经济短周期背景下股价波动的行业效应研究
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摘要
本文在对经济周期理论及资产配置研究成果进行综述分析的基础上,基于经济短周期的视角,从总量分析延伸到结构性分析,研究与股价周期波动相关的结构性因子,进而分析在经济短周期的不同阶段的行业效应,提出投资组合的主动型行业配置对策和建议。本文的研究成果可以为社保基金、企业年金、保险公司资产管理等追求长期稳定收益的大型资产投资组合,通过运用对冲工具获取阿尔法收益等投资活动,提供有实践价值的理论探索及实证参考。
由于资本市场对信息反映的高度敏感性,从经济短周期出发对于研究股价波动问题时效性较强,而研究资本市场的周期波动,必须建立在合理界定中国的经济短周期的基础之上。关于经济周期的划分和定位也有许多研究成果。本文借鉴美林投资时钟模型,试图从经济增长和通货膨胀两个维度,对中国的经济短期周期进行划分。经过定性和定量分析,在众多的宏观经济指标中选取宏观经济景气一致指数和CPI的年度累计同比增长率作为划分中国经济短周期和建立中国投资时钟的依据。
在上述基础上,本文对中国资本市场在经济短周期的复苏、繁荣、滞涨、衰退四个阶段的股价指数收益进行了定量分析。在经济周期的扩张阶段,上证综指平均取得了明显的正收益；而在经济周期的收缩阶段,上证综指平均录得明显的负收益,其中滞涨阶段的收益损失最大,与美林模型报告对美国证券市场的研究结论大致吻合。因此推导出两个结论：(1)大部分时间内,中国证券市场作为实体经济的晴雨表的功能仍然存在；(2)从基本面入手分析经济周期及所处的不同阶段,以及行业周期波动与宏观周期波动的差异,有助于在周期波动中获取较好的投资收益。
关于股价波动和宏观经济指标的相关性分析,已有大量学者进行了研究,结论也众说纷纭。尽管股价波动和宏观指标之间不一定存在直接的因果关系,但宏观经济指标和股价波动拥有共同主要驱动因素即实体经济,因此股票市场和宏观指标在方向上大致可以相互验证。从巴菲特的成功投资经验看出,立足于微观倾向的结构性因子的分析而非局限于总量经济指标,对提升投资绩效更有效。因此,本文对传统的股价定价理论和现代投资理论进行了综述分析后,从经典的股票定价模型出发,认为决定股价的重要因素来自企业盈利、盈利的成长性,以及市场的要求回报率。
本文所指的行业效应,定义为在股价波动过程中,每个行业的股价或代表性的行业指数波动与整体股价指数波动的不一致性和非同步性。为进一步研究经济周期下的行业效应,本文以上市公司为样本对的2000年以来的基本面数据,进行了定性和定量分析,从行业和公司的成长性、盈利能力、估值波动三个角度进行分析,筛选有价值的结构性因子。经过研究分析,认为盈利指标方面,上市公司归属于母公司股东净利润增长率、金融行业的ROE或非金融行业的EBIT/IC;估值指标方面,市净率PB等指标可是与股价周期波动最具相关性的结构性因子。
本文经过大量的数据梳理和计算,对经济周期的复苏、繁荣、滞涨、衰退四个阶段中的行业指数表现进行了实证分析。得出每个阶段表现突出,能获取明显超额收益的行业,并据此画出中国权益类市场行业配置的投资时钟图。结合之前分析的股价波动的结构性因子,本文对在经济周期不同阶段表现突出的行业进行了进一步分析,其中,以金融、地产、食品饮料行业作为跨越周期的代表性行业；医药生物、商品贸易等作为中后周期的代表性行业；交运设备、建筑建材等作为中早周期的代表性行业。分析认为,估值因子是影响上述超额收益行业的首要驱动因素,而盈利能力的提升对超额收益的持续性有很强的影响；盈利增长因子对短期超额收益有显著影响,对长期超额收益的影响不及估值和盈利能力因子。
由于本文借鉴了美林模型建立了分析框架,而美林模型是基于美国的经济结构和经济周期特点而展开的,因此,本文分析了中美两国在经济结构和周期波动方面的差异,根据中国经济的特殊性,分析了中国资本市场行业轮动的逻辑和行业效应的基本面因素。进而,对如何在中国资本市场进行主动型行业配置,从而提升投资组合的绩效,提出了对策和建议。
对策结论是：复苏阶段的优先配置行业为房地产、金融服务、交运设备(汽车)等；繁荣阶段的优先配置行业为采掘、黑色金属、机械设备等；滞涨阶段的优先配置行业为食品饮料、纺织服装、商业贸易等；衰退阶段的优先配置行业为医药生物、食品饮料和公用事业等。金融、房地产、食品饮料、医药生物等行业在将来的相当长时间内具备中长期战略配置的价值。
总之,实体经济基本面的结构性因子的影响和行业效应的存在,会使行业指数波动与整体股价波动产生差异,从而使获取超额收益成为可能。本文的研究为权益类投资的主动型行业配置和长期整体绩效的提升提供了理论和实证的参考依据。
Based on the study of economic cycle theory and research results of asset allocation, in the perspective of short economic cycle, the paper extends from total analysis to structural analysis, to research stock cycle related structural factors, then analyzes the Sector effect in various stages of short economic cycle, so as to put forward countermeasures and Suggestions on the construction of effective investment portfolio through active sector allocation. The research achievements of this paper can favor managers of large capital investment portfolio, such as the social security fund, enterprise annuity, the insurance asset management companies which are pursuing long-term and stable earnings, through the use of hedging tools for generating alpha gains and other investment activities, and can provide a valuable theoretical exploration and empirical practice reference.
