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1、,高盛国际,高盛国际,2010 年 9 月 8 日成长型股票的价值研究报告,市场青睐收入高速增长的公司.我们来看看市场愿意为那些高速增长的公司支付多少溢价，并与过去的情形进行对比，从中了解我们是不是没有对增长予以充分重视？我们发现，相对于低增长公司，那些收入增速很快（至少为 8%）的公司通常享有较高的估值倍数事实上过去也是如此。.而非那些拥有 EBITDA 或每股盈利迅速增长的公司然而，市场也不是认可所有类型的高增长股票，在过去，那些 EBITDA 或每股盈利增幅较高（至少为 15%）的公司往往比那些盈利表现平平的公司拥有高得多的估值倍数，但如今，二者已大致相同。市场风险溢价的下降将提高高增长
2、股票的溢价在我们看来，不愿意为高增长支付溢价（除非这种增长非常明显或主要为收入所推动）可归结于避险意愿的升温。根据我们的估测，当前市场所隐含的风险溢价约为 6.8%，意味着市场对未来盈利或现金流使用了相对较高的贴现率。我们预计2011 年市场风险溢价将温和下行，这应有助于高增长和低增长型股票估值的分化。我们建议买入稳定成长型股票组合我们认为买入高增长和稳定增长股票是投资这一题材的良好途径，尤其是在当下,Sharon Bell,CFA+44(20)7552-1341 彼得欧品海默+44(20)7552-5782 高盛国际Christian Mueller-Glissmann,CFA+44(20)
3、7774-1714 christian.mueller-高盛国际Gerald Moser+44(20)7774-5725 Anders Nielsen+44(20)7552-3000 高盛国际Matthieu Walterspiler+44(20)7552-3403 高盛国际,宏观经济充满不确定性的时候。今年迄今，我们的稳定成长型组合(GSSTGRTH)较泛欧道琼斯 600 指数上涨了 15%，而且其表现相当稳定尽管最近几个月市场频频波动。该组合的市盈率溢价目前升至 11%，但我们预计这种重估势头将持续，直到进一步进入历史溢价区间（较市场均值溢价 10-30%左右）。该组合还具有相对的防御性，
4、其贝塔系数约为 0.9。高盛集团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，见本报告最后部分。其他重要信息披露见分析师申明之后部分，或参阅 FINRA 的注册/合格研究分析师。,高盛集团,高盛全球经济、商品和策略研究,2,2010 年 9 月 8 日,欧洲：投资组合策略,The value of growthThe way companies are valued,and especially those that could be categoriz
5、ed as growth stocks,has changed considerably in the last few years.Companies that historically would have traded ona high multiple to the market because of their above-market EBITDA or earnings growth rates areno longer attracting much or any premium.Even stocks with a good track record are not rece
6、ivingthe same premiums as in the past.We find this is largely a function of heightened risk aversion.The cost of equity,the rate by whichinvestors discount future earnings,is high at the moment(the European ERP alone is 6.8%onour estimates).A high cost of equity is much more damaging to growth compa
7、nies as a higherproportion of their earnings and cash flows are in the future and are therefore being discountedback at punitively high rates.The relationship between the premium paid for growth stocks andour estimate for the cost of equity has been very strong over time.But this also represents ame
8、dium-term opportunity;as the risk premium comes down something we expect to happengradually in 2011 and beyond as economies recover and banks start to lend again the premiumfor growth stocks should rise again.There is one caveat to all this;stocks with exceptionally high sales growth are still on a
9、premium.Despite the high level of risk aversion top-line growth is still favoured by investors.Maybe this is afunction of the perceived lack of available top-line growth in many of the largest sectors acrossEurope:banks,telecos,utilities,healthcare,and insurance.Our basket of Stable growers is still
10、 close to the bottom of therange on relative valuationOur Stable growers basket(GSSTGRTH)has performed well this year,up 15%year-to-dateversus the SXXP,but the premium investors pay for this basket is still relatively modest versushistory.Despite the high and stable growth characteristics of the sto
11、cks in the basket the marketappears unwilling to put them on a high premium.Exhibit 1:Stable growth companies have performed consistently well through the year so farBased on our tradable basket Bloomberg ticker(GSSTGRTH)120115110105,10095,GSSTGRTH vs.SXXP,Jan-10,Feb-10 Mar-10,Apr-10,May-10,Jun-10,J
12、ul-10,Aug-10,Sep-10,Source:Bloomberg,Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究,9,3,2010 年 9 月 8 日,欧洲：投资组合策略We define stable growth stocks as those that have and can deliver steady growth and returnsover a medium-term horizon.We screen for companies with a high ratio of sales and earningsgrowt
13、h compared to the variability of that growth,and a high level of return on equity compared tothe variability of that return.To avoid capturing purely cyclical effects,we use both growth andreturn metrics from 2002 to 2011E;a 10-year period we hope captures both upturns anddownturns in the cycle.We h
14、ave been recommending this basket as a Long versus the marketsince July.See Strategy Expresso:Stable Growers,Buy Stable Growers(GSSTGRTH),July 15,2010.The basket has typically traded on a 10%-30%premium to the market no surprise,given thatthese are stable growth companies,but in last years rally tha
15、t premium was eroded.Investorsmoved into more operationally or financially geared companies(less stable)as expectations foreconomic growth moved up rapidly.The recent outperformance has now pushed the valuation ofthe basket up into the lower end of the historical range,which is certainly the directi
