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1、,35,30,2012 年 1 月 3 日中国A 股策略：流动性需要进一步放松(摘要)证券研究报告,流动性不利、基本面日趋疲软尽管政策观点已经出现，但 A 股市场仍然持续疲软，原因是实体经济中的流动性虽在逐步放松但仍然紧张，从而可能防碍了经济基本面的改善。市场可能于明年一季度末/二季度初好转在经历了既长且深的回调之后，短期内市场可能会反弹，但总体仍将延续震荡走势，2012 年一季度末/二季度初可能是略微好转的时间点。届时实体经济中的流动性有望放松至可相对支撑股市的水平。通胀担忧应会基本消除，因此政策调整力度可能会相应加大。从以往经验看，当市场估值降至相对较低水平，且实体经济中的流动性放松到可令
2、经济增速企稳的程度之后，我们才会看到 A 股市场的明显好转，而且一波市场上涨行情往往由相关政策的出台所引发。寻找估值绝对水平低/盈利可预见性高的股票我们仍然看好“消费+估值较低的周期股”的组合，但短期内我们对板块偏好进行微调，目前我们更看好那些估值绝对水平低且盈利可预见性较高的板块。我们建议投资者减持食品饮料板块并转而增持汽车板块，同时重申我们总体上对于中小盘股的谨慎看法。*全文翻译随后提供实体经济中的流动性依然偏紧,王汉锋,Ph.D,CFA+86(10)6627-3318 北京高华证券有限责任公司执业证书编号:S1420510120001刘陈杰+86(10)6627-3324 北京高华证券有
3、限责任公司执业证书编号:S1420511070002,40,(x),CSI300 PE valuation(LHS),(%),14,Weekly turnover rate for A-share,market(RHS)Yields on commercial discount,12,252015105,bills(RHS),10864,02(5),(10),0,Mar-07,Sep-07,Mar-08,Sep-08,Mar-09,Sep-09,Mar-10,Sep-10,Mar-11,Sep-11,资料来源：万得、高华证券研究、高盛全球经济、商品和策略研究北京高华证券有限责任公司及其关联机构
4、与其研究报告所分析的企业存在业务关系，并且继续寻求发展这些关系。因此，投资者应当考虑到本公司可能存在可能影响本报告客观性的利益冲突，不应视本报告为作出投资决策的唯一因素。有关分析师的申明和其他重要信息，见信息披露附录，或请与您的投资代表联系。,北京高华证券有限责任公司,投资研究,2,2012 年 1 月 3 日,中国,Liquidity in the real economy should be loosened furtherThe market expected that Chinas policy shift to a more pro-growth stance would impro
5、ve A-sharesentiment from late October,but this has not been the case.A-share performance has remainedweak since early November 2011,while major global equity markets have climbed close toprevious highs on better-than-expected US macro data and expectations of progress in theresolution of the EU debt
6、 issue.YTD,A-shares significantly underperformed other major worldequity markets.In this report,we update our near-term A-share strategy views and tactically fine-tune our sector allocations based on our 3-month near-term market view.Liquidity in the real economy has been improving.We have seen an a
7、pparent inflection point in Chinas policy stance since mid-October.Sincelate October,the government changed its policy from an inflation-hawkish stance to a balancebetween managing inflation expectations and stabilizing growth.Therefore,the headline inflationyoy is declining and there are more signs
8、 of weaker growth.The pace of bank lending moderatelyincreased and the RRR was cut by 50bps,and we have seen a few other policy adjustments suchas fine-tuning property tightening policies.Liquidity in the real economy has been improving(Exhibit 1)since late October due tomonetary easing,as evidenced
9、 by the decline in yields of commercial discount bills.The yield fellto around 7%by late December 2011 from around 13%in 3Q2011.but still very restrictive growth wiseThe 7%yield of discount bills is much higher than its historical average of 4.2%(Exhibit 2),indicating that businesses could still hav
10、e difficulty securing financing for their operations andcosts are still high.We believe current liquidity in the real economy is not yet supportive to growthstabilization,or even growth recovery.In Exhibit 2,we observe that since 3Q2010,GDPconsistently weakened when the yield of discount bills hover
11、ed above 5%.This means thatcurrent liquidity in the real economy is still restrictive and needs to be loosened further to a moresupportive level to kickstart growth recovery.In late 2008 and mid-2010,GDP growth picked upafter the yield dropped to 4%or lower.Recent capital outflow is exacerbating the
12、 situation as it reduces funds available for lendingin the banking system.Data published by PBoC suggests that funds outstanding in foreignexchange declined by RMB24.9bn in October and RMB27.9bn in November(Exhibit 3).This wasa reversal of the trend,which lasted for years and indicates a net capital
