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A.Random.Walk.Down.Wall.Street.pdf

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Document file:///E|/Unposted/Netlib/A%20Random%20Walk%20Down%...047814/nlReader.dll@BookID=32673&FileName=Cover.html [10/7/2007 12:41:52 AM] Document Page 3 A Random Walk Down Wall Street Including A Life-Cycle Guide To Personal Investing Burton G. Malkiel Chemical Bank Chairman's Professor of Economics At Princeton University file:///E|/Unposted/Netlib/A%20Random%20Walk%20Down%...0393047814/nlReader.dll@BookID=32673&FileName=3.html [10/7/2007 12:41:53 AM] Document Page 4 Copyright 1999, 1996, 1990, 1985, 1981, 1975, 1973 by W. W. Norton & Company, Inc. All rights reserved Printed in the United States of America The text of this 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 investing / 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 CIP W. W. Norton & Company, Inc., 500 Fifth Avenue, New York, N.Y. 10110 http://www.wwnorton.com W. W. Norton & Company Ltd., 10 Coptic Street, London WC1A 1PU 2 3 4 5 6 7 8 9 0 file:///E|/Unposted/Netlib/A%20Random%20Walk%20Down%...0393047814/nlReader.dll@BookID=32673&FileName=4.html [10/7/2007 12:41:53 AM] Document Page 5 To Nancy file:///E|/Unposted/Netlib/A%20Random%20Walk%20Down%...0393047814/nlReader.dll@BookID=32673&FileName=5.html [10/7/2007 12:41:54 AM] Document Page 7 CONTENTS Preface 13 Acknowledgments from Earlier Editions 17 Part One Stocks and Their Value 1. Firm Foundations and Castles in the Air 23 What Is a Random Walk? 24 Investing as a Way of Life Today 26 Investing in Theory 28 The Firm-Foundation Theory 29 The Castle-in-the-Air Theory 31 How the Random Walk Is to Be Conducted 33 2. The Madness of Crowds 35 The Tulip-Bulb Craze 36 file:///E|/Unposted/Netlib/A%20Random%20Walk%20Do...3047814/nlReader.dll@BookID=32673&FileName=7.html (1 of 3) [10/7/2007 12:41:54 AM] Document The South Sea Bubble 39 The Florida Real Estate Craze 45 Wall Street Lays an Egg 46 An Afterword 53 3. Stock Valuation from the Sixties through the Nineties 55 The Sanity of Institutions 55 The Soaring Sixties 57 The New "New Era": The Growth-Stock/New-Issue Craze 57 Synergy Generates Energy: The Conglomerate Boom 61 Performance Comes to the Market: The Bubble in Concept Stocks 69 The Sour Seventies 73 The Nifty Fifty 73 The Roaring Eighties 76 file:///E|/Unposted/Netlib/A%20Random%20Walk%20Do...3047814/nlReader.dll@BookID=32673&FileName=7.html (2 of 3) [10/7/2007 12:41:54 AM] Document The Triumphant Return of New Issues 76 Concepts Conquer Again: The Biotechnology Bubble 78 file:///E|/Unposted/Netlib/A%20Random%20Walk%20Do...3047814/nlReader.dll@BookID=32673&FileName=7.html (3 of 3) [10/7/2007 12:41:54 AM] Document Page 8 The Chinese Romance with the Lycoris Plant 80 Some Other Bubbles of the 1980s 81 What Does It All Mean? 85 The Nervy Nineties 85 The Japanese Yen for Land and Stocks 85 The Internet Craze of the Late 1990s 90 A Final Word 94 4. The Firm-Foundation Theory of Stock Prices 95 The "Fundamental" Determinants of Stock Prices 96 Two Important Caveats 103 Testing the Rules 106 One More Caveat 108 What's Left of the Firm Foundation? 111 file:///E|/Unposted/Netlib/A%20Random%20Walk%20Do...3047814/nlReader.dll@BookID=32673&FileName=8.html (1 of 3) [10/7/2007 12:41:55 AM] Document Part Two How the Pros Play the Biggest Game in Town 5. Technical and Fundamental Analysis 117 Technical versus Fundamental Analysis 118 What Can Charts Tell You? 119 The Rationale for the Charting Method 124 Why Might Charting Fail to Work? 126 From Chartist to Technician 127 The Technique of Fundamental Analysis 128 Why Might Fundamental Analysis Fail to Work? 132 Using Fundamental and Technical Analysis Together 134 6. Technical Analysis and the Random-Walk Theory 138 Holes in Their Shoes and Ambiguity in Their Forecasts 138 Is There Momentum in the Stock Market? 