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雷达卡
The Liquidity Theory of Asset Prices
by Gordon Pepper
John Wiley&Sons Ltd,
2006
192 pages
ISBN 13 978-0-470-02739-4(HB)
ISBN 10 0-470-02739-8(HB)
Contents
Foreword by Russell Napier xiii
Acknowledgements xvii
About the Authors xix
List of Tables,Figures and Charts xxiii
Introduction 1
Appetiser 1
Structure of the book 2
Language and jargon 2
Academic theories 3
Modern Portfolio Theory 3
The Efficient Markets Hypothesis 4
Forms of investment analysis 4
Fundamental analysis 4
Monetary analysis 5
Technical analysis 5
The intuitive approach 6
What the book is going to say 6
PART I THE LIQUIDITY THEORY 9
1 Types of Trades in Securities 11
1.1 Liquidity trades and portfolio trades 12
1.2 Information trades and price trades 12viii Contents
1.3‘Efficient prices’12
1.4 Expectations of further rises or falls 13
2 Persistent Liquidity Trades 15
2.1 Demand for money 15
2.1.1 Transactions demand for money 15
2.1.2 Savings demand for money 16
2.1.3 Interest rates and the demand for money 16
2.2 Supply of money 16
2.2.1 Printing-press money 16
2.2.2 Fountain-pen money 17
2.2.3 Interest rates and the supply of money 17
2.3 Monetary imbalances 17
2.4 Excess money in the economy 18
2.5 Summary 19
3 Extrapolative Expectations 21
3.1 Sentiment 21
3.2 Intuition 21
3.3 Decision-taking inertia 22
3.4 Crowds 23
3.5 Fundamental and monetary forces in the same direction 23
4 Discounting Liquidity Transactions 25
4.1 Speculation 26
4.2 Timing 26
4.3 Short-term risk versus profits in the longer term 26
Appendix:Speculation and market patterns 27
5 Cyclical Changes Associated with Business Cycles 37
5.1 Introduction 37
5.2 Direct and indirect effects of money on asset prices 38
5.2.1 Money,business cycles and inflation 38
5.2.2 Business cycles and fundamental factors:
the‘indirect effect’on asset prices 38
5.2.3 The combination of the indirect and direct
effects 39
5.3 Strategy 39
5.4 Timing 40Contents ix
5.5 Sequences 41
5.6 Triggers 42
6 Shifts in the Savings Demand for Money 43
6.1 The peak of a business cycle 43
6.2 Running down bank deposits 44
Appendix 6A:Some bond arithmetic 46
Appendix 6B:Government bond markets 47
PART II FINANCIAL BUBBLES AND DEBT
DEFLATION 49
7 Financial Bubbles 51
7.1 Detection of a bubble 51
7.2 Phases 52
7.2.1 Chronically dangerous 52
7.2.2 The burst 52
7.2.3 Acutely dangerous 52
7.3 Crosschecks 53
8 Debt Deflation 55
8.1 The cure for debt deflation 56
8.1.1 Money supply policy 56
8.1.2 Fiscal policy 57
Appendix:Ignorance of Irving Fisher’s prescription 58
PART III ELABORATION 59
9 Creation of Printing-press Money 61
9.1 The UK in more detail 63
9.2 Four policies 64
10 Control of Fountain-pen Money and the Counterparts
of Broad Money 65
10.1 Control of bank lending 65
10.1.1 The teaching in textbooks 65
10.1.2 How central banks operate in practice 66
10.2 Bank capital 66
10.3 The UK in more detail 67x Contents
10.4 The‘counterparts’of changes in broad money 68
10.5 Relationship between the counterparts 68
11 Modern Portfolio Theory and the Nature of Risk 71
11.1 Summary 71
11.2 Expected yield 72
11.3 Risk 74
11.3.1 Risk and the circumstances of
the investor 77
11.3.2 Variation in risk–life assurance funds 77
11.3.3 Investment managers’personal risk 78
11.3.4 Unacceptable risks 79
11.4 Exploiting skewness 79
12 Technical Analysis and Crowds 81
12.1 Trends and trading ranges 81
12.2 Crowd behaviour 82
12.3 Information 82
12.4 Trends and momentum 83
12.5 Approaching a turning point 83
12.6 Turning points 84
12.7 Further reading 84
13 The Intuitive Approach to Asset Prices 87
13.1 Intuition that is a reflection of monetary forces 87
13.1.1 Biased reaction to news 87
13.1.2 Technical reactions 87
13.1.3 Market-makers 89
13.1.4 Bulls and bears of the core market-makers 89
13.1.5 Summary 91
13.2 Intuition that is not a reflection of monetary forces 91
13.3 Forced selling 92
14 Forms of Analysis 93
14.1 Different languages 93
14.2 Macroeconomic models 93
14.2.1 An hydraulic model 93
14.2.2 Large electronic computer models 94
14.3 Disequilibrium 95
14.4 Intended and actual transactions 96Contents xi
14.5 Accounting identities 96
Appendix:Direct Estimates of Supply and Demand for
Credit in the US 97
PART IV EVIDENCE AND PRACTICAL EXAMPLES 101
15 The UK Markets Prior to 1972 103
15.1 UK money supply and a combined capital market
price index,1950–72 104
15.2 UK money supply and the equity market,1927–72 104
16 The US Equity Market 1960–2002 109
17 Two Forecasts 113
17.1 Health warning 113
17.2 Prediction of the October 1987 crash 113
17.3 Prediction of the top of the US equity market
in April/May 2000 114
17.4 Postscript 116
18 Debt Deflation,Practical Experience 119
18.1 The US in the 1930s 119
18.2 Japan in the 1990s and early 2000s 119
PART V MONITORING DATA 121
19 Monitoring Current Data for the Monetary Aggregates 123
19.1 Erratic data 123
19.2 Which aggregate?123
19.3 A target aggregate 125
19.4 An expert approach 125
19.5 Timing of the availability of data 127
19.5.1 Timing of publication 128
19.5.2 Whiplashes 128
19.6 Understanding the current behaviour of the market 128
Appendix 19A:Monetary targets in the UK 129
Appendix 19B:Distortions to monetary data in the UK 130
Appendix 19C:Velocity of circulation 131
20 Monitoring Data for the Supply of Money 139
20.1 Printing-press money 139
20.2 Fountain-pen money 140xii Contents
20.3 The counterparts of broad money 140
20.4 Forecasts 141
20.5 Management information 141
20.6 Discernible trends 142
20.7 The public sector’s borrowing in foreign currency
and from abroad 142
21 The Different Sectors of the Economy 145
Conclusions 147
Conclusion for industrialists 147
Conclusion for policymakers 147
Conclusions for investors 147
Glossary 149
References 157
Index 159
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