格林斯潘 ALAN GREENSPAN 教導我們行為財務學-預測指標---- JUNK BOND CCC SPREAD

最近我看到一篇文章

http://mag.udn.com/mag/newsstand/storypage.jsp?f_ART_ID=491547

前聯準會主席葛林斯班：我為何沒看出危機將至？

‧天下雜誌 2013/12/25

很可惜, 這個中文翻譯不完整

後來我找到英文原版, 我覺得收穫很多, 想要跟各位分享

http://www.foreignaffairs.com/articles/140161/alan-greenspan/never-saw-it-coming

2008 年的金融風暴, 代表了所有經濟預測系統的失敗

包括 官方 和 私人的 預測系統--

美國聯準會系統,IMF ( International Monetary Fund) 國際貨幣基金會 預測系統,

,JP MORGAN , 經濟學人雜誌. 在出事以前. 都認為全世界的經濟還要再成長, 完全沒有意識到泡沫即將來臨

格林斯班在這一文章中, 深切的檢討, 為什麼所有的經濟學家, 所有的專家, 包括他自己

都沒有辦法看出危機的來臨

他認為歸咎原因, 在於動物精神 “animal spirits” 

人是動物, 碰到危機來臨, 人的反應是馬上動作, 而不是思考

過去格林斯班, 認為人. 這種情緒的反應, 是沒有辦法預測的, 但是經過他自己.這麼多年來的閱讀和思考

格林斯潘推翻了自己的想法, 也推翻了很多經濟學者的想法, 他認為人的不理智行為, 是可以預測的

事實上動物精神, 就是現在新的學派, 行為財務學new discipline of behavioral economics.

我們只要能夠確定這個行為 是重複..不斷的重複... 那麼我們就可以預測

葛林斯潘提出了行為財務學的三個指標

1. 風險厭惡-----JUNK BOND CCC AND BELOW SPREAD

2.時間偏好--- interest rates and savings rates

3. 羊群效應---herd behavior... 可惜我找不到具體的指標. 不過我看到XX網站討論區, 很多人都爭先恐後去美股海外開戶, 看到資金很小的人, 一點也不怕,手續費的成本相當的重. 我覺得這是標準的羊群效應

我也研究了這三個指標. 其中只有第一個非常的明確

行為財務學最重要的一個.風險厭惡..risk aversion

, 當人的情緒十分的亢奮時候, 就不會怕風險, 我們可以用垃圾 JUNK BOND, 信用評等在 CCC 以下的殖利率, 和美國國債殖利率, 的利差... 來作為這個情緒指標

先 DOWNLOAD 聖路易斯儲備銀行網站 CCC SPREAD

http://research.stlouisfed.org/fred2/series/BAMLH0A3HYC

計算 M SD

比較 SP500 指數, 目前還沒有到 M-SD =6(目前 有點接近, 大家要小心點)

2.另外一個是時間偏好 time preference, 如果你有錢, 你是要當場花掉享受消費, OR 你選擇要存起來, 等到未來在消費. 他看的指標就是.

 interest rates and savings rates,

不過我查的結果, 這個指標不是很明確, 這位作者的結論, 大家可以參考參考

http://www.cxoadvisory.com/4345/economic-indicators/personal-savings-rate-and-the-stock-market/

1.A stock market advance (decline) over the past two quarters may have a slight tendency to depress (boost) the personal saving rate  
 2.An increase (decrease) in the personal saving rate may have a slight tendency to boost (depress) the stock market over the next two quarters.

• 

  SP500 VS INTEREST RATE

  
  

SP500 VS SAVING RATE

3.herd behavior---- 羊群效應又叫 從眾效應是指人們經常受到多數人影響，而跟從大眾的思想或行為，常被稱為「羊群效應」。人們會追隨大眾所同意的，自己並不會思考事件的意義。從眾效應是訴諸群眾謬誤的基礎。FROM WIKI

有人做出了 HERD BEHAVIOR INDEX ….不過, 很難理解

http://econ.kuleuven.be/tew/academic/actuawet/Herd%20behavior%20index/HistoricalHIX.htm

在2012年年底, 我在 Xx討論區, 發表香港王教授的的第一篇文章,

王教授ACPE 的方法, 說的是行為財務學

在2013年年底, 我用格林斯潘的文章, 作今年的結尾, 非常湊巧的是, 格林斯潘說的也是行為財務學

他們的想法, 我都是用真金白銀去實驗, 成效還不錯,我覺得很棒, 一定要把這個禮物送給大家

格林斯潘和王教授, 他們都非常優秀, 也都非常的謙虛, 不斷的閱讀思考, 常常挑戰自己的觀點,他們好學 AND 謙恭有禮的精神, 更是我們的榜樣........