140 file:///E|/Unposted/Netlib/A%20Random%20Walk%20Do...3047814/nlReader.dll@BookID=32673&FileName=8.html (2 of 3) [10/7/2007 12:41:55 AM] Document Just What Exactly Is a Random Walk? 142 Some More Elaborate Technical Systems 145 The Filter System 146 The Dow Theory 146 The Relative-Strength System 147 Price-Volume Systems 148 Reading Chart Patterns 148 Randomness Is Hard to Accept 149 A Gaggle of Other Technical Theories to Help You Lose Money 150 file:///E|/Unposted/Netlib/A%20Random%20Walk%20Do...3047814/nlReader.dll@BookID=32673&FileName=8.html (3 of 3) [10/7/2007 12:41:55 AM] Document Page 9 The Hemline Indicator 151 The Super Bowl Indicator 153 The Odd-Lot Theory 153 A Few More Systems 155 Technical Market Gurus 155 Why Are Technicians Still Hired? 159 Appraising the Counterattack 160 Implications for Investors 163 7. How Good Is Fundamental Analysis? 165 The Views from Wall Street and Academia 166 Are Security Analysts Fundamentally Clairvoyant? 166 Why the Crystal Ball Is Clouded 170 1. The Influence of Random Events 171 2. The Creation of Dubious Reported Earnings through "Creative" Accounting Procedures 172 3. The Basic Incompetence of Many of the Analysts Themselves 174 4. The Loss of the Best Analysts to the Sales Desk or to Portfolio Management 177 file:///E|/Unposted/Netlib/A%20Random%20Walk%20Do...3047814/nlReader.dll@BookID=32673&FileName=9.html (1 of 2) [10/7/2007 12:41:56 AM] Document Do Security Analysts Pick Winners? The Performance of the Mutual Funds 178 Can Any Fundamental System Pick Winners? 186 The Verdict on Market Timing 187 The Semi-strong and Strong Forms of the Random-Walk Theory 190 The Middle of the Road: A Personal Viewpoint 193 Part Three The New Investment Technology 8. A New Walking Shoe: Modern Portfolio Theory 199 The Role of Risk 200 Defining Risk: The Dispersion of Returns 201 Exhibit 201 Expected Return and Variance: Measures of Reward and Risk 201 Documenting Risk: A Long-Run Study 204 Reducing Risk: Modern Portfolio Theory (MPT) 206 Diversification in Practice 211 9. Reaping Reward by Increasing Risk 220 Beta and Systematic Risk 221 file:///E|/Unposted/Netlib/A%20Random%20Walk%20Do...3047814/nlReader.dll@BookID=32673&FileName=9.html (2 of 2) [10/7/2007 12:41:56 AM] Document Page 10 The Capital-Asset Pricing Model (CAPM) 224 Let's Look at the Record 229 An Appraisal of the Evidence 232 The Quant Quest for Better Measures of Risk: Arbitrage Pricing Theory 234 A Summing Up 237 10. The Assault on the Random-Walk Theory: Is the Market Predictable after All? 240 Predictable Patterns in the Behavior of Stock Prices 242 1. Stocks Do Sometimes Get on One-Way Streets 243 2. But Eventually Stock Prices Do Change Direction and Hence Stockholder Returns Tend to Reverse Themselves 244 3. Stocks Are Subject to Seasonal Moodiness, Especially at the Beginning of the Year and the End of the Week 247 Predictable Relationships between Certain "Fundamental" Variables and Future Stock Prices 249 1. Smaller Is Often Better 249 2. Stocks with Low Price-Earnings Multiples Outperform Those with High Multiples 251 file:///E|/Unposted/Netlib/A%20Random%20Walk%20Do...047814/nlReader.dll@BookID=32673&FileName=10.html (1 of 3) [10/7/2007 12:41:56 AM] Document 3. Stocks that Sell at Low Multiples of Their Book Values Tend to Produce Higher Subsequent Returns 253 4. Higher Initial Dividends and Lower Price-Earnings Multiples Have Meant Higher Subsequent Returns 254 5. The "Dogs of the Dow" Strategy 258 And the Winner Is . . . 259 The Performance of Professional Investors 259 Concluding Comments 267 Appendix: The Market Crash of October 1987 270 Part Four A Practical Guide for Random Walkers and Other Investors 11. A Fitness Manual for Random Walkers 277 Exercise 1: Cover Thyself with Protection 278 Exercise 2: Know Your Investment Objectives 281 Exercise 3: Dodge Uncle Sam Whenever You Can 289 Pension Plans and IRAs 289 file:///E|/Unposted/Netlib/A%20Random%20Walk%20Do...047814/nlReader.dll@BookID=32673&FileName=10.html (2 of 3) [10/7/2007 12:41:56 AM] Document Keogh Plans 290 Roth IRAs 293 file:///E|/Unposted/Netlib/A%20Random%20Walk%20Do...047814/nlReader.dll@BookID=32673&FileName=10.html (3 of 3) [10/7/2007 12:41:56 AM] Document Page 11 Tax-Deferred Annuities 294 Exercise 4: Be Competitive; Let the Yield on Your Cash Reserve Keep Pace with Inflation 295 Money-Market Mutual Funds 295 Money-Market Deposit Accounts 297 Bank Certificates 299 Tax-Exempt Money-Market Funds 300 Exercise 5: Investigate a Promenade through Bond Country 301 Zero-Coupon Bonds Can Generate Large Future Returns 302 No-Load Bond Funds Are Appropriate Vehicles for Individual Investors 303 Tax-Exempt Bonds Are Useful for High-Bracket Investors 305 Hot TIPS: Inflation Indexed Bonds 307 Should You Be a Bond-Market Junkie? 