【中信证券】美债收益率上行不意味美股下行趋势性拐点出现
目前美债10年期实际利率的阶段性低点很可能在今年初已经出现。预计年底前美债10年期收益率还有30-40bp的上行空间,至1.7%左右。若实际利率相对低点上升50bp,可能导致美股跌幅在5%-12%之间。
▍美债实际利率上行引发海外美股市场尤其是成长股大幅调整。
如何理解和判断美债收益率与美股的相关性,以及美债利率上行对美股风格、大类资产配置的影响,本文将通过拆分美债收益率(实际利率和通胀预期)波动对美股方向和程度影响的量化分析来回答这些问题。
▍历史上美债收益率与美股相关性波动变化。
即使我们只考虑“资产定价锚”的美债实际利率与美股的相关性也并不能得出稳定的相关性关系。因此,我们不能得出近期实际利率上行必然对应美股市场拐点的结论。影响估值和股价的因素较为复杂,并非实际利率单一变量可解释。
▍理论上美债利率上行杀估值,这是近期市场恐慌的原因。
股息贴现率模型估值公式可以提供理论解释。未来美股股价进一步上涨可能更需要盈利/股息增速的提升或风险溢价的大幅回落来实现,而价值股的相对投资价值(因更受益于经济复苏)日益凸现。
▍拆分不同情境下美债收益率与美股相关性及程度。
上述的相关性分析不能解释美债收益率与美股的因果和程度关系。我们根据Johnson(2013)和Jamil(2018)的量化测算结果,分别考虑股市盈利收益率冲击、实际利率和通胀预期冲击三种情景,叠加美股不同估值差异下,美债收益率与美股的相关性及其影响程度。
▍结论:实际利率上行对当前美股构成风险。
1)在美国大规模财政货币政策刺激下,随着疫苗普及加快以及相对有效率提升,我们判断目前美债10年期实际利率的阶段性低点很可能在今年初已经出现。预计年底前美债10年期收益率还有30-40bp的上行空间,至1.7%左右。若实际利率相对低点上升50bp,这将导致美股盈利收益率上升25-60bp,相当于5%-12%的美股跌幅。
2)当前美债收益率上行并不意味着美股下行趋势性拐点出现,未来美股股价进一步上涨仍可能通过股息增长率或者盈利增速上修来对冲估值下滑或风险溢价ERP的再次大幅回落来实现,只不过价值股的股息增长率将更受益于经济复苏,其相对投资价值日益凸现。
3)通胀预期上行的不同阶段美债利率变化对美股的影响截然不同。2020年下半年,美债收益率的上行更多体现在通胀预期上行,当时美股估值整体偏低,美债收益率上行并没有冲击到美股估值,原因在于经济复苏趋势开启。但是,通胀预期上行到一定程度对美股估值的影响也不小(原因在于通胀预期会影响风险溢价),尤其在后期通胀预期上升到一定程度引发美联储收紧货币流动性预期发生改变时。
4)类似上述股票风格变化,欧洲市场价值股占比更高,未来欧股表现可能优于美股,美元指数向上拐点可能尚未到来。
▍风险因素:
疫情反复,全球经济再度下行,实际利率趋势波动下行;美联储货币宽松或收紧超市场预期;经济向好趋势促使风险溢价大幅下降。
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