公司理財研討
MA0A0204 王詩婷
MA0A0205 許睿烜
497A0009 陳欣妤
Sign of Relationship between Risk and
Return
風險和報酬之間關係的徵兆
The Fortune magazine survey does not ask
executives for their assessments of risk and their
expectations about future returns. In order to elicit
direct information about risk and return, a small
supplementary survey has been administered to
separate groups of managers and investors. The
supplementary survey has been run annually since
1997.
財富雜誌的調查並不要求管理人員對他們評估的風險和
對他們預期未來報酬。為了引起有關風險和報酬的直接
訊息，在一個小型的輔助調查裡，管理人員和投資者一
直管理到不同的小組。自1997年以來，每年已執行追加
調查。
It includes the same questions asked in the Fortune
magazine survey, but adds the direct questions about
risk and return that appear in Concept Preview
Question 4.1. As in the regular Fortune survey, each
participant in the supplementary survey is asked to
make judgments about 8 to 10 stocks. Notably Intel
and Unisys are among the stocks included.
在財富雜誌調查，它還包括問同樣的問題，但增加的直接
問題是出現在4.1預覽觀念問題裡有關風險和報酬。至於
財富在定期調查，每個參與者被要求做出判斷約8至10支
股票來輔助調查。值得注意的是包括Intel和Unisys的股票。
Even though the participants in the supplementary
survey are not participants in the Fortune magazine
survey, the responses from the supplementary survey
are typically close to the response in the survey
conducted by Fortune itself. This statement even holds
for the survey results that Fortune does not report
when it publishes its list of most admired companies in
America. This means that the Fortune survey results are
replicable.
儘管參與者不參加財富雜誌的輔助調查，從輔助調查的回應
通常是財富雜誌本身在進行調查結束時的回應。這個說法(這
項聲明)，甚至認為財富雜誌並不報告的調查結果當它公佈在
美國是最受尊敬公司的名單。這意味著，財富雜誌調查的結
果是複製。
What do we learn from the additional questions in
the supplementary survey, the questions that ask
directly about risk and return? We learn that
managers judge the relationship between risk and
return to be negative. They expect higher returns
from safer stocks.
在輔助調查時若有其他疑問那我們可以從這裡了解什麼，
該問題與風險和報酬是直接有關的嗎？我們得知經理在衡
量風險和報酬之間的關係是負面的。他們期望從安全股票
獲得較高的報酬。
Year after year, only a few respondents provide
return expectations that are positively correlated
with their risk assessments. For example, in respect
to Unisys and Intel, few respondents assign a higher
expected return to the stock they judged to be
riskier.
年復一年，只有少數幾個受訪者有提供預期報酬，與他們
評估的風險是呈正相關。例如，在Unisys和Intel方面，少
數幾個受訪者分配到的股票預期報酬是比較高，他們判斷
是高風險。
Recall that a cornerstone principle of the CAPM is
that expected return is positively related to risk,
where risk is measured by beta. To be sure, the
variable used in the supplementary survey to
measure risk is not as precise as the return
standard deviation or beta.
回想一下CAPM的基本原則是預期報酬呈正相關的風險，
其中風險由β衡量。可以肯定的是，在輔助調查衡量風險
時所使用的變數是不是跟報酬的標準偏差或β一樣精確。
In a way, this is a benefit, in that it allows
respondents to factor in whatever variables they feel
determine risk. At the same time, the risk variable is
arbitrary. For this reason, consider the relationship
between expected return and beta. The graph of
expected return against beta is called the security
market line.
在某種程度上，這是好處，他允許受訪者在決定風險的因
素是任何變數，同時，風險變數是隨意的。因為這個原因，
考慮預期報酬和β之間的關係。對β預期報酬的圖表被稱為
證券市場線。
Those who participate in the supplementary study are
provided with financial data about the firms in
question. These data include the beta of each firm’s
stock. Plotting the average expected returns against
beta and fitting a straight line reveals a relationship
that is decidedly negative. Exhibit 4.2 displays a
typical estimate of the perceived security market
line.
那些有參加輔助研究的公司提供有關財務數據的問題。這
些數據包括每家公司股票的β。繪製對β的平均預期報酬並
連成直線顯示的關係是負面的。圖表4.2顯示一個典型估
計的證券市場線。
Exhibit 4.2 displays actual responses from a group of
respondents who were surveyed in the autumn of
2004, along with a regression fitted to their
responses. This group completed Concept Preview
Question 4.1 for 10 firms that included Unisys and
Intel.
圖表4.2顯示實際的反應，在2004年的秋天，從一組被調
查的受訪者，他們的反應是隨著迴歸適配。這個小組完成
10家公司對4.1預覽觀念的問題，包括Unisys和Intel。
Notably, these respondents were all finance
professionals. On average, they judged that Intel was
a better firm than Unisys, and that relative to Unisys
stock, Intel stock, Intel stock offered higher longterm investment value, a higher expected return, and
lower risk.