格林斯潘年紀 已經87歲了, 還是不斷的在閱讀思考, 大家 讀到的這篇文章.就是格林斯潘的新書的內容,

The Map and the Territory: Risk, Human Nature, and the Future of Forecasting

香港王教授在反轉腦袋投資學那本書當中, 談到了他要感謝他的老師, 這些文字我覺得感受很深, 也要送給大家, 鼓勵大家要不斷的學習, 要謙虛,

因為謙遜的人才有成長的空間

2014 年..新的1年, 艾倫要祝福大家, 新年快樂, 年年如意, 歲歲平安, 心想事成, 吉祥圓滿

我要 感謝, 各位網友的支持, 還有臉書社團的好朋友. 讓我不斷的學習和進步. 我覺得我的三腳貓功夫

將會慢慢進化成 四腳貓. 再一次祝福大家

附錄----什麼叫做 OAS---OPTION ADJUSTED SPREAD 

http://www.riskglossary.com/link/option_adjusted_spread.htm

Option-Adjusted Spread

Explained: option-adjusted spread option-adjusted yield

Fixed income instruments are often described as trading at aspread over some benchmark yield. For example, a 10-year callable corporate bond might have a yield to maturity(YTM) of 6.7%. If the on-the-run 10-year Treasury note's YTM is 5.5%, the bond would be described as trading at a spread of 1.2%, or 120 basis points, over the Treasury. Such spreads can be attributed to a number of factors, including credit quality, liquidity and embedded options.

If a bond has embedded options, its Option-adjusted spread (OAS) is the spread at which it presumably would be trading over a benchmark if it had no embedded optionality. More precisely, it is the instrument's current spread over the benchmark minus that component of the spread that is attributable to the cost of the embedded options:

[1]

or, rearranging:

[2] [3]

OAS can be calculated with respect to various benchmarks: Treasuries, swap rates, a short-term "risk-free" rate, etc. Most often, the benchmark is Treasuries. To avoid dependency on a particular benchmark, option-adjusted yieldmay be quoted instead of OAS:

[4]

Prior to the 1970s, investors made only rudimentary efforts to adjust their analysis of fixed income instruments to recognize the effects of embedded options. There were several reasons for this. Back then, the bond market was less diverse than it is today. Instruments like mortgage-backed securities (MBS) didn't exist. I oversimplify only slightly if I describe the US market as offering two types of bonds: callable corporates and non-callable Treasuries. Call features differed little from one bond to the next, so investors could reasonably compare corporates based on their yield to first call or yield to worst. Corporates offered yields in excess of Treasuries, and some of the excess yield could presumably be attributed to embedded call features, but there was no particular need to put a number on this. No one was shorting corporates against Treasuries as a volatility play! Another issue was the fact that analytics for assessing option values didn't exist. The Black-Scholes model for pricing options had not yet been published. Computer technology was cumbersome and expensive. Finally, interest rates tended to be stable prior to 1970, so embedded call options weren't worth much to begin with.

All this started to change in the 1970s. New forms of fixed income instruments were brought to market. Interest rates became increasingly volatile. A robust theory of option pricing emerged, and the processing power needed to implement the new theory became easier to use and less costly.

Option-adjusted spreads were first widely employed in the mortgage-backed securities market in the late 1980s. Investors were offered instruments with extraordinary current yields—500 or 600 basis points over Treasuries. To analyze these, they needed to somehow subtract out the yield component that was attributable to the embedded options. They wanted to know what the yield over Treasuries would be if the exact same instruments did not have embedded options.

The value of option-adjusted spread analysis is that it enables investors to separate out optionality and judge the degree to which an instrument's yield compensates them for credit risk, liquidity risk or other such factors. Suppose an investor is comparing two similar bonds. Both have comparable maturities, credit qualities and liquidity, but they have different embedded options. The investor might purchase whichever bond has the higher option-adjusted spread—that bond would offer higher compensation for the risks being taken.

This is how OAS is used in theory. Practice is not so simple. OAS is more a philosophy that can be implemented in different ways than it is a well defined metric of yield. Models abound. Proprietary models used by bond dealers tend to be sophisticated. Those that are available to investors can be crude. Routinely, an investor will survey a number of dealers on the option-adjusted spread those dealers calculate for a particular MBS and be troubled by the broad range of replies. Definitions and modeling assumptions vary.

你可以同時參考

債券利差 SPREAD

http://allanlin998.blogspot.tw/search?q=SPREAD