13、 outflow from China in thelast two months.Our estimates based on these numbers suggest that“hot money”outflows couldreach a monthly pace of around RMB180bn(Exhibit 5).We calculate“hot money”as the changein funds outstanding in foreign exchange taken from the trade surplus and foreign directinvestmen
14、ts(FDI)(i.e.,the capital flow not explained by real economic activities).Capital outflows should reduce the funds available for lending in the banking system and thusincrease tightness in liquidity in the real economy if the offsetting policy actions are not carried out.Currently,the loan-to-deposit
15、 ratio for the banking sector increased to 68%(Exhibit 6),a relativelyhigh level since 2005,indicating that liquidity in the banking sector needs loosening to supportmore bank lending.The RRR cut in late November should help alleviate the situation but given the”hot money”flowsare driven by the expe
16、cted RMB exchange rate,and the RMB NDF still predicts a moderate RMBdepreciation(Exhibit 4),capital outflows should continue in the coming months.Consequently,more RRR cuts are necessary to maintain or further loosen liquidity(Exhibit 6).高华证券投资研究,1),2),1),2),3,2012 年 1 月 3 日,中国,Liquidity has not tur
17、ned supportive for A-share market recoveryHistorically,we believe that some general conditions should be met before we see a possibleturnaround of A-share performance.In late 2008 and mid-2010(Exhibit 8),a robust A-sharemarket rally was seen when:Market valuation declines to a very low level.The CSI
18、300 12-m forward PE declined toaround 10 x in late 2008 and mid-2010,a relatively low level vs.the A-share marketshistorical valuation range.A relatively low market valuation should provide downsideprotection to investors and improve future returns as well.Liquidity in the real economy loosens to a
19、level that supports growth recovery.In bothcases,in late 2008 and mid-2010,we saw that the yield of commercial discount bills droppedto below 4%before the A-share market rally began.As we discussed above,relativelyfavorable liquidity in the real economy should stabilize growth and be supportive to t
20、he A-share market.Currently,A-share market valuation has declined to historically low levels,but liquidity in the realeconomy is still tight and could remain restrictive for growth recovery.We do not expect animminent A-share recovery until liquidity is loosened to a sufficiently supportive level(fo
21、r example,the yield of commercial discount bills should decline to around 4%or lower).A-share market sentiment will likely continue to remain weak and we give some examples ofpolicy changes that,so far,have not led to improved expected equity returns:One example has to do with the number of the inve
22、stment accounts with an asset value ofRmb500 thousand or above(we estimate the total asset value under this type of accounts isaround 40%+of the total asset value held by all individual investment accounts),which isimportant when looking at A-share performance(more so than those in smaller accounts)
23、,and historically A-share performance is highly correlated with the total number of theseaccounts(and has no clear correlation with the smaller accounts)(see Exhibit 9).But,in thepast few months,the trend of these accounts indicates that investors are still leaving the A-share market(Exhibit 10).The
24、 number of accounts decreased by more than the marketdeclined in the past year.Another example looks at the rise in block trade volumes in the swift rebound since lateOctober,which indicates that the expected equity return has not improved given Chinaspolicy stance shifts(Exhibit 11/12).Equity holde
25、rs expected equity return has not beenimproved as shareholders seemed to be in a rush to cash out through block trades during therebound,even when the overall market valuation was at a historically low level.Therefore,we believe that low market valuation and a relatively supportive liquidity level f
