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In the long run, returns on investment drive the price-earnings ratios that determine the stock valuations of firms far more than profitability does, according to a new research paper by experts at Wharton and elsewhere, titled “The Return of Return Dominance: Decomposing the Cross-section of Prices.” That finding has added a new dimension to the popular belief that price-earnings ratios are more strongly related to future profitability than they are to future returns. The paper won the 2023 Best Paper from Wharton’s Jacobs Levy Equity Management Center for Quantitative Financial Research and the Rodney L. White Center’s 2022 Marshall Blume First Prize in financial research.

根据沃顿商学院及其他机构专家的一篇新研究论文《投资回报决定论的回报：分解价格的横截面》指出，从长远来看，投资回报对决定公司股票估值的市盈率的影响远大于盈利能力。这一发现为流行的观点增添了新的维度，即市盈率与未来盈利能力的关系比与未来投资回报的关系更密切。该论文获得了2023年沃顿商学院杰克布斯·莱维量化金融研究中心颁发的最佳论文奖，以及罗德尼·L·怀特中心2022年马歇尔·布鲁姆金融研究首奖。

“Stocks that look expensive, or those with high price-to-earnings ratios, or multiples, seem to deliver much lower returns than previously thought,” said Wharton finance professor Sean Myers, who co-authored the paper with Ricardo De la O, professor of finance and business economics at the University of Southern California’s Marshall School of Business, and xiao Han, lecturer in finance at the Bayes Business School in the City, University of London.

沃顿商学院金融学教授肖恩·迈尔斯表示：“那些看起来很贵，或者市盈率较高的股票，似乎比之前认为的回报要低得多。”迈尔斯与南加州大学马歇尔商学院的金融和商业经济学教授里卡多·德拉奥，以及伦敦城市大学贝斯商学院的金融讲师肖晗共同撰写了这篇论文。

“This is particularly concentrated at very long horizons,” Myers continued. “It’s not the case that [stocks with high multiples] immediately give you very bad returns. But if you track these companies over a long horizon, you find that their returns are a lot lower than we thought.” The paper analyzed the valuations of all listed U.S. stocks from 1963 to 2020 over 10-year rolling periods. The model in the paper used industry benchmarks and the average P/E multiples of all firms to determine what represents a high multiple.

迈尔斯继续说：“这主要集中在非常长的时间范围内。并不是说[高市盈率的股票]立即会给你带来非常糟糕的回报。但如果你跟踪这些公司很长一段时间，你会发现他们的回报比我们想象的要低得多。”该论文分析了从1963年到2020年所有上市美国股票的估值，采用了10年滚动期间。论文中的模型使用行业基准和所有公司的平均市盈倍数来确定什么代表高倍数。

The paper condensed its key findings to state that 75% of the “cross-sectional dispersion” in valuation ratios shows up in the differences in future returns, while the remaining 25% is reflected in future earnings growth. Put another way, the returns on investment were three times as big as earnings growth in driving the stock valuations of firms. “The differences in [price-earnings] multiples between firms seem to mostly predict lower future returns for the high-multiple firms,” Myers said. “It doesn’t indicate that the high-multiple firms will actually have better earnings growth than their peers.”

论文将其关键发现归纳为，75%的“估值比率横截面差异”表现在未来回报的差异中，而剩下的25%反映在未来盈利增长中。换句话说，在推动公司股票估值方面，投资回报是收益增长的三倍。迈尔斯说：“不同公司之间的[市盈]倍数差异似乎主要预示着高倍数公司未来的回报会更低。这并不表明高倍数公司的盈利增长实际上会超过其同行。”

Myers said it is hard to explain why the valuation of stocks with high multiples was high initially. “These stocks that have very high multiples don’t go on to have extraordinary earnings growth. Instead, what we see is that their prices just gradually come down over time, which seems to indicate that either their price was too high to begin with, or there’s some very large risk premium out there that has not been identified beforehand.”

迈尔斯表示，很难解释为什么高市盈率股票的估值最初很高。“这些市盈率非常高的股票并没有实现非凡的盈利增长。相反，我们看到的是他们的价格随着时间的推移而逐渐下降，这似乎表明它们的价格一开始就过高，或者存在一些此前未被识别的非常大的风险溢价。”

“Stocks that look expensive, or those with high price-to-earnings ratios, or multiples, seem to deliver much lower returns than previously thought.”

“那些看起来很贵的股票，或者那些市盈率或倍数很高的股票，其回报率似乎远低于此前的预期。”

According to the paper, the bigger driver of stock valuation ratios than future earnings growth is either risk premia (people paying more for certain stocks because they hedge specific risks) or mispricing. The study generally found insufficient support for risk premia in driving high multiples. “Models based on risk premia struggle to match our results, whereas models based on mispricing perform better,” the paper stated.

