ARandomWalkDownWallStreet【漫步华尔街英文版】.pdf

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1、Document file:/E|/Unposted/Netlib/A%20Random%20Walk%20Down%.047814/nlReader.dllBookID=32673&FileName=Cover.html 10/7/2007 12:41:52 AMDocumentPage 3A Random Walk Down Wall StreetIncluding A Life-Cycle Guide To Personal InvestingBurton G.Malkiel Chemical Bank Chairmans Professor of Economics At Prince

2、ton University file:/E|/Unposted/Netlib/A%20Random%20Walk%20Down%.0393047814/nlReader.dllBookID=32673&FileName=3.html 10/7/2007 12:41:53 AMDocumentPage 4Copyright 1999,1996,1990,1985,1981,1975,1973 by W.W.Norton&Company,Inc.All rights reserved Printed in the United States of AmericaThe text of this

3、book is composed in Zapf Elliptical with the display set in Berling.Desktop composition by Justine Burkat Trubey Manufacturing by the Haddon Craftsmen,Inc.Library of Congress Cataloging-in-Publication Data Malkiel,Burton G.A random walk down Wall Street:including a life-cycle guide to personal inves

4、ting/Burton G.Malkiel.p.cm.Rev.ed.of:a random walk down Wall Street.c1996.Includes bibliographical references and index.ISBN 0-393-04781-4 1.Investments.2.Stocks.3.Random walks(Mathematics)I.Malkiel,Burton G.Random walk down Wall Street.II.Title.HG4521.M284 1999 332.6?dc21 98-50671 CIPW.W.Norton&Com

5、pany,Inc.,500 Fifth Avenue,New York,N.Y.10110 http:/W.W.Norton&Company Ltd.,10 Coptic Street,London WC1A 1PU2 3 4 5 6 7 8 9 0 file:/E|/Unposted/Netlib/A%20Random%20Walk%20Down%.0393047814/nlReader.dllBookID=32673&FileName=4.html 10/7/2007 12:41:53 AMDocumentPage 5To Nancy file:/E|/Unposted/Netlib/A%

6、20Random%20Walk%20Down%.0393047814/nlReader.dllBookID=32673&FileName=5.html 10/7/2007 12:41:54 AMDocumentPage 7CONTENTSPreface13Acknowledgments from Earlier Editions 17Part One Stocks and Their Value 1.Firm Foundations and Castles in the Air 23What Is a Random Walk?24Investing as a Way of Life Today

7、 26Investing in Theory 28The Firm-Foundation Theory 29The Castle-in-the-Air Theory31How the Random Walk Is to Be Conducted 332.The Madness of Crowds 35The Tulip-Bulb Craze 36file:/E|/Unposted/Netlib/A%20Random%20Walk%20Do.3047814/nlReader.dllBookID=32673&FileName=7.html(1 of 3)10/7/2007 12:41:54 AMD

8、ocumentThe South Sea Bubble 39The Florida Real Estate Craze 45Wall Street Lays an Egg 46An Afterword 533.Stock Valuation from the Sixties through the Nineties 55The Sanity of Institutions 55The Soaring Sixties 57The New New Era:The Growth-Stock/New-Issue Craze 57Synergy Generates Energy:The Conglome

9、rate Boom 61Performance Comes to the Market:The Bubble in Concept Stocks 69The Sour Seventies 73The Nifty Fifty 73The Roaring Eighties 76file:/E|/Unposted/Netlib/A%20Random%20Walk%20Do.3047814/nlReader.dllBookID=32673&FileName=7.html(2 of 3)10/7/2007 12:41:54 AMDocumentThe Triumphant Return of New I

10、ssues 76Concepts Conquer Again:The Biotechnology Bubble 78 file:/E|/Unposted/Netlib/A%20Random%20Walk%20Do.3047814/nlReader.dllBookID=32673&FileName=7.html(3 of 3)10/7/2007 12:41:54 AMDocumentPage 8The Chinese Romance with the Lycoris Plant80Some Other Bubbles of the 1980s 81What Does It All Mean?85

11、The Nervy Nineties 85The Japanese Yen for Land and Stocks 85The Internet Craze of the Late 1990s 90A Final Word 944.The Firm-Foundation Theory of Stock Prices 95The Fundamental Determinants of Stock Prices 96Two Important Caveats 103Testing the Rules 106One More Caveat 108Whats Left of the Firm Foun