16、on we wouldbe wishing to see,but the stocks are still only on a premium of 11%to the market on a forwardP/E basis(Exhibit 2).The constituents for our basket are shown in the appendix on page 13.The average top-linegrowth rate achieved/expected for these companies between 2002 and 2011E is 12%pa with
17、average earnings growth over the same period of 14%and average ROE of 18%.And of coursebased on our selection criteria these growth rates have been achieved relatively consistently overtime by these stocks.Its surprising therefore that the rating for the companies is only modestlyabove the average r
18、ating for stocks in the market.Why is there a lack of premium for growthcompanies?And moreover is this lack of premium broad based across the market?Exhibit 2:12-month forward P/E for the Stable Growth basket and the Stoxx EuropeConsensus estimates211917151311,7,GSSTGRTH,Stoxx Europe 600,Dec-05,Jun-
19、06,Dec-06,Jun-07,Dec-07,Jun-08,Dec-08,Jun-09,Dec-09,Jun-10,Source:Bloomberg,I/B/E/S,Datastream,Worldscope,Goldman Sachs Global ECS Research.How much people pay for growthIn Exhibit 3 we show the amount investors are paying on average for companies that fall intodifferent bands based consensus sales
20、growth forecasts for 2012.Unlike our stable growthselection discussed above we have not done additional screens on the stability of this growth wehave merely divided companies up by growth itself.Weve used 2012 as this is the third forecastyear and we hope that by using this year we will have elimin
21、ated some of the catch-up,or bounce高盛全球经济、商品和策略研究,4,2010 年 9 月 8 日,欧洲：投资组合策略back,growth you are still likely to see in 2010 and 2011 in other words we are looking for theunderlying top-line growth rates of the companies.Exhibit 3:Investors are paying 13-15x P/E for the highest growth companiesSTOXX
22、Europe companies,200180160140,15141312,120100806040200,Number of companiesFY2 P/E(RHS),11109876,-100%-0%,0%-2%,2%-4%4%-6%6%-8%8%-10%10%-12%growth in sales in Year 3(2012 versus 2011),12%-100%,Source:I/B/E/S,Datastream,Goldman Sachs Global ECS Research.Those companies expected to grow sales by 10%or
23、more are typically trading on a P/E of 13-15xwhereas those with no growth or negative growth are on average on a P/E of 9-10 x.The bars onthe chart show the number of companies in each band;unsurprisingly the majority fall in thebands from 2%to 8%sales growth.But is this type of pattern similar to t
24、he past?We took historical constituents for the STOXX 600and historical consensus numbers back to the mid 1990s to look at what investors have paid inthe past for companies in the same growth bands.Exhibit 4 shows the average P/E multiples paidfor companies appearing in the different growth bands hi
25、storically in the light blue line.The curvein the past has a similar slope to today;each 2%additional top-line growth adds about 1 P/E pointto a companies multiple.The only real difference is that the curve has shifted down compared towhere it has been historically as the market now trades on a lowe
26、r P/E.The other exception is thelast data point in the P/E curve today(the 12%-100%sales growth band)is lower than would beexpected;only 7%of companies fit into this category.The curve was significantly flatter,in other words people were not paying for growth,in early 2009at the trough of the market
27、 shown in the dotted line in Exhibit 4.高盛全球经济、商品和策略研究,23,7,5,2010 年 9 月 8 日,欧洲：投资组合策略Exhibit 4:Slope of the growth curve now,on average historically and at the 2009 troughBased on historical constituents of STOXX Europe,18,P/E,Average 1996-2010,1614121086,Today2009 trough,-100%-0%0%-2%,2%-4%4%-6%6%-
28、8%8%-10%10%-12%Sales growth bands(Year 3 estimates),12%-100%,Source:I/B/E/S,Datastream,Goldman Sachs Global ECS Research.It is possible to compare as a time series the average P/E for companies in different bands.Tosimplify things we have called high growth companies those with sales growth above 8%
29、and lowgrowth those with sales growth at or below 2%.The chart below shows the average P/E forcompanies fitting into those bands back over time.In both the case of the high growth and the lowgrowth companies valuations is significantly below average but its not clear that growthcompanies are trading