309 Exercise 6: Begin Your Walk at Your Own Home; Renting Leads to Flabby Investment Muscles 310 Exercise 7: Beef Up with Real Estate Investment Trusts 313 Exercise 8: Tiptoe through the Investment Fields of Gold and Collectibles 318 Exercise 9: Remember that Commission Costs Are Not Random Some Are Cheaper than Others 322 file:///E|/Unposted/Netlib/A%20Random%20Walk%20Do...047814/nlReader.dll@BookID=32673&FileName=11.html (1 of 2) [10/7/2007 12:41:57 AM] Document Exercise 10: Diversify Your Investment Steps 324 A Final Checkup 324 12. Handicapping the Financial Race: A Primer in Understanding and Projecting Returns from Stocks and Bonds 326 What Determines the Returns from Stocks and Bonds? 326 Three Eras of Financial Market Returns 331 Era I: The Age of Comfort 333 Era II: The Age of Angst 334 Era III: The Age of Exuberance 340 The Age of the Millennium 342 Appendix: Projecting Returns for Individual Stocks 347 13. A Life-Cycle Guide to Investing 351 Four Asset Allocation Principles 352 1. Risk and Reward Are Related 352 2. Your Actual Risk in Stock and Bond Investing Depends on the Length of Time You Hold Your Investment 352 file:///E|/Unposted/Netlib/A%20Random%20Walk%20Do...047814/nlReader.dll@BookID=32673&FileName=11.html (2 of 2) [10/7/2007 12:41:57 AM] Document Page 12 3. Dollar-Cost Averaging Can Reduce the Risks of Investing in Stocks and Bonds 356 4. The Risks You Can Afford to Take Depend on Your Total Financial Situation 360 Three Guidelines to Tailoring a Life-Cycle Investment Plan 362 1. Specific Needs Require Dedicated Specific Assets 363 2. Recognize Your Tolerance for Risk 363 3. Persistent Savings in Regular Amounts, No Matter How Small, Pays Off 367 The Life-Cycle Investment Guide 368 14. Three Giant Steps Down Wall Street 372 The No-Brainer Step: Investing in Index Funds 373 The Index Fund Solution: A Summary 375 A Broader Definition of Indexing 378 A Specific Index Fund Portfolio 382 The Tax-Managed Index Fund 383 The Do-It-Yourself Step: Potentially Useful Stock-Picking Rules 386 file:///E|/Unposted/Netlib/A%20Random%20Walk%20Do...047814/nlReader.dll@BookID=32673&FileName=12.html (1 of 2) [10/7/2007 12:41:58 AM] Document The Substitute-Player Step: Hiring a Professional Wall-Street Walker 391 Risk Level 394 Unrealized Gains 394 Expense Ratios 395 The Morningstar Mutual-Fund Information Service 395 A Primer on Mutual-Fund Costs 398 Loading Fees 399 Expense Charges 399 Comparing Mutual-Fund Costs 400 The Malkiel Step 401 A Paradox 405 Some Last Reflections on Our Walk 406 A Random Walker's Address Book and Reference Guide to Mutual Funds 409 Bibliography 429 Index 445 file:///E|/Unposted/Netlib/A%20Random%20Walk%20Do...047814/nlReader.dll@BookID=32673&FileName=12.html (2 of 2) [10/7/2007 12:41:58 AM] Document Page 13 PREFACE It 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 fund 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 detract substantially from investment returns. Now, some thirty years later, I believe even more strongly in that original thesis, and there's 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 1969 would have fared investing in a Standard & Poor's 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, 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.dll@BookID=32673&FileName=13.html [10/7/2007 12:41:58 AM] Document Page 14 The Value of $10,000 Invested in 1969 Why then a seventh edition of this book? If the basic message hasn't 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 investment 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 