12、dation?111file:/E|/Unposted/Netlib/A%20Random%20Walk%20Do.3047814/nlReader.dllBookID=32673&FileName=8.html(1 of 3)10/7/2007 12:41:55 AMDocumentPart Two How the Pros Play the Biggest Game in Town 5.Technical and Fundamental Analysis 117Technical versus Fundamental Analysis 118What Can Charts Tell You

13、?119The Rationale for the Charting Method 124Why Might Charting Fail to Work?126From Chartist to Technician 127The Technique of Fundamental Analysis 128Why Might Fundamental Analysis Fail to Work?132Using Fundamental and Technical Analysis Together 1346.Technical Analysis and the Random-Walk Theory

14、138Holes in Their Shoes and Ambiguity in Their Forecasts 138Is There Momentum in the Stock Market?140file:/E|/Unposted/Netlib/A%20Random%20Walk%20Do.3047814/nlReader.dllBookID=32673&FileName=8.html(2 of 3)10/7/2007 12:41:55 AMDocumentJust What Exactly Is a Random Walk?142Some More Elaborate Technica

15、l Systems 145The Filter System 146The Dow Theory 146The Relative-Strength System 147Price-Volume Systems 148Reading Chart Patterns 148Randomness Is Hard to Accept 149A Gaggle of Other Technical Theories to Help You Lose Money 150 file:/E|/Unposted/Netlib/A%20Random%20Walk%20Do.3047814/nlReader.dllBo

16、okID=32673&FileName=8.html(3 of 3)10/7/2007 12:41:55 AMDocumentPage 9The Hemline Indicator151The Super Bowl Indicator153The Odd-Lot Theory153A Few More Systems155Technical Market Gurus155Why Are Technicians Still Hired?159Appraising the Counterattack160Implications for Investors1637.How Good Is Fund

17、amental Analysis?165The Views from Wall Street and Academia166Are Security Analysts Fundamentally Clairvoyant?166Why the Crystal Ball Is Clouded1701.The Influence of Random Events1712.The Creation of Dubious Reported Earnings through Creative Accounting Procedures1723.The Basic Incompetence of Many

18、of the Analysts Themselves1744.The Loss of the Best Analysts to the Sales Desk or to Portfolio Management177file:/E|/Unposted/Netlib/A%20Random%20Walk%20Do.3047814/nlReader.dllBookID=32673&FileName=9.html(1 of 2)10/7/2007 12:41:56 AMDocumentDo Security Analysts Pick Winners?The Performance of the Mu

19、tual Funds178Can Any Fundamental System Pick Winners?186The Verdict on Market Timing187The Semi-strong and Strong Forms of the Random-Walk Theory190The Middle of the Road:A Personal Viewpoint 193Part Three The New Investment Technology 8.A New Walking Shoe:Modern Portfolio Theory199The Role of Risk2

20、00Defining Risk:The Dispersion of Returns201Exhibit201Expected Return and Variance:Measures of Reward and Risk201Documenting Risk:A Long-Run Study204Reducing Risk:Modern Portfolio Theory(MPT)206Diversification in Practice2119.Reaping Reward by Increasing Risk220Beta and Systematic Risk221 file:/E|/U

21、nposted/Netlib/A%20Random%20Walk%20Do.3047814/nlReader.dllBookID=32673&FileName=9.html(2 of 2)10/7/2007 12:41:56 AMDocumentPage 10The Capital-Asset Pricing Model(CAPM)224Lets Look at the Record 229An Appraisal of the Evidence 232The Quant Quest for Better Measures of Risk:Arbitrage Pricing Theory 23

22、4A Summing Up 23710.The Assault on the Random-Walk Theory:Is the Market Predictable after All?240Predictable Patterns in the Behavior of Stock Prices 2421.Stocks Do Sometimes Get on One-Way Streets2432.But Eventually Stock Prices Do Change Direction and Hence Stockholder Returns Tend to Reverse Them

23、selves2443.Stocks Are Subject to Seasonal Moodiness,Especially at the Beginning of the Year and the End of the Week247Predictable Relationships between Certain Fundamental Variables and Future Stock Prices 2491.Smaller Is Often Better2492.Stocks with Low Price-Earnings Multiples Outperform Those wit