26、orgrowth in the real economy is necessary for a market turnaround,though we are not certainwhether they are sufficient.Incremental changes on the policy front also seem to trigger A-share turnaround(Exhibit 3).In late 2008,the significant stimulus package announced in earlyNovember 2008 kickstarted
27、the rally,and in mid-2010,the governments quick pace in projectapprovals and strong support for social housing served as the main trigger.高华证券投资研究,Sep09,Sep10,Mar07,Dec07,Mar08,Dec08,Mar09,Dec09,Mar10,Dec10,Mar11,Sep11,Sep07,Sep08,Jun07,Jun08,Jun09,Jun10,Jun11,Jul-03,Jul-04,Jul-05,Jul-06,Jul-07,Jul-
28、08,Jul-09,Jul-10,Dec11,Jan-03,Jan-04,Jan-05,Jan-06,Jan-07,Jan-08,Jan-09,Jan-10,Jan-11,Jul-11,30,14,4,2012 年 1 月 3 日Exhibit 1:Low market valuation and supportive liquidityis necessary for a turnaround in A-share marketperformance,Exhibit 2:Current tight liquidity is still restrictive forgrowth recove
29、ry,中国,40,(x),CSI300 PE valuation(LHS),(%),14,14,(%),Yieldondiscountbills,(%),16,35,Weekly turnover rate for A-sharemarket(RHS),12,12,Averageofyieldondiscountbills,15,Yields on commercial discount,GDPgrowth,quarterly(RHS),2520,bills(RHS),108,108,1312,15,11,105,64,64,109,0(5),2,2,87,(10),0,0,6,Mar-07,
30、Sep-07,Mar-08,Sep-08,Mar-09,Sep-09,Mar-10,Sep-10,Mar-11,Sep-11,Source:Wind,Gao Hua Securities Research,Goldman Sachs Global ECSResearch.Exhibit 3:Liquidity in the real economy has improved butstill very tight as evidenced by the yield of discount bills,Source:Wind,Gao Hua Securities Research,Goldman
31、 Sachs Global ECSResearch.Exhibit 4:Changes in funds outstanding in foreignexchange suggests capital outflows from China in recentmonths,6,0005,500,CSI300index(LHS)Yieldondiscountbills,The,(%),14,700600,(RMB bn),Change in Funds outstanding for foreign exchange,5,0004,5004,000,huge stimuluspackagewas
32、announced,etc,governmentquickenedthepaceofprojectsapprovals,12108,500400300200,3,500,100,3,0002,5002,000,642,0(100)(200),1,5001,000,0,(300),20070316,20080316,20090316,20100316,20110316,Source:Wind,Gao Hua Securities Research,Goldman Sachs Global ECSResearch.高华证券投资研究,Source:Wind,Gao Hua Securities Re
33、search,Goldman Sachs Global ECSResearch.,200911,201003,201007,201011,201103,201107,200511,200603,200607,200611,200703,200707,200711,200803,200807,200811,200903,200507,200907,201111,2,5,2012 年 1 月 3 日Exhibit 5:“Hot money”flows out of China is due tochanged expectations regarding RMB appreciation asim
34、plied by RMB NDF(hot money is the change in fundsoutstanding in foreign exchange not justified by realeconomic activities),中国Exhibit 6:Loan-to-deposit ratio has reached 68%,arelatively high level since 2005,suggesting that the RRRneeds to be cut further to improve liquidity in the bankingsystem,14,(
35、%),RMB appreciation expecationHot Money(RHS),(Rmb 100 mn),5,000,70,Loan/depositratio,12,4,000,69,Loan/depositratio,10,86420-2-4-6Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11,3,0002,0001,0000-1,000-2,000-3,000,686766656463,Source:Wind,Gao Hua Securities Research,Goldman Sachs Global
36、 ECSResearch.Exhibit 7:Capital outflows suggest that RRR cuts arenecessary to maintain or further loosen liquidity in thebanking system,Source:Wind,Gao Hua Securities Research,Goldman Sachs Global ECSResearch.Exhibit 8:Rmb appreciation expectations remainedclosely in line with Chinas equity market p
37、erformance,25,(%,Hot Money(3m moving average,RHS)RRR,(Rmb 100 mn),3,500,14,(%),RMB appreciation expecation,SHCOMP(RHS),(Rmb 100 mn),7,000,3,000,12,6,000,20,2,5002,000,108,5,000,15,1,500,6,4,000,4,1,000,3,000,10,500,0,2,000,0,-2,5,-500-1,000,-4-6,1,0000,Jul-05,Jul-06,Jul-07,Jul-08,Jul-09,Jul-10,Jul-1