Due to the high reflect sensitivity of the capital market to information embarking from the short economic cycle, it is more effective to begin with the study of the short economic cycle and the relations to the capital market cycle. Therefore a reasonable definition must be based on China's short economic cycle. About the division of economic cycle and the location there are a lot of research results. This paper uses Merrill Lynch investment clock model as reference, defines the short cycle of China's economy from two dimensions of economic growth and inflation. Through qualitative and quantitative analysis, in numerous macroeconomic indicators selected annual cumulative of coincident macro-economic prosperity index and the CPI growth at an annual rate as a division of China's economy of short cycle and establish the basis of Chinese investment clock.
On the basis of the above, this article carried out a quantitative analysis of the stock index returns on China's capital market in the four stages of recovery, prosperity, stagnation and recession of economic cycle. In the expansion phase of economic cycle the Shanghai composite index average achieved obvious benefits; In contractive stage of economic cycle, the Shanghai composite index average gains obvious negative earnings, including the biggest loss in stagnation stage. The research conclusion is roughly consistent with the model of Merrill Lynch report based on the securities market of the Unite States. Therefore two conclusions are deduced:(1) most of the time, function of China's securities market as a barometer of real economy still exists;(2), from the perspective of the fundamental analysis of the economic cycle and its different stages, as well as the differences of industry cycle and macroeconomic cycle, the research helps to get a better return on investment in the cycle.
About stock price fluctuation and correlation analysis of macroeconomic indicators, there are a large number of scholars studied and the conclusions are debated. Although the stock price volatility and macro indicators do not have direct causal relationship between them, the macroeconomic indicators and stock price fluctuations have a common primary driver, the real economy, so the stock market and macroeconomic indicators can be roughly mutual authenticated on the direction. From successful investment experience of Warren Buffett, we can see that it is more effective to improve investment performance, based on the microcosmic tendency analysis of structural factor, not limited to the total economic indicators. Therefore, in this paper, the traditional stock pricing theory and the modern investment theory were summarized after the analysis, starting from the classic stock pricing model, we conclude that important factors deciding the value and finally the price of stock are earnings, profitability, growth, and the market's required rate of return.