根据该论文，比未来盈利增长对股票估值比率的影响更大的是风险溢价（人们因为对冲特定风险而支付更高价格购买某些股票）或者错误定价。该研究普遍发现，风险溢价在推动高市盈率股票方面的支持不足。“基于风险溢价的模型难以匹配我们的结果，而基于错误定价的模型表现更好，”论文如是说。

‘Growth Firms’ Is a Misnomer
Firms whose stocks enjoy high multiples are called “growth firms,” where the stock price is high relative to their current earnings. If these earnings grow quickly, then they generate returns that would justify their high price, Myers said. “But if those firms do not grow faster than their peers, calling them growth firms is a misnomer. And because they don’t actually grow substantially faster [than their industry peers], they end up having worse returns.”

‘成长型公司’是一个误称
股票具有高市盈率的公司被称为“成长型公司”，其股价相对于当前收益而言较高。如果这些盈利迅速增长，那么它们产生的回报将证明其高价是合理的，迈尔斯说。 “但如果这些公司的增长速度不快于同行，那么把它们称为成长型公司就是一个误称。并且因为它们实际上并没有比行业同行[增长得]更快，它们最终获得的回报更差。”

Stocks with high multiples don’t always let down investors. Investors would certainly get a high return if they had bought a high-multiple stock on its upswing — and therefore at a relatively lower price before it reaches its peak, Myers said. But the trajectory of those gains doesn’t survive in the long run. “If you wait long enough, the multiples of most firms tend to balance out over time,” he added. “If there’s a temporary upswing for the first few years, you might make strong returns. But eventually, as you get to year 6 or 7, what we see is that on average, most firms’ multiples converge over time, say a 5-to-10-year period.”

高市盈率的股票并不总是让投资者失望。迈尔斯表示，如果投资者在股票上涨时买入高市盈率股票，那么他们肯定会获得高回报，所以在股价达到峰值之前，他们会以相对较低的价格买入。“如果你等待足够长的时间，大多数公司的市盈率最终会随着时间的推移而趋于平衡，”他补充说。“如果头几年有一个暂时的上升期，你可能会获得丰厚的回报。但最终，当你到达第6年或第7年时，我们看到的是，就平均而言，大多数公司的市盈率在5到10年内趋于一致。”
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Stock Valuation: Riding Boom and Bust Cycles
The study found evidence of the leveling of valuations in recent expansions and contractions of the stock market, in 10-year cycles. “If you were to buy stocks of all of the high-multiple firms in the early 1990s and hold them for 10 years, you do fairly well because that’s essentially leading into the dotcom bubble,” Myers said. “However, in the subsequent 10 years [or the dotcom bust], if you were to buy the stocks of all the high-multiple firms in 2000 and hold them for 10 years, you do much worse than buying the low-multiple stocks.” The subsequent decade again saw a resurgence of high-multiple firms, or technology companies such as Apple and Amazon that are called growth stocks. That was followed by price corrections in this decade as tech stocks lost their earlier allure.

股票估值：经历繁荣与萧条周期
研究发现了股市近期扩张和收缩中估值平稳化的证据，呈现10年周期。“如果你在1990年代初期买入所有高市盈率公司的股票并持有10年，你的表现会很不错，因为这基本上导致了互联网泡沫，”迈尔斯说。“然而，在接下来的10年[或互联网泡沫破裂期]，如果你在2000年买入所有高市盈率公司的股票并持有10年，你的表现会比买入低市盈率公司的股票还要差得多。”在接下来的十年里，高市盈率公司，即苹果和亚马逊等被称为成长型股票的科技公司再次卷土重来。这十年来，随着科技股失去了早先的吸引力，股价出现了调整。
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If growth stocks deliver lower returns than their high multiples suggest, the dice turns in favor of the so-called value stocks at the other end of the spectrum that have relatively lower multiples. Value stocks are typically those of firms such as retailers like Walmart, utilities, or banks that have stable revenue streams but with less attractive profit margins than those of growth stocks.

如果成长股的回报低于它们高市盈率所暗示的水平，那么骰子就会转向市盈率相对较低的另一端，所谓的价值股。价值股通常是那些拥有稳定收入流但利润率不如成长股吸引的公司的股票，例如沃尔玛这样的零售商、公共事业公司或银行。

“On average, there’s a much higher return on value stocks compared to growth stocks, particularly over long horizons,” Myers said. “High-multiple stocks just don’t have enough fundamental growth to justify their initial price, and so you consistently see lower returns.”