值得注意的是，這些受訪者都是金融專業人士。平均來說，
他們判斷，Intel是一個比Unisys更好的公司，相對於
Unisys的股票和Intel的股票，Intel的股票提供較高長期投
資價值，較高的預期報酬且風險較低。
The Affect Heuristic
情感捷思
Psychologists have found that the tendency to view
risk and reward as being opposite is a general
phenomenon. They suggest that people form
emotional impressions of activities, where impression
reflects degree of goodness, or affect.Having a
positive affect connotes something that is good,
whereas having a negative affect connotes something
that is bad.
心理學家們發現，風險和報酬是相對的這種趨勢是一個普
遍的現象。他們認為行為是活動的情感的印象，印象反映
的善良程度或情感。有正面情感，意指是好的，而有負面
情感，意指是壞的。
Evidence suggests that in their minds, people assign
affective labels or tags to images, objects, and
concepts. These tags exert a strong influence on
their decisions. Moreover, imagery is important, in
that the strength of affective responses typically
depends on the sharpness of the mental image.
證據指出，在他們的心中，人分配情感的標籤或影像、物
體和觀念方面的標籤。 這些標籤對他們的決定的有強大
影響力。此外，影像是重要的，在情感反應的強度，通常
取決於心理影像的銳度。
That might explain why during the dotcom bubble in
the late 1990s, managers who changed the names of
their firms to feature the “dot.com” phrase saw an
immediate increase in the price of their firms’ stocks.
或許可以解釋在90年代末為什麼網路泡沫化，經理人改變
了他們公司的名稱為“dot.com”這句話，看到了他們公
司的股票價格立即增加。
Managers form opinions of companies, as in the case
of Fortune magazine’s corporate reputation score.
In terms of affect, the most admired company has
the highest positive affect. As was discussed in
Chapter 1, people often use an affect heuristic,
basing their decisions on a affect rather than
explicit analysis.
當“財富”雜誌的企業信譽得分的情況下，形成經理人
對公司的意見。在情感方面，最受尊敬的公司擁有最正
面情感。正如第1章討論，人們經常使用情感捷思，基本
上經理人的決定情感重於明確的分析。
Heuristics, Biases, and Factors
捷思、偏誤與因素
Evidence from the Fortune magazine corporate
reputation survey, along with the supplement that
includes direct questions about risk and return,
suggests that executives use heuristics to assess risk
and return. The heuristics rely on a combination of
representativeness and affect and predispose
executives to bias.
從“財富”雜誌的企業信譽調查與補充，其中包括直接有
關的風險和報酬問題，有證據表明，經理人使用捷思評估
風險和報酬。捷思依賴結合情感的代表性，容易導致經理
人偏誤。
The affect heuristic is a mental shortcut that people
use to search for benefits and avoid risks. Benefits
are associated with positive affect, whereas risks
are associated with negative affect. Because of its
unidimensional feature, reliance on affect leads to a
negative relationship between benefits and risks.
情感捷思是一個心裡使用尋找利益和規避風險的捷徑。與
利益正向情感相關，與風險負向情感相關。把它們放在單
一結構的特性，依賴於情感關係利益和風險之間的負向相
關。
As a result, affect and representativeness reinforce
each other when it comes to risk and return. Both
lead managers to view the relationship between risk
and return as being negative.
結果，情感及代表性，當它涉及到風險和報酬的時候，會
相互加強。經理人認為風險和報酬之間的關係看成是負向
的。
Consider the factors related to size and book-tomarket equity that play central roles in the
traditional Fama-French three-factor framework.
Analysis of executives’ responses to both the Fortune
magazine survey and the supplementary survey
reveals that executives associate low book-to-market
equity and high market capitalization to both good
stocks and good companies.
考慮的因素有關，規模大小和帳面市價比在傳統的FamaFrench三因素框架扮演中心的角色。經理人的回應，以
“財富”雜誌的調查和補充調查分析顯示，經理人把低的
帳面市價比和高市值跟好股票和好公司聯想在一起。
And they do so consistently, year after year. That is,
executives judge large firms to be good firms.
Executives judge firms with low book-to-market
equity to be good firms. In doing so, executives also
judge the stocks of large firms featuring low bookto-market equity to be good stocks.
他們年復一年的如此。也就是說，經理人的判斷對大企業
是良好的。經理人判斷低帳面市值比是好的公司。 這樣
做，經理人也判斷大公司低帳面市值比當是好的股票。
Executives expect stocks associated with low betas,
large market capitalization, and low book-to-market
equity to earn higher returns than stocks associated
with high betas, small market capitalization and high
book-to-market equity. Yet the evidence suggests
that the empirical relationships go the other way.