24、h High Multiples251file:/E|/Unposted/Netlib/A%20Random%20Walk%20Do.047814/nlReader.dllBookID=32673&FileName=10.html(1 of 3)10/7/2007 12:41:56 AMDocument3.Stocks that Sell at Low Multiples of Their Book Values Tend to Produce Higher Subsequent Returns2534.Higher Initial Dividends and Lower Price-Earn

25、ings Multiples Have Meant Higher Subsequent Returns2545.The Dogs of the Dow Strategy258And the Winner Is.259The Performance of Professional Investors 259Concluding Comments 267Appendix:The Market Crash of October 1987 270Part Four A Practical Guide for Random Walkers and Other Investors 11.A Fitness

26、 Manual for Random Walkers 277Exercise 1:Cover Thyself with Protection 278Exercise 2:Know Your Investment Objectives 281Exercise 3:Dodge Uncle Sam Whenever You Can 289Pension Plans and IRAs 289file:/E|/Unposted/Netlib/A%20Random%20Walk%20Do.047814/nlReader.dllBookID=32673&FileName=10.html(2 of 3)10/

27、7/2007 12:41:56 AMDocumentKeogh Plans 290Roth IRAs 293 file:/E|/Unposted/Netlib/A%20Random%20Walk%20Do.047814/nlReader.dllBookID=32673&FileName=10.html(3 of 3)10/7/2007 12:41:56 AMDocumentPage 11Tax-Deferred Annuities 294Exercise 4:Be Competitive;Let the Yield on Your Cash Reserve Keep Pace with Inf

28、lation295Money-Market Mutual Funds295Money-Market Deposit Accounts297Bank Certificates299Tax-Exempt Money-Market Funds300Exercise 5:Investigate a Promenade through Bond Country301Zero-Coupon Bonds Can Generate Large Future Returns302No-Load Bond Funds Are Appropriate Vehicles for Individual Investor

29、s303Tax-Exempt Bonds Are Useful for High-Bracket Investors305Hot TIPS:Inflation Indexed Bonds307Should You Be a Bond-Market Junkie?309Exercise 6:Begin Your Walk at Your Own Home;Renting Leads to Flabby Investment Muscles310Exercise 7:Beef Up with Real Estate Investment Trusts313Exercise 8:Tiptoe thr

30、ough the Investment Fields of Gold and Collectibles318Exercise 9:Remember that Commission Costs Are Not Random Some Are Cheaper than Others322file:/E|/Unposted/Netlib/A%20Random%20Walk%20Do.047814/nlReader.dllBookID=32673&FileName=11.html(1 of 2)10/7/2007 12:41:57 AMDocumentExercise 10:Diversify You

31、r Investment Steps324A Final Checkup32412.Handicapping the Financial Race:A Primer in Understanding and Projecting Returns from Stocks and Bonds326What Determines the Returns from Stocks and Bonds?326Three Eras of Financial Market Returns331Era I:The Age of Comfort333Era II:The Age of Angst334Era II

32、I:The Age of Exuberance340The Age of the Millennium342Appendix:Projecting Returns for Individual Stocks34713.A Life-Cycle Guide to Investing351Four Asset Allocation Principles3521.Risk and Reward Are Related3522.Your Actual Risk in Stock and Bond Investing Depends on the Length of Time You Hold Your

33、 Investment352 file:/E|/Unposted/Netlib/A%20Random%20Walk%20Do.047814/nlReader.dllBookID=32673&FileName=11.html(2 of 2)10/7/2007 12:41:57 AMDocumentPage 123.Dollar-Cost Averaging Can Reduce the Risks of Investing in Stocks and Bonds 3564.The Risks You Can Afford to Take Depend on Your Total Financia

34、l Situation 360Three Guidelines to Tailoring a Life-Cycle Investment Plan 3621.Specific Needs Require Dedicated Specific Assets 3632.Recognize Your Tolerance for Risk3633.Persistent Savings in Regular Amounts,No Matter How Small,Pays Off367The Life-Cycle Investment Guide36814.Three Giant Steps Down

35、Wall Street372The No-Brainer Step:Investing in Index Funds373The Index Fund Solution:A Summary375A Broader Definition of Indexing 378A Specific Index Fund Portfolio 382The Tax-Managed Index Fund 383The Do-It-Yourself Step:Potentially Useful Stock-Picking Rules 386file:/E|/Unposted/Netlib/A%20Random%