accessible to everyone with an interest in investing. There have been so many bewildering claims about the stock market that it's 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 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 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.dll@BookID=32673&FileName=14.html [10/7/2007 12:41:58 AM] Document Page 15 first edition of this book appeared, we did not have money 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 mention 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 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 professional portfolio managers have been outperformed by the unmanaged S&P 500-Stock Index. Nevertheless, a number of studies by academics and practitioners, completed during the 1980s and 1990s, have cast doubts on the validity of the theory. And the stock market crash of October 1987 raised further questions concerning the vaunted efficiency of the market. This edition explains the recent controversy and reexamines the claim that it's possible to "beat the market." I conclude that reports of the death of the efficient-market theory are vastly exaggerated. I will, however, review the evidence on a number of techniques of stock selection that are believed to tilt the odds of success in favor of the individual investor. The book remains fundamentally a readable investment guide for individual investors. As I have counseled individuals and families about financial strategy, it has become increasingly clear to me that one's capacity for risk bearing depends importantly upon one's age and ability to earn income from non- investment sources. It is also the case that the risk involved in most investments decreases with the length of time the investment can be held. For these reasons, optimal investment strategies must be age related. Chapter Thirteen, entitled "A Life-Cycle Guide to Investing," should prove very helpful to people of all ages. This chapter alone is worth the cost of a high-priced appointment with a personal financial adviser. Finally, the facts and figures in the book have been completely file:///E|/Unposted/Netlib/A%20Random%20Walk%20Down%...393047814/nlReader.dll@BookID=32673&FileName=15.html [10/7/2007 12:41:59 AM] Document Page 16 revised and updated. I survey the stock and bond markets at the end of the twentieth century and present a set of strategies that should successfully carry investors into the new millennium. My debts of gratitude to those mentioned in earlier editions continue. In addition, I must mention the names of a number of people who were particularly helpful in making special contributions to the seventh edition. These include James Litvack, Gabrielle Napolitano, Abby Joseph Cohen, James Riepe, George Sauter, John Bogle, Leila Heckman, Will McIntosh, Keith Mullins, Jim Troyer, Andrew Engel, Mark Thompson, Steven Goldberg, Willy Spat, and David Twardock. Special thanks go to Walter Lenhard and Andrew Clarke of The Vanguard Group of Investment Companies, who assembled much of the financial data on investment returns used in this edition, and to Shane Antos and Jonathan Curran, who provided indispensable and superb research assistance. Lugene Whitley made extraordinary contributions in transforming various illegible drafts and dictating tapes into readable text. Phyllis Durepos also provided valuable typing assistance. Ed Parsons and Mark Henderson of W. W. Norton provided indispensable assistance in bringing this edition to publication. Patricia Taylor continued her association with the project and made extemely valuable editorial contributions to the seventh edition. My wife, Nancy Weiss Malkiel, made by far the most important contributions to the successful completion of the past three editions. In addition to providing the most loving encouragement and support, she read carefully through various drafts of the manuscript and made innumerable suggestions that clarified and vastly improved the writing. She even corrected several

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