列的后两篇中，我们将更深入地认识日本的经济。第三篇将是新闻报导象限的教
31、训，第四篇则对经济理论象限进行分析。原文Japan: Very Relevant - Lessons from the 1990s (Part II) This is the second part of a four-part series on lessons from Japans long bear market. The first part (Global Economic Forum, January 20, 2002) set up the four-quadrant framework for the styles of thought within which the le
32、ssons are derived, i.e., the technical, econometric, journalistic, and theoretical quadrants. It also discussed the lessons from the technical quadrant. This part discusses the lessons from the econometric quadrant, which approaches thought from the viewpoint of numbers and theories. This approach c
33、oncentrates on numerical models, and applies them the relationship of market movements to movements of economic indicators and/or asset valuation. Subsequent parts will discuss the journalistic and theoretical quadrants.There are several econometric model-based lessons about investment performance f
34、rom Japans lost decade. Among the most important are the centrality of balance sheet analysis, the importance of price-change differentials among sectors, the importance of changing consumption patterns, and the extension of style analysis (e.g., growth vs. value) into new territory. Let us deal wit
35、h each of these in turn.The Centrality of Balance Sheet AnalysisBalance sheet analysis is central in an era of deflation. That said, the story is not so simple as good balance sheet ratios mean good companies. Why, for example, did some Japanese companies with apparently good balance sheets fail sud
36、denly? Why have so many Japanese firms with weak balance sheets survived for so long? The former cases concerned poor accounting practices, and in some cases outright fraud. The latter cases showed that high leverage is bearable when cash flow is positive enough to pay interest. As interest rates fa
37、ll, which is inevitable as an economy moves toward deflation, it becomes easier for weak firms to survive. Moreover, it is harder for strong firms to reap the gains of their strength, because their weak competitors continue to receive life support from macro policy.If even low interest rates are not
38、 enough, positive cash flow can be secured by fresh borrowings, which in Japans case often came from main banks because the latter were too weak to absorb the losses from allowing large borrowers to fail. Cash flow can also be secured by selling assets, or even through accounting transactions that r
39、evalue assets initially held at book value. The lesson is that investors must look beyond the ratios themselves, and see whether the valuation techniques and the transactions that generated the balance sheet ratios and cash flows are genuine. The latter has been a continuous problem in evaluation of
40、 the health of the financial sector, where the definitions of non-performing loans used by the authorities and the banks proved wholly inadequate.Profitability Can Rise in DeflationOne of the most surprising lessons from Japan is that corporate profits do not necessarily suffer in an era of deflatio
41、n, even if accompanied by weak growth. For example, the profit margin (recurring profits/sales) for the non-financial sector in Japan has actually improved since the country went into sustained deflation in the late-1990s. Moreover, even nominal profits have been on an uptrend, despite fluctuations,
42、 since the late-1990s.Changed Consumption Patterns Create New OpportunitiesYet another conclusion from the last decade is that deflation creates business opportunities. The shifts of consumption create huge openings for investors. Deflation pressures in Japan began in the early 1990s with the major
43、opening of the economy to manufactured imports from Asia. Imports from China became a major factor at the middle of the 1990s, and have accelerated since. As Japanese manufacturing moved abroad, domestic resources had to be shifted into new activities. Some resources failed to find new activity, and
44、 became unemployed. However, the cost savings to consumers and business from low-cost imports were large enough to generate whole new industries. For example, Japanese consumers have saved 2% points of total consumption in food, and another 2% points in clothing over the last 13 years. These savings
45、 have been used to fuel the boom in mobile phones, electronic gadgets and services, health, and housing. Some firms that did not exist 10 years ago are now among the largest in the country, particularly in the telecommunications sector. Moreover, there can be business opportunities in niches for all
46、 components of the income scale, not just the high end.Investment Styles: Its Not Just Value and Growth Any MoreAs my colleague Naoki Kamiyama has written, the final, and perhaps most important, lesson for investors concerns styles of investment. Prior to Japans fall into deflation, most investors a
47、ccepted the basic distinction between growth investing and value investing. For a given target return on equity, growth-oriented investors would invest in companies with high price-earnings ratios (PER), as a symbol of growth prospects. This required, mathematically, that the firms also have a high
48、ratio of price to book (PBR). (Note that P/B / P/E = E/B = RoE.) For the same targeted return on equity, value-oriented investors did not want to take the growth risk, and thus would not invest in high PER firms. As a result, they were able to invest in firms with low PBRs as well. While useful in a growing economy, this distinction between growth and value is inadequate for a deflation economy. In particular, the old assumption that PBR and PER are necessarily cor