The sector effects referred to in this article is defined as the volatility inconsistencies and non-synchronicity between the price fluctuation of stock or representative sector indexes and the overall stock index in the process of stock price volatility. To further study on sector effects under the economic cycle, this paper takes listed companies as samples on the fundamentals of data since2000, has carried on the qualitative and quantitative analysis, from the perspective of industry and company growth, profitability and valuation volatility analysis and screened valuable structural factors. Through research and analysis, it is regarded that profit indicators including attributable to the parent company shareholders of listed companies net profit growth rate, the financial industry's ROE or non-financial EBIT/IC; Valuation metrics including price-to-book ratio (PB) are of the most value in the correlation of structural factors.
By combing and calculation, through a large amount of data about the four stages of the economic cycle such as recovery, prosperity, stagnation and recession of the industry, this paper makes an empirical analysis of the performance of industry index and selects the sectors which can obtain obvious excess returns at each stage, and accordingly draw the Chinese equity market investment clock picture of sector allocation. Combined with previous analysis in this paper of structural factor of stock price volatility, those sectors which performed very well in the different stages in the economic cycle are further analyzed, among them, finance, real estate, food and beverage industry are the representative industry across the cycle; Medicine and biology, commodity trade, etc. are the representation of the later-cycle industry. Valuation factor is the first driving factor of excess earnings, and the profit ability improving has a strong influence of excess returns; Earnings growth factors have significant effects on short-term excess returns, but weaker in the long-term effects than valuation and profit ability factor.
The Merrill Lynch model which this paper learned from is based on the characteristics of the economic structure and economic cycle of U.S., therefore, this paper analyzes the Sino-US differences in economic structure and the cycle, according to the particularity of China's economy, analyzes the effects of sector rotating in China's capital market. Thus, put forward the countermeasure and suggestion on how to configure active sector allocation in China's capital market, so as to improve portfolio performance.
Countermeasures conclusion is that, in the recovery phase the preferred configuration is real estate, financial services, transportation equipment (cars), etc.; in the prosperity stage, the preferred configuration is the mining industry, black metals, machinery and equipment, etc.; in the stagflation phase the preferred configuration is the food and beverage, textile and garment industry, commerce and trade, etc.; in the recession phase the preferred configuration is biological medicine, food and beverage industry and public utilities, etc. The financial, real estate, food and beverage, medicine and biology etc. are with the value of the long-term strategic allocation.
All in all, the differences between structural factor of fundamentals of real economy and the influence of sector effect, cause the differences between industry index fluctuation and the overall share price volatility and thus make it possible to take the excess yield. The research of this paper provides theoretical and empirical references for the active sector allocation strategy.
