Irrational Exuberance (v2)

Regnet öser ner och dagen har spenderats i soffan i sällskap med boken Irrational Exuberance, skriven av nobelprisvinnaren Robert Schiller (tack jordholmen för boktipset). Boken handlar om investerarpsykologi och förekomsten av återkommande börs- och fastighetsbubblor.

Robert Schiller är känd för att ha varnat för både IT-bubblan och husbubblan. Han är mindre kategorisk idag; han konstaterar att CAPE (PE10) visserligen är högre än någonsin tidigare med undantag av korta toppar 1929, 2000 och 2007, men att dagens låga räntor motiverar en hög värdering.

Schiller CAPE (P/E baserat på tio års vinster)
(källa Robert Schiller online data)

Schiller visar att det finns ett negativt samband mellan CAPE och framtida avkastning;

"Price movements tend to be large relative to earnings, and price swings relative to the long-trend of earnings have tended, historically, to be reversed later. [...] as a rule and on average, years with low CAPEs have been followed by high returns, and years with high CAPEs have been followed by low or negative returns. "

Enligt Schiller har ränta och CAPE däremot svag historisk korrelation;

"Although interest rates must have some effect on the market, stock prices do not show any simple or consistent relation with interest rates. [....] Over the whole period [1880-2014] no strong relation is seen between interest rates and the price-earnings ratio. "

Jag har faktiskt skrivit om det förvånande svaga historiska sambandet mellan räntenivå och P/E i ett tidigare inlägg.

Förekommer felaktig prissättning även på räntemarknaden?
 Schiller gör en intressant jämförelse av långa räntor med inflation:

"One might think, if investors have good information, are rational, and are interested in the real interest that they will receive, that market-determined bond yields would stay just a steady amount above the subsequent inflation rate. [however] this has never been true for the United States. 

[....] It is easy to see a positive contemporaneous relation between interest rates and preceding long-term inflation rates for much of the time [...] but there appears to be practically no relation between long-term interest rates and future long-term inflation. It is the future inflation that ought to matter more if investors were successfully priced long-term bonds to protect their real returns. 

[...] The fluctuations in yields that we do see in the long-term bond market cannot be well described as resulting from infomation about future inflation, nor are they well described as resulting from information about future short-term interest rates. They have a speculative component."

Om räntemarknaden historiskt visat spekulativa tendenser är nuvarande räntenivå kanske inte det bästa verktyget för att värdera aktier och fastigheter? Kanske borde investeraren hellre utgå från "normal" ränta, t.ex. 100 års snitt?

Fastigheter

"Obviously, there is no hope of explaining home prices in the United States solely in terms of building costs, population or interest rates. [...] The pattern of change from year to year in home prices bears no consistent relation with any of these factors. [...] While interest rates have been declining, the decline in long rates has been fairly steady, all the way back to the early 1980s. [...] While low interest rates are certainly a contributing factor [to rising housing prices since 90s] central banks have cut interest rates many times in history, and such actions never produced such concerted booms.

[...] most cities have abundant land. [...] These abundant-land cities show long-run price paths that never deviate too far from building costs. [...] If ever home prices were to far exceed the cost of construction, there would be an incentive for builders to supply more houses, and a steady increase in supply would continue until the extra supply depressed price back down to cost. [...] there is little empty land available to build on in Los Angeles or Boston, or for that matter, in London or Sydney. And yet the same safety valve ought to operate there to prevent home prices from rising too far [...] When home prices rise to the point that mortgage payments take up a large share of family income, there is a powerful incentive to move to a lower-cost area."

 

Amerikanska fastighetspriser i jämförelse med andra faktorer
(källa Robert Schiller online data)