黃顧問表示他在上課過程中，感覺到很多台灣投資人是在追求波段操作(Timing Volatility)，想從他這裏得到何時是重回股市的時機。他想分享Eugene Fama教授與Ken French教授發表過的觀點作為補充資料。
問：最近股市價格的波動性很大，您認為投資人先離開市場，等待股市價格的波動性穩定下來，再重新進入市場的作法是否是有道理的呢？
Fama：如果目前股市價格的大波動性，以及它的波動性無可避免的忽高忽低，讓你想永久避開股票市場的波動性，那麼你應該離開市場。也許一開始你就不該參與股票市場的投資，因為股市價格波動性的忽高忽低是股市的常態，而非異常。如果你最後還是希望回到股票市場投資，則你就不該離開。如果你希望自己的長期投資組合包含股票市場，一下投資股市，一下又不投資股市是很危險的。
簡單的理由如下：之所以股價的評價高低會受波動性的變化影響的邏輯是，高波動性的開始階段會和股價評價的下降相關，讓繼續投資的預期報酬率增加(以彌補投資人高波動性的風險)，同樣地，低波動性的開始階段會和股價評價的上升相關。因此如果你依據已知的股市價格波動性的變化來進出股市，你很可能會在預期報酬率高的時候不投資股市，而在預期報酬率低的時候投資股市。忽進忽出市場的策略只有在你有能力在波動性變高或變低之前預測到它，才有意義。這樣你才能避開波動性變高的開始階段的價格下跌，又能從預期報酬率變低的開始階段的價格上升獲利。我懷疑有任何人能在預測波動性變化上有那麼好的結果。
French：我對這個問題的處理方式略有不同，但是基本上得到同樣的結論。我從已發行的股票在短期間是固定數量的事實開始，風險的改變不會影響所有投資人所加總起來的投資組合，除非別人願意增加它的股票部位，否則你無法減少你的股票部位，但是風險的改變的確可以影響價格，當風險升高我期望價格下降，預期報酬率上升，而且要注意預期報酬率調整是基於較低的預期現金流所造成的價格下降之上。
誰該賣呢？目前股票市場的混亂應該已經教導投資人什麼是股市可能的波動程度，以及投資人對風險的容忍程度，這堂課遠比任何假設案例或是仔細思考實驗都要來的豐富。一些投資人已經發現巨大的損失對他們的傷害遠高於他自己的預期。另外一些人可能發現自己並不是這麼地想規避風險。如果你是第一類的人，你應該賣出股票，如果你是第二類的人，也許你想利用你較高的風險容忍程度再買進更多股票。就像Fama說的，這應該是永久的改變，你應該調整你的投資組合，使它更和你的風險容忍偏好相符，但是一旦你這次做了改變，你應該計畫永久堅持下去。
Q: Stock market volatility is currently quite high. Does it make sense for investors to get out of the market until volatility settles down?
Fama: If the current high volatility makes you permanently averse to stock market volatility, and the inevitable variation in market volatility, you should get out. But you shouldn't have been in the stock market in the first place since fluctuations in volatility are the norm. If you eventually want to come back into the market, then you shouldn't leave. Bouncing in and out of the market is risky if your desired long-term asset allocation involves exposure to the market.
The reasoning, in a nutshell, is as follows. The logic of price changes in response to variation in volatility is that the onset of high volatility should be associated with price declines that increase expected returns going forward (to compensate investors for the higher volatility), and the onset of a low volatility period should be associated with price increases that lower expected returns going forward. As a result, if you bounce in and out of the market in response to variation in volatility, you are likely to be in when expected returns are low and out when expected returns are high. Bouncing in and out only makes sense if you can forecast increases and decreases in volatility before they occur, so you can miss the price declines associated with the onset of high volatility and profit from the increases associated with the onset of low profitability. I doubt that anyone is that good at predicting changes in volatility.
French: My approach to this issue is a bit different, but I reach the same basic conclusion. I start with the fact that in the short run the number of shares outstanding is fixed. As a result, changes in risk cannot affect the aggregate portfolio of all investors; you cannot reduce your equity position unless someone else is willing to increase his. Changes in risk can, however, affect price. When risk goes up I expect prices to fall and expected returns to rise. And notice that this expected return adjustment is on top of any drop in price caused by lower expected cashflows.
So who should sell? The current market turmoil has taught many investors much more about volatility and their tolerance for risk than they could ever learn from hypothetical examples and thought experiments. Some investors have discovered that big losses hurt more than they expected, while others have concluded they are not as risk averse as they thought. If you are in the first group you might want to sell some equity, but if you are in the second group you probably want to take advantage of your high risk tolerance and buy more. And as Gene said, these should be permanent changes. You might adjust your investments so they are more in line with your actual tastes, but once you do you should plan on sticking with your new portfolio.
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