由于资本市场对信息反映的高度敏感性,从经济短周期出发对于研究股价波动问题时效性较强,而研究资本市场的周期波动,必须建立在合理界定中国的经济短周期的基础之上。关于经济周期的划分和定位也有许多研究成果。本文借鉴美林投资时钟模型,试图从经济增长和通货膨胀两个维度,对中国的经济短期周期进行划分。经过定性和定量分析,在众多的宏观经济指标中选取宏观经济景气一致指数和CPI的年度累计同比增长率作为划分中国经济短周期和建立中国投资时钟的依据。
在上述基础上,本文对中国资本市场在经济短周期的复苏、繁荣、滞涨、衰退四个阶段的股价指数收益进行了定量分析。在经济周期的扩张阶段,上证综指平均取得了明显的正收益；而在经济周期的收缩阶段,上证综指平均录得明显的负收益,其中滞涨阶段的收益损失最大,与美林模型报告对美国证券市场的研究结论大致吻合。因此推导出两个结论：(1)大部分时间内,中国证券市场作为实体经济的晴雨表的功能仍然存在；(2)从基本面入手分析经济周期及所处的不同阶段,以及行业周期波动与宏观周期波动的差异,有助于在周期波动中获取较好的投资收益。
关于股价波动和宏观经济指标的相关性分析,已有大量学者进行了研究,结论也众说纷纭。尽管股价波动和宏观指标之间不一定存在直接的因果关系,但宏观经济指标和股价波动拥有共同主要驱动因素即实体经济,因此股票市场和宏观指标在方向上大致可以相互验证。从巴菲特的成功投资经验看出,立足于微观倾向的结构性因子的分析而非局限于总量经济指标,对提升投资绩效更有效。因此,本文对传统的股价定价理论和现代投资理论进行了综述分析后,从经典的股票定价模型出发,认为决定股价的重要因素来自企业盈利、盈利的成长性,以及市场的要求回报率。
本文所指的行业效应,定义为在股价波动过程中,每个行业的股价或代表性的行业指数波动与整体股价指数波动的不一致性和非同步性。为进一步研究经济周期下的行业效应,本文以上市公司为样本对的2000年以来的基本面数据,进行了定性和定量分析,从行业和公司的成长性、盈利能力、估值波动三个角度进行分析,筛选有价值的结构性因子。经过研究分析,认为盈利指标方面,上市公司归属于母公司股东净利润增长率、金融行业的ROE或非金融行业的EBIT/IC;估值指标方面,市净率PB等指标可是与股价周期波动最具相关性的结构性因子。
本文经过大量的数据梳理和计算,对经济周期的复苏、繁荣、滞涨、衰退四个阶段中的行业指数表现进行了实证分析。得出每个阶段表现突出,能获取明显超额收益的行业,并据此画出中国权益类市场行业配置的投资时钟图。结合之前分析的股价波动的结构性因子,本文对在经济周期不同阶段表现突出的行业进行了进一步分析,其中,以金融、地产、食品饮料行业作为跨越周期的代表性行业；医药生物、商品贸易等作为中后周期的代表性行业；交运设备、建筑建材等作为中早周期的代表性行业。分析认为,估值因子是影响上述超额收益行业的首要驱动因素,而盈利能力的提升对超额收益的持续性有很强的影响；盈利增长因子对短期超额收益有显著影响,对长期超额收益的影响不及估值和盈利能力因子。
由于本文借鉴了美林模型建立了分析框架,而美林模型是基于美国的经济结构和经济周期特点而展开的,因此,本文分析了中美两国在经济结构和周期波动方面的差异,根据中国经济的特殊性,分析了中国资本市场行业轮动的逻辑和行业效应的基本面因素。进而,对如何在中国资本市场进行主动型行业配置,从而提升投资组合的绩效,提出了对策和建议。
对策结论是：复苏阶段的优先配置行业为房地产、金融服务、交运设备(汽车)等；繁荣阶段的优先配置行业为采掘、黑色金属、机械设备等；滞涨阶段的优先配置行业为食品饮料、纺织服装、商业贸易等；衰退阶段的优先配置行业为医药生物、食品饮料和公用事业等。金融、房地产、食品饮料、医药生物等行业在将来的相当长时间内具备中长期战略配置的价值。
总之,实体经济基本面的结构性因子的影响和行业效应的存在,会使行业指数波动与整体股价波动产生差异,从而使获取超额收益成为可能。本文的研究为权益类投资的主动型行业配置和长期整体绩效的提升提供了理论和实证的参考依据。
Based on the study of economic cycle theory and research results of asset allocation, in the perspective of short economic cycle, the paper extends from total analysis to structural analysis, to research stock cycle related structural factors, then analyzes the Sector effect in various stages of short economic cycle, so as to put forward countermeasures and Suggestions on the construction of effective investment portfolio through active sector allocation. The research achievements of this paper can favor managers of large capital investment portfolio, such as the social security fund, enterprise annuity, the insurance asset management companies which are pursuing long-term and stable earnings, through the use of hedging tools for generating alpha gains and other investment activities, and can provide a valuable theoretical exploration and empirical practice reference.
Due to the high reflect sensitivity of the capital market to information embarking from the short economic cycle, it is more effective to begin with the study of the short economic cycle and the relations to the capital market cycle. Therefore a reasonable definition must be based on China's short economic cycle. About the division of economic cycle and the location there are a lot of research results. This paper uses Merrill Lynch investment clock model as reference, defines the short cycle of China's economy from two dimensions of economic growth and inflation. Through qualitative and quantitative analysis, in numerous macroeconomic indicators selected annual cumulative of coincident macro-economic prosperity index and the CPI growth at an annual rate as a division of China's economy of short cycle and establish the basis of Chinese investment clock.
