Page 30 - CCFA Journal - Third Issue

加中金融
Investment Forum 投资论坛
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，则日益凸现。
美债收益率常被作为各类资产估值的无风险贴现率，美债
利率上行意味着杀估值，这也是近期美债收益率上行引发
全球市场恐慌的原因。美债收益率与美股的相关性很大程
度上取决于外生冲击是源自股市还是债市。一般情况下，
当股市调整触发的冲击，对应着资金流入避险和安全资产，
利好债市，此时美股和美债收益率呈现正相关，也就是美
股和美债市场负相关。而当市场冲击源自债市时，则多表
现为美股与美债收益率负相关，也就是美股和美债市场正
相关，原因在于利率上行抬升估值贴现率或资金成本，导
致股市调整。
回顾历史，美债利率加速上行期间，全球的风险资产短期
波动往往加大，特别是当资产价格估值处于高位的时候。
但不同的市场环境下，市场调整的幅度和持续性，需要结
合市场基本面所处阶段与估值水平具体来分析。
如果股市基本面向上趋势依然较强，美债长端利率上升更
多带来波动加剧而非趋势性下跌，比如2013年年中“钱荒”
下的 A 股创业板和“削减恐慌”下的美股，以及 2016 年
“特朗普交易”时期的全球股市。另外，若经济与市场基
本面趋势已经基本见顶，则流动性收紧则可能引发更大的
趋势性的冲击：比如 2018 年 2 月的 A 股和新兴市场以及
2018 年四季度的美股。第三，股市估值越高对流动性预期
的扰动变化越敏感，比如2013年年中估值不贵的美股仅小
幅调整约 5%，而 2018 年 2 月和四季度估值已经处于绝对
高位的美股大幅下跌近 20%。美债长端利率回升阶段，市
场风格特征明显：大宗商品跑赢权益，价值股跑赢成长股。
小盘股跑赢大盘股。
CCFA JOURNAL OF FINANCE
Page 30
加中金融
In theory, rising US bond interest rates caused the recent market
panic. Further rise in US stock prices in the future may require
either an increase in earnings/dividend growth or a sharp drop
in the risk premium to achieve. The relative investment
attraction of value stocks, which benefit from economic
recovery, will become increasingly prominent.
US bond yields are often used as the risk-free discount rate for
various asset valuations. This is also the reason why the recent
rise in US Treasury yields has triggered panic in the global
market. The correlation between US bond yields and US stocks
largely depends on whether the exogenous shock comes from
the stock market or the bond market. Under normal
circumstances, while the shock triggered by the stock market
adjustment corresponds to the inflow of funds into hedging and
safe assets, it is good for the bond market. In this case, the
returns of US stocks and the yields of US bonds are positively
correlated, that is, the US stocks and the US bond market are
negatively correlated. When the market shock comes from the
bond market, it is mostly manifested as a negative correlation
between the performance of US stocks and US bond yields, that
is, a positive correlation between US stocks and the US bond
market. In this case, the rising interest rates raises the valuation
discount rate or the cost of capital, leading to stock market
adjustments.
The history told us that, during the stage of the accelerated
upward trend of US bond interest rates, short-term volatility in
risky assets around the world tends to increase, especially when
risky assets’ price valuations are at a high level. However, under
different market environments, the magnitude and lasting
period of market adjustments need to be specifically analyzed
in light of the stage of market fundamentals and the level of
valuation. If the stock market’s fundamental maintains a strong
upward trend, the rise in long-term interest rates of US debt will
increase volatility rather than reverse the trend, such as the A-
share ChiNext under the “liquidity squeezing” and the US
stocks under “debt reduction” in mid-2013, and global stock
markets during the “Trump trade” in 2016. On the other hand,
if the economic and market fundamental trends have basically
peaked, the tightening of liquidity may trigger a larger trend
reversal impact such as the A-shares and emerging markets in
February 2018 and the US stocks in the fourth quarter of 2018.
Thirdly, the higher the stock market valuation, the more
sensitive it is related to changes in liquidity expectations. For
example, US stocks in mid-2013 only slightly adjusted by about
5% when their valuations were not expensive. When their
valuations in February and the fourth quarter of 2018 reached
at high levels, US stocks fell nearly 20%. During the period
when US long-term interest rates rose, the market style show
clear features: commodities favoring over equities, value stocks
outperforming growth stocks, small-cap stocks beating large-
cap stocks in US.
MARCH 2021