38、1,0,-1,500,Jan-03,Jan-04,Jan-05,Jan-06,Jan-07,Jan-08,Jan-09,Jan-10,Jan-11,Source:Wind,Gao Hua Securities Research,Goldman Sachs Global ECSResearch.高华证券投资研究,Source:Wind,Gao Hua Securities Research,Goldman Sachs Global ECSResearch.,200906,200908,200910,200912,201002,201004,201006,201008,201010,201012,
39、201102,201104,201106,201108,201110,6,2012 年 1 月 3 日Exhibit 9:A-share performance has a high correlationwith the number of accounts with asset value of Rmb500thousand or above.,中国Exhibit 10:.but the trend suggests that investors havebeen exiting the A-share market,3,400.03,200.0,ShanghaiComposite(LHS
40、)ThepercentageofaccountswithanassetvalueofRMB500,000orabove,(%),3.53.3,20.0,(mn),ThenumberofinvestmentaccountswithassetvalueatRMB500thoraboveShanghaiComposite(RHS),3,400,3.1,3,000.02,800.02,600.0,2.92.72.52.3,18.016.014.0,3,2003,0002,800,2,600,2,400.0,2.11.9,12.0,2,400,2,200.02,000.0,1.71.5,10.08.0,
41、2,2002,000,Source：Wind,Gao Hua Securities Research,Goldman Sachs Global ECSResearch.Exhibit 11:The rise in block trade volumes since the lateOctober rebound indicates that the expected equityreturn did not improve with policy shifts,Source：Wind,Gao Hua Securities Research,Goldman Sachs Global ECSRes
42、earch.Exhibit 12:Shareholders seemed to be in a rush to cashout during a market rebound,30000,(RMB mn),Block trade volume,SHCOMP(RHS),7,000,2.0,(Rmb bn),Block trade volumeSHCOMP(RHS),2,600,25000,6,000,1.81.6,2,5502,500,20000,5,000,1.4,2,450,15000,4,0003,000,1.21.00.8,2,4002,350,10000,2,000,0.6,2,300
43、,0.4,2,250,5000,1,000,0.2,2,200,0,0,0.0,2,150,Jan-05,Jan-06,Jan-07,Jan-08,Jan-09,Jan-10,Jan-11,2011-9-1,2011-9-16,2011-10-1,2011-10-16,2011-10-31,2011-11-15,2011-11-30,Source：Wind,Gao Hua Securities Research,Goldman Sachs Global ECSResearch.高华证券投资研究,Source：Wind,Gao Hua Securities Research,Goldman Sa
44、chs Global ECSResearch.,1),2),3),7,2012 年 1 月 3 日,中国,Why hasnt the government been more aggressive and faster inloosening liquidity?We believe this is mainly due to inflation concerns.Currently,the yoy inflation rate inNovember was still above 4%,which is still a concern for the government,as eviden
45、ced by thenews coming out of the recent Central Economic Work Conference(CEWC).Although the keytakeaways from the conference were that Chinas macro policy in 2012 should focus onstabilizing growth,they also stressed the importance of a balance between managing inflationexpectations and achieving rea
46、sonable growth.We believe change in China policy is driven by consensus within the government.It takes time forpolicy makers to go from reaching a consensus on fighting inflation to a consensus on stabilizinggrowth.Usually,reported economic indicators convince the divided policy makers(that rangefro
47、m the most dovish to the most hawkish),that a substantial change in policy is required.Also,the idea that slower economic growth vs.past cycles should facilitate an economictransition is starting to prevail among many government officials.This could mean that thegovernment may have increased its tol
48、erance on slower growth(reported by local media,suchas SINA).An increased tolerance for slower economic growth means that a shift to a pro-growthpolicy stance could be gradual.Possible support level at 2,200 for the CSI300,but with a focus onincremental changesGiven that the loosening could be a gra
49、dual process,we think A-share liquidity will not befavorable in the near term.In the meantime,we expect economic growth to continue toweaken with relatively tight liquidity in the real economy and with earnings growth forecastsfacing downward pressure as:Domestic demand,such as property sales will l
50、ikely continue to remain weak and propertyFAI continues to slow down(Exhibit 14).Both property sales and construction are generallyweak in the winter season and potential sluggish numbers would not make a significantmarket impact in the near term;External demand should continue to weaken as suggeste