36、20Walk%20Do.047814/nlReader.dllBookID=32673&FileName=12.html(1 of 2)10/7/2007 12:41:58 AMDocumentThe Substitute-Player Step:Hiring a Professional Wall-Street Walker391Risk Level394Unrealized Gains394Expense Ratios395The Morningstar Mutual-Fund Information Service395A Primer on Mutual-Fund Costs398Lo

37、ading Fees399Expense Charges399Comparing Mutual-Fund Costs400The Malkiel Step401A Paradox405Some Last Reflections on Our Walk406A Random Walkers Address Book and Reference Guide to Mutual Funds409Bibliography429Index445 file:/E|/Unposted/Netlib/A%20Random%20Walk%20Do.047814/nlReader.dllBookID=32673&

38、FileName=12.html(2 of 2)10/7/2007 12:41:58 AMDocumentPage 13PREFACEIt has now been close to thirty years since I began writing the first edition of A Random Walk Down Wall Street.The message of the original edition was a very simple one:Investors would be far better off buying and holding an index f

39、und than attempting to buy and sell individual securities or actively managed mutual funds.I boldly stated that buying and holding all the stocks in a broad,stock-market average?as index funds do?was likely to outperform professionally managed funds whose high expense charges and large trading costs

40、 detract substantially from investment returns.Now,some thirty years later,I believe even more strongly in that original thesis,and theres more than a six-figure gain to prove it.The chart on the following page makes the case with great simplicity.It shows how an investor with$10,000 at the start of

41、 1969 would have fared investing in a Standard&Poors 500-Stock Index Fund.For comparison,the results are also plotted for a second investor who instead purchased shares in the average actively managed fund.The difference is dramatic.Through June 30,1998,the index investor was ahead by almost$140,000

42、,with her original$10,000 increasing thirty-one-fold to$311,000.And the index returns were calculated after deducting the typical expenses(2/10 of 1 percent)charged for running an index fund.file:/E|/Unposted/Netlib/A%20Random%20Walk%20Down%.393047814/nlReader.dllBookID=32673&FileName=13.html 10/7/2

43、007 12:41:58 AMDocumentPage 14The Value of$10,000 Invested in 1969Why then a seventh edition of this book?If the basic message hasnt changed,what has?The answer is that there have been enormous changes in the financial instruments available to the public.A book meant to provide a comprehensive inves

44、tment guide for individual investors needs to be updated to cover the full range of investment products available.In addition,investors can benefit from a critical analysis of the wealth of new information provided by academic researchers and market professionals?made comprehensible in prose accessi

45、ble to everyone with an interest in investing.There have been so many bewildering claims about the stock market that its important to have a book that sets the record straight.Over the past quarter century,we have become accustomed to accepting the rapid pace of technological change in our physical

46、environment.Innovations such as cellular and video telephones,cable television,compact discs,microwave ovens,laptop computers,the Internet,e-mail,and new medical advances from organ transplants and laser surgery to nonsurgical methods of treating kidney stones and unclogging arteries have materially

47、 affected the way we live.Financial innovation over the same period has been equally rapid.In 1973,when the file:/E|/Unposted/Netlib/A%20Random%20Walk%20Down%.393047814/nlReader.dllBookID=32673&FileName=14.html 10/7/2007 12:41:58 AMDocumentPage 15first edition of this book appeared,we did not have m

48、oney market funds,NOW accounts,ATMs,index mutual funds,tax-exempt funds,emerging-market funds,floating-rate notes,inflation protection securities,equity REITs,Roth IRAs,zerocoupon bonds,S&P index futures and options,and new trading techniques such as portfolio insurance and program trading,just to m

49、ention a few of the changes that have occurred in the financial environment.Much of the new material in this book has been included to explain these financial innovations and to show how you as a consumer can benefit from them.This edition takes a hard look at the basic thesis of earlier editions of

50、 Random Walk?that the market prices stocks so efficiently that a blindfolded chimpanzee throwing darts at the Wall Street Journal can select a portfolio that performs as well as those managed by the experts.Through the past thirty years that thesis has held up remarkably well.More than two-thirds of