【英语中国】别太看重中国股市表现

This has been an awful year for the Shanghai stock market. Volatile periods of sideways trading have alternated with vertiginous drops, leaving the SSE Composite index down 20 per cent for the year. Stock markets are supposed to react to economic expectations. Is the performance of the SSE predicting a Chinese economic collapse?

Probably not. We normally assume that stock prices represent the market's best estimate of growth prospects, but this is not always the case. It depends on the mix of investment strategies that characterise the market. An efficient and well-functioning market is comprised largely of three types of investment strategies, often in combination, and each has a different role in determining how markets perform and what they tell us.

The first type, speculative strategies, requires information about changes in supply or demand factors that immediately affect prices. Speculators provide liquidity and disseminate information rapidly.

Arbitrage or relative value strategies exploit pricing inefficiencies in an asset class, ensuring markets provide clear pricing signals and function in unity, rather than as unlinked markets for each individual asset.

Finally, fundamental or value strategies involve buying assets to earn the economic value created. By taking capital from less profitable companies and channelling it to more profitable ones, this strategy – most famously characterised by the likes of Warren Buffet – gives the market its predictive ability. Fundamental and value investors turn the market into a machine that discounts long-term cash-flow expectations, and makes predictions about the future.

All three types of strategies require different kinds of information. In a well-functioning market these various strategies interact, ensuring that markets are reasonably liquid, reasonably consistent, and reasonably able to allocate capital efficiently. But from time to time, liquidity shocks or sharp increases in financial distress can undermine the value of certain information, especially information necessary to fundamental investors, and so shift the whole market into speculative mode.

Well-functioning financial markets can and do break down, but when they return to stability they do a fairly good job of allocating capital. But for a market to perform this role well, fundamental investors must have the necessary tools and information to profit from their capital allocation decision. The most basic requirements for fundamental investing are good macroeconomic data, accurate and intelligible financial statements, a stable regulatory framework, limited government intervention, and a clear understanding of the corporate governance structure.

China lacks all of these. Macroeconomic data is improving, but is still quite poor, which is perhaps to be expected in a country changing so rapidly. Financial statements are often questionable, in no small part because Chinese universities are unable to produce as many accountants as China needs. The regulatory framework is changing and evolving quickly, and often in unexpected ways, and the government has little hesitation in intervening in markets for policy reasons.

Most importantly the corporate governance structure is opaque. It is not clear whether managers act to maximise shareholder value, enterprise wealth, local employment, or other factors not subject to economic analysis. All this uncertainty means that fundamental investors must use too high a discount rate, in effect, pricing themselves out of the market except when it is trading at extraordinarily low levels.

In other words, in China it is very difficult to follow a fundamental investment strategy. Speculators, on the other hand, have a huge variety of tools at their disposal. Insider trading is common. Opaque corporate governance and ownership structures can cause sharp fluctuations in corporate behaviour. Illiquid and fragmented markets allow determined traders to cause large price movements. Regulations change often.

In addition, the single most important participant in the market, the government, often behaves in ways that are not subject to economic analysis. Take most fund managers out for late-night drinks and they will readily admit that the two most useful pieces of information that they crave is information about changes in underlying liquidity conditions and information about which way the government would like to see markets go.

A market driven mainly by speculators, and with little to no participation by fundamental or value investors, is not a market that spends much effort evaluating and discounting long-term growth prospects. It is driven largely by fads, technical factors, liquidity shifts, and government signalling. These markets may tell us many things, but they are not telling us much about growth prospects.

Michael Pettis is a finance professor at Peking university and chief strategist for Shenyin Wanguo Securities (HK)

上海股市今年的表现相当糟糕：横盘震荡与急速下跌轮番上演，上证综指年内已累计下挫20%。按理说，股市会根据经济预期作出反应。那么，上证综指的表现是否预示中国经济将出现崩溃？

答案可能是否定的。我们通常假定，股价反映的是市场对经济增长前景最合理的估计，但情况并非总是如此。它取决于市场所特有的投资策略的组合。一个有效且运转良好的市场主要有三类常常结合使用的投资策略，在决定市场表现以及市场所传达的信息方面，它们各自扮演着不同的角色。

第一类是投机性策略，它们要求了解会即刻影响股价的供需因素变化的信息。投机者提供流动性，并迅速把信息传播出去。

套利或相对价值策略利用的是某类资产定价的无效性，确保市场提供明确的定价信号并协调运转——而不是作为面向各类资产的彼此无关的多个市场。

最后是基本面或价值策略，依靠买入资产赚取其创造的经济价值。通过把资本从盈利能力较低的公司抽走，然后输送到盈利能力较高的公司，这类策略让市场具备了预测能力。基本面和价值投资者——沃伦•巴菲特(Warren Buffet)等人是其中最著名的代表人物——把市场变成了一台机器，对长期现金流预期进行折现，并对未来做出预测。

上述三类策略需要的是不同类型的信息。在一个运转良好的市场中，这些不同的策略相互作用，确保市场具备适度的流动性、连贯性和有效配置资本的能力。但有些时候，流动性冲击或金融困境的大幅加剧，可能会削弱某些信息的价值——特别是基本面投资者所需的信息，从而将整个市场转入投机模式。

运转良好的金融市场也可能（而且确实会）崩溃，但当它们恢复稳定时，它们会很好地资本配置。但是若想让市场出色地履行这一职能，基本面投资者就必须拥有必要的工具和信息，以便从自己的资本配置决策中盈利。对基本面投资来说，最基本的要求是要有：优质的宏观经济数据，准确易懂的财务报表，稳定的监管架构，有限制的政府干预，以及对公司治理结构的清晰了解。

这些条件中国都不具备。宏观经济数据的质量虽在不断改善，但目前仍相当粗劣——在一个变化如此之快的国家，这一点或许应在意料之中。财务报表往往疑点颇多，这在很大程度上是因为中国的高等院校培养不出足够多的会计师来满足中国的需要。监管架构的变化和发展很快，而且方式常常出人意料。而政府在出于政策原因干预市场时，几乎没有丝毫的犹豫。

最重要的是，公司治理结构不透明。人们并不清楚，公司管理者是否采取了行动，尽可能提升股东价值、企业财富、当地就业，或是其他不以经济分析为转移的因素。所有这一切不确定性意味着，基本面投资者必须使用极高的折现率——实际上，除非市场处在极低的水平，否则他们会因为定价过高而被迫离开市场。

换句话说，在中国，投资者很难采用基本面投资策略。另一方面，投机者拥有五花八门的工具可随意使用。内幕交易司空见惯。不透明的公司治理和所有权结构，可能会导致公司行为出现明显摇摆。流动性不佳且四分五裂的市场，让下定决心的交易员能够推动股价大幅波动。监管规定也经常改变。

此外，作为唯一最重要的市场参与者，政府的行为方式往往不以经济分析为转移。如果你请基金经理们半夜出去饮酒，他们大多数人会毫不犹豫地承认，他们渴望得到的最有用的两条信息分别是：关于流动性基本状况变化的信息，以及关于政府希望市场何去何从的信息。

如果一个市场主要由投机者推动，极少或根本没有基本面或价值投资者涉足，那这个市场就没有下大力气对长期增长前景进行评估和折现。它主要受到短期风潮、技术因素、流动性变化和政府信号的推动。这类市场可能会告诉我们很多东西，但不会告诉我们多少有关增长前景的内容。

本文作者是北京大学(Peking university)金融学教授、申银万国证券(Shenyin Wanguo Securities)驻香港首席策略师

译者/汪洋