On the basis of the above, this article carried out a quantitative analysis of the stock index returns on China's capital market in the four stages of recovery, prosperity, stagnation and recession of economic cycle. In the expansion phase of economic cycle the Shanghai composite index average achieved obvious benefits; In contractive stage of economic cycle, the Shanghai composite index average gains obvious negative earnings, including the biggest loss in stagnation stage. The research conclusion is roughly consistent with the model of Merrill Lynch report based on the securities market of the Unite States. Therefore two conclusions are deduced:(1) most of the time, function of China's securities market as a barometer of real economy still exists;(2), from the perspective of the fundamental analysis of the economic cycle and its different stages, as well as the differences of industry cycle and macroeconomic cycle, the research helps to get a better return on investment in the cycle.
About stock price fluctuation and correlation analysis of macroeconomic indicators, there are a large number of scholars studied and the conclusions are debated. Although the stock price volatility and macro indicators do not have direct causal relationship between them, the macroeconomic indicators and stock price fluctuations have a common primary driver, the real economy, so the stock market and macroeconomic indicators can be roughly mutual authenticated on the direction. From successful investment experience of Warren Buffett, we can see that it is more effective to improve investment performance, based on the microcosmic tendency analysis of structural factor, not limited to the total economic indicators. Therefore, in this paper, the traditional stock pricing theory and the modern investment theory were summarized after the analysis, starting from the classic stock pricing model, we conclude that important factors deciding the value and finally the price of stock are earnings, profitability, growth, and the market's required rate of return.
The sector effects referred to in this article is defined as the volatility inconsistencies and non-synchronicity between the price fluctuation of stock or representative sector indexes and the overall stock index in the process of stock price volatility. To further study on sector effects under the economic cycle, this paper takes listed companies as samples on the fundamentals of data since2000, has carried on the qualitative and quantitative analysis, from the perspective of industry and company growth, profitability and valuation volatility analysis and screened valuable structural factors. Through research and analysis, it is regarded that profit indicators including attributable to the parent company shareholders of listed companies net profit growth rate, the financial industry's ROE or non-financial EBIT/IC; Valuation metrics including price-to-book ratio (PB) are of the most value in the correlation of structural factors.
By combing and calculation, through a large amount of data about the four stages of the economic cycle such as recovery, prosperity, stagnation and recession of the industry, this paper makes an empirical analysis of the performance of industry index and selects the sectors which can obtain obvious excess returns at each stage, and accordingly draw the Chinese equity market investment clock picture of sector allocation. Combined with previous analysis in this paper of structural factor of stock price volatility, those sectors which performed very well in the different stages in the economic cycle are further analyzed, among them, finance, real estate, food and beverage industry are the representative industry across the cycle; Medicine and biology, commodity trade, etc. are the representation of the later-cycle industry. Valuation factor is the first driving factor of excess earnings, and the profit ability improving has a strong influence of excess returns; Earnings growth factors have significant effects on short-term excess returns, but weaker in the long-term effects than valuation and profit ability factor.
The Merrill Lynch model which this paper learned from is based on the characteristics of the economic structure and economic cycle of U.S., therefore, this paper analyzes the Sino-US differences in economic structure and the cycle, according to the particularity of China's economy, analyzes the effects of sector rotating in China's capital market. Thus, put forward the countermeasure and suggestion on how to configure active sector allocation in China's capital market, so as to improve portfolio performance.
Countermeasures conclusion is that, in the recovery phase the preferred configuration is real estate, financial services, transportation equipment (cars), etc.; in the prosperity stage, the preferred configuration is the mining industry, black metals, machinery and equipment, etc.; in the stagflation phase the preferred configuration is the food and beverage, textile and garment industry, commerce and trade, etc.; in the recession phase the preferred configuration is biological medicine, food and beverage industry and public utilities, etc. The financial, real estate, food and beverage, medicine and biology etc. are with the value of the long-term strategic allocation.
All in all, the differences between structural factor of fundamentals of real economy and the influence of sector effect, cause the differences between industry index fluctuation and the overall share price volatility and thus make it possible to take the excess yield. The research of this paper provides theoretical and empirical references for the active sector allocation strategy.
引文
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