That is, executives’ perceptions display bias.
經理人預期低β值股票，高市值股票，和低帳面市值比股
票，比高β 值股票，低市值股票和高帳面市值比股票，賺
取更高的報酬。然而，有證據表明，實際關係不是如此。
也就是說，經理人的看法顯示偏誤。
Interestingly, evidence from the supplemental
survey does suggest that executives view stocks
associated with low betas, large market
capitalization, and low book-to-market equity to be
less risky than stocks associated with high betas,
small market capitalization, and high book-to-market
equity. These associations are in accordance with
traditional theory.
有趣的是，從補充調查的證據建議經理查看股票，低β
值、高市值和低帳面市值比，比股票高β 值、低市值和
高帳面市值比風險較低。這些符合傳統的財務理論。
Therefore, the major bias associated with executives’
perceptions would appear to be that they view risk and
return as being negatively related to each other. In
this regard, executives strongly associate higher longterm investment value with safer stocks: the
correlation coefficient between risk and LTIV is about
-90 percent. Executive also associate LTIV positively
with expected return, but the strength of the
relationship is weaker than it is with perceived risk.
因此，主要的偏見與經理的看法有所關聯，他們查看風險與
報酬當作負相關。在這方面，經理強烈地較高的長期投資價
值和較安全的股票有所關聯：風險與LTIV之間的相關係數為
90%。經理贊同LTIV的預期報酬，但關係的實力比知覺風險
差。
Analysts’ Return Expectations
分析師預期報酬
Consider the security analysts whose job it is
to forecast future earnings and target prices
for stocks.
考慮分析師的證券工作是在預測股票未來收益和
目標價格
Like executives, analysts’ expectations of
future stock returns (implied by the target
prices they establish) appear to be related
to beta, size, and book-to-market equity.
像經理一樣，分析師預期未來股票報酬(他們建立含
蓄的目標價格)似乎對β 值、規模和帳面市價比有關
聯。
Do analysts perceive the relationship
between risk and return differently from
executives? The answer is yes, they do.
分析師是否察覺風險和報酬之間的關聯與經理不
同?答案是肯定的，他們這麼覺得。
The data used to answer the last question
come from two sources, First Call and Value
Line.
此數據用來回答最後一個問題，來自兩個消息來
源First Call和Value Line。
The firm First Call Corporation collects the daily
commentary, earnings forecasts, target prices, and
stock recommendations of security analysts, portfolio
strategists, and economists at major U.S. and
international brokerage firms. Data pertaining to
analysts’ one-year return expectations for the study
discussed here come from First Call and were
collected between November 1996 and December 2001.
該公司First Call股份(有限)公司收集每日的評論、預期獲
利、目標價格、股市在主要的美國和國際券商的證券分
析師，投資組合戰略家，經濟學家的建議。這裡研究資
料討論有關分析師一年預期報酬來自First Call公司收集
1996年11月和2001年12月之間。
Data pertaining to analysts’ three-year return
expectations were based on
The value Line Investment Survey.
資料有關分析師三年預期報酬基礎在
價值線投資調查。
What do these data tell us? Unlike
executives, analysts expect high-beta stocks
to earn higher returns than low-beta stocks.
That is, analysts treat the relationship
between beta and expected return as being
positive.
這些數據告訴我們什麼?和經理不同，分析師預
期高β 值股票比低β 值股票賺取更高報酬。也就是
說，分析師看待β 值和預期報酬之間的關係是正
相關的。
Notice that these analysts generally perceive
the relationship between expected return
and beta to be positive.
注意的是分析師普遍認為預期報酬和β 值之間的關
係是正向的。
Holding beta constant, analysts also expect
smaller-capitalization stocks to earn higher
returns than larger-capitalization stocks. In
contrast, executives rate large-capitalization
stocks higher than small-capitalization stocks
in terms of long-term investment value.
保持β 值不變，分析師也預期小額股票比大額股票
賺取更高報酬。相比之下，經理認為大額股票比小
額股票期間是長期投資價值。
What about book-to-market equity? On
this dimension, the evidence on one-year
expectations actually suggests that
analysts behave like executives.
什麼是帳面市價比?在這範圍內，此證據1年內預期
實際建議分析師行為像經理一樣。
Analysts expect growth stocks to earn
higher returns than value stocks, or at best
to perform about as well.
分析師預期成長型股票比價值型股票，可以賺取
較高的報酬或更易執行
In this respect, analysts’ return expectations
are the mirror opposite of the historical
pattern for realized return.
在這方面，分析師預期報酬和歷史形態的實際報
酬是反應對立的。