价值投资的理论与实践(英文).ppt

1、Value investing in theory and in practice,Travis Morien Compass Financial Planners Pty Ltd ,In the beginning,What is value investing?,“The most realistic distinction between the investor and the speculator is found in their attitude toward stock-market movements. The speculators primary interest lie

2、s in anticipating and profiting from market fluctuations. The investors primary interest lies in acquiring and holding suitable securities at suitable prices. Market movements are important to him in a practical sense, because they alternately create low price levels at which he would be wise to buy

3、 and high price levels at which he certainly should refrain from buying and probably would be wise to sell.” Ben Graham, The Intelligent Investor.,“Assume that a run-of-the-mill common stock is not particularly well suited to a formal valuation because there are too many uncertainties about its futu

4、re to permit the analyst to estimate its earning power with any degree of confidence. Should analysts reject the valuation technique in such cases and form their opinions about the issue by some other approach? The soundness of a common stock investment, in a single issue or a group of issues, may w

5、ell depend on the ability of the investor or the analyst-advisor to justify the purchase by a process of formal valuation. In plainer language, a common-stock purchase may not be regarded as a proper constituent of a true investment program unless some rational calculation will show that it is worth

6、 at least as much as the price paid for it. Security Analysis, 5th Ed.,Margin of safety,To have a true investment, there must be a true margin of safety. And a true margin of safety is one that can be demonstrated by figures, by persuasive reasoning, and by reference to a body of actual experience.

7、Ben Graham,A portrait of failure: the performance of every US large cap fund with a 15 year history vs the S if everybody else is buying, you ought to be thinking of selling. But that type of thinking is so peculiar to this field that hardly anybody realises how valid it is. They say: I know youre s

8、upposed to look where other people arent looking, but very few actually understand what that means. - John Marks Templeton,“The truth of our corporate venture is quite otherwise than investors think. Extremely few companies have been able to show a high rate of uninterrupted growth for long periods

9、of time. Remarkably few also of the large companies suffer ultimate extinction. For most, this history is one of vicissitudes, of ups and downs, with changes in their relative standing.” - Benjamin Graham, Security Analysis,While some firms have grown at high rates historically, they are relatively

10、rare instances. There is no persistence in long-term earnings growth beyond chance, and low predictability even with a wide variety of predictor variables. Specifically, IBES growth forecasts are overly optimistic and add little predictive power. - Chan, L.K.C., J. Karceski, and J. Lakonishok. “The

11、Level and Persistence of Growth Rates. Journal of Finance, Vol. 58 No. 2 (April 2003): 643-684,Brand-name growth stocks ordinarily command the highest p/e ratios. Rising prices beget attention, and vice versa - but only to a point. Eventually their growth rate can diminish as results revert towards

12、normal. Maybe not in all cases, but often enough to make a long-term bet. Bottom line: I wouldnt want to get caught in a rush for the exit, much less get left behind. Only when big growth stocks fall into the dumper from time to time am I inclined to pick them up - and even then, only in moderation.

13、“ John Neff, John Neff on Investing,Dreman major findings:,Analysts tended to be bad at forecasting with low precision on all time frames in all industries in all market capitalisations. Overall, analysts tend to be too bullish and overestimate future earnings growth. When a stock “surprises” the ma

14、rket with earnings higher or lower than expectations, significant price movements can result. Stocks tend to react differently depending on their price and market expectations.,Growth stock earnings surprises,Dreman found that “growth” stocks tend to have very bullish expectations built into them. (

15、Hence the high prices of course). As a result, when growth companies have earnings surprises, they more commonly surprise on the downside. Interestingly, he found that when growth stocks tended to surprise on the upside, little price action resulted. It seems that investors sometimes can be so bulli

16、sh about a company that even good news doesnt surprise them. When growth stocks surprised on the downside though, the result was often a sharp selloff.,Value stock earnings surprises,Dreman found that “value” stocks tend to have very poor expectations built into them. (Hence the low prices of course

17、). As a result, when value companies have earnings surprises, they more commonly surprise on the upside. Interestingly, he found that when value stocks tended to surprise on the downside, little price action resulted. It seems that investors sometimes can be so bearish about a company that even bad

18、news doesnt surprise them. When growth stocks surprised on the upside though, the result was often a sharp rally.,Net effect of all earnings surprises,Great things are expected from growth stocks so when they deliver great things the market can be hard to impress (more), but if the worst is feared f

19、rom a value stock the result can often be pleasing. The earnings surprises tended to result in value stocks having higher returns and lower risks than growth stocks.,Lakonishok, Josef, Andrei Shleifer, and Robert Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 15

20、411578.,“For momentum investors, who pin their expectations to high growth rates, any slip in quarterly performance can cause grievous results. There is little solace in missing targets by tiny amounts, even though accounting practices leave ample wiggle room. Most companies that are close to earnin

21、gs targets should meet those targets - particularly when the stock price hangs in the balance. In high p/e territory, if lofty growth expectations are missed by an inch, it may mean that a company has really missed by a mile. Whatever the actual amount of the miss, uncertainty alone can mete out tou

22、gh punishment, and creative accounting practices ultimately catch up to offenders.” - John Neff, John Neff on Investing,Value or growth?,“The whole concept of dividing it up into value and growth strikes me as twaddle. Its convenient for a bunch of pension fund consultants to get fees prattling abou

23、t and a way for one advisor to distinguish himself from another. But, to me, all intelligent investing is value investing. Thats a very simple concept. And I dont see how anybody could really argue with it. Buffett says, In our opinion, the two approaches are joined at the hip: Growth is always a co

24、mponent in the calculation of value, constituting a variable whose importance can range from negligible to enormous and whose impact can be negative as well as positive.” Charlie Munger, 2000 Berkshire Hathaway AGM,Two very different forms of value investing,Active (Graham and Dodd) investors look a

25、t stocks as shares in a business, try to understand that business and buy them when they are cheap relative to their intrinsic value, usually using some form of discount cash flow valuation. Passive or quantitative investors simply sort stocks via some measure like price to book ratio and divide them up into “value”, “neutral” and “growth”. This is