迈尔斯说：“平均而言，与成长股相比，价值股的回报要高得多，尤其是在长期内。”“高市盈率股票没有足够的基本增长来证明它们的初始价格，因此你会一直看到更低的回报。”

Myers and his co-authors stumbled onto their findings by accident. While working on a different project, they decided to check the conventional wisdom that a firm’s multiple was an indicator of its future growth. “What we had learned in school was that differences in firms’ multiples are largely explained by differences in future fundamental growth,” he said. “But we couldn’t get that result. We thought we had made a mistake, and so we started digging into this. After a lot of effort, we realized that growth stocks weren’t growing faster than their peers. It didn’t look like the stock market was particularly efficient in assigning different multiples to firms.”

迈尔斯及其合著者偶然发现了他们的研究成果。在处理一个不同的项目时，他们决定检验一个传统观点，即公司的市盈率是其未来增长的指标。他说：“我们在学校学到的是，公司市盈率的差异主要是由未来基本增长的差异解释的。”“但我们没有得到那个结果。我们以为我们犯了一个错误，所以我们开始深入研究这个问题。经过大量努力，我们意识到增长股并没有比其同行增长得更快。股市在给公司分配不同的市盈率方面似乎并不是特别有效。”

“Our paper does support the Warren Buffett-style view that if you buy stocks with low price ratios or low multiples, those generally give higher returns.”

“我们的论文确实支持沃伦·巴菲特式的观点：如果你购买低价比或低市盈率的股票，这些通常会带来更高的回报。”

According to Myers, what has been strongly documented previously is that firms that have high multiples have high earnings and are very profitable. “However, if your stock price is high relative to your earnings, the only way to justify that is not [merely] by having high earnings, but by actually having increasing earnings,” he said. “You need these earnings to essentially catch up eventually with your price.”

根据迈尔斯的说法，之前有力的证据表明，高市盈率的公司收益高且非常盈利。“然而，如果你的股票价格相对于你的收益很高，那么唯一证明这一点的方法，就不仅仅是拥有高收益，而是盈利实际上在增长，你需要这些收益最终实质上赶上你的价格。”
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Myers clarified that the findings of earlier studies “are still completely correct” — that high multiple firms do have higher earnings than their peers and higher profitability than their peers. “But they don’t have higher profitability growth or earnings growth than their peers, which still means that their price looks puzzlingly high relative to their earnings,” he said. “That gap is still largely accounted for by differences in returns.”

迈尔斯澄清说，早期研究的结果“仍然是完全正确的”——高市盈率的公司确实比同行有更高的收益和更高的盈利能力。“但是他们并没有比同行有更高的盈利能力增长或收益增长，这仍然意味着他们的价格相对于收益来说，高得让人困惑。这一差距在很大程度上仍是由回报差异造成的。”

Takeaways for Investors on Stock Valuation
Myers highlighted the major takeaways from their paper for investors. “So long as you have a long investment horizon, where you buy and hold stocks, our paper does support the Warren Buffett-style view that if you buy stocks with low price ratios or low multiples, those generally give higher returns,” he said. “In fact, those return differences are bigger than we previously thought.”

股票估值给投资者的启示
迈尔斯强调了他们的论文给投资者带来的主要收获。“如果你是一个长期的股票投资者，我们的论文确实支持沃伦·巴菲特式的观点，即如果你购买市盈率低的股票，通常会带来更高的投资回报。事实上，这些回报差异比我们之前想象的要大。”

Another takeaway for investors is to be more skeptical about parking their money in high-multiple firms. “When you see a firm that has a very high multiple, say it’s trading at 50 times earnings or 70 times earnings, do you seriously believe its earnings will triple or quadruple in the next five or six years? [You must] map out what kind of earnings growth would be needed to justify that price. And do you see that happening in previous peers or with comparable peers?”

投资者的另一个收获是可以对投资于高市盈率公司持怀疑态度。“当你看到一家公司的市盈率很高，比如50倍或70倍时，你真的相信它的收益会在未来5-6年内翻3-4倍吗？你必须规划出需要什么样的收益增长来证明这个价格是合理的。你是否看到过之前有业内公司或可比较的同行发生过这种情况吗？”
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That extra rigor in inquiry does not rule out exceptional cases. “We’re not saying it’s impossible — particularly individual firms might grow fast enough — but it just looks that on average it’s a bit difficult to justify a lot of these price ratios. Unless there is some massive risk reason why you’re okay paying a lot of money for this firm — even if it will give lower returns — then you may want to rethink where you’re placing your money. You should know when you’re buying the stocks of these very expensive firms that they likely will not grow to the size that will pay off your initial investment.”

当然存在有特殊情况。“我们并不是说这是不可能的——尤其是个别公司的确增长得非常快——但平均而言，很难证明很多这样的高市盈率企业估值是合理的。除非有一些巨大的风险原因可以让你为这家公司支付大量资金——即使它会带来较低的投资回报——否则你可能需要重新思考你该投资哪里。你应该知道，当你购买这些非常昂贵的公司股票时，它们很可能不会发展到你最初投资时期待的规模。”