30、 more below their average multiples than low growth stocks.Exhibit 5:Valuations have fallen for high and low sales growth companiesGrowth is based on consensus Year 3 estimatesMedian P/E for high and low sales growth stocks2119171513119,5,High growth stocksHigh growth stocks-Average P/E,Low growth s
31、tocksLow growth stock-Average P/E,97,98,99,00,01,02,03,04,05,06,07,08,09,10,Source:I/B/E/S,Datastream,Goldman Sachs Global ECS Research.The current valuation difference between high and low growth companies is slightly under fourP/E points pretty close to the long term average;the high growth are tr
32、ading on a P/E of 13.4xand the low growth 9.4x.Of course really we should be looking at this as a ratio rather than in高盛全球经济、商品和策略研究,2.0,6,2010 年 9 月 8 日,欧洲：投资组合策略terms of absolute differences,in other words what degree of premium are high growth companiestrading on.When the market falls by 50%and s
33、ay all companies fall by the same degree thencompanies starting on a P/E of 10 x will fall to 5x and those starting on 20 x will fall to 10 x theabsolute difference in valuation has then fallen from 10 P/E points down to just five P/E points.But the more highly valued company is still on a premium o
34、f 50%.The ratio of valuation for highgrowth to low growth stocks is shown below.Exhibit 6:The premium paid for high sales growth(those over 8%pa)has remained highRatio of P/E for high growth vs.low growth stocksP/E Premium paid for high versus low sales growth stocks,1.81.61.41.21.00.8,Average=1.3x,
35、96,97,98,99,00,01,02,03,04,05,06,07,08,09,10,Source:I/B/E/S,Datastream,Goldman Sachs Global ECS Research.This analysis suggests that investors are not paying less for high sales growth companies versusothers than they ordinarily have done in the past.Only at the trough in the market in 2009 wereinve
36、stors clearly undervaluing top line growth.The stage in the equity market cycle seems to bethe most crucial determinate of willingness to pay for growth.Investors are unwilling to pay a highmultiple for future growth when everything is collapsing around them because they no longerbelieve in that gro
37、wth or put a much higher risk premium on it.Exhibit 7 shows the same line for the premium paid to growth companies compared with lowgrowth stocks together with shaded bars highlighting the despair and hope phases of the cycle.See The equity cycle part 1:Identifying the phases,October 22,2009.The Des
38、pair phase isdefined as the period where the market moves from its peak to its trough.It seems at thebeginning of the despair phase the premium paid for growth companies goes up,reflectingperhaps an initial flight to quality but toward the end of the despair phase the premium paid forgrowth companie
39、s is rapidly eroded.Once the market enters the next phase,which we call theHope phase the growth companies very swiftly rerate back up to their average rating versus lowgrowth stocks.高盛全球经济、商品和策略研究,30,25,7,2010 年 9 月 8 日,欧洲：投资组合策略Exhibit 7:The premium for high sales growth reached a low at the end o
40、f the Despair phaseRatio of P/E for high growth vs.low growth stocks,2.01.81.61.41.21.00.8,Despair phaseHope phaseP/E for high growth vs.low growth stocks,96,97,98,99,00,01,02,03,04,05,06,07,08,09,10,Source:I/B/E/S,Datastream,Goldman Sachs Global ECS Research.Companies are rewarded for top line but
41、not for EBITDA or EPSBut while we find that investors are paying a premium for very high top line growth(8%or more)the picture is different when looking at EBITDA,cash flow or earnings growth.Exhibit 8 comparesthe average EV/EBITDA multiple of companies which are high growth and low growth.We havede
42、fined high growth as an EBITDA at or above 15%for forecast year three and low growth asEBITDA growth of less than 5%in forecast year three(2012 at the moment).Exhibit 8:High EBITDA growth stocks have been derated.Growth is based on consensus Year 3 estimatesMedian EV/EBITDA for high and low EBITDA g
43、rowth stocks,20151050,High growth stocksHigh growth stocks-Average,Low growth stocksLow growth stocks-Average,99,00,01,02,03,04,05,06,07,08,09,10,Source:I/B/E/S,Datastream,Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究,25,9,7,8,2010 年 9 月 8 日,欧洲：投资组合策略The EV/EBITDA multiple placed on the low growt
44、h set of companies has remained remarkablyflat over time at around 6-7x.It is the high growth stocks which have been derated.Back in thebubble era the multiples for these stocks stood at 15-25x on a EV/EBITDA basis.This fellsignificantly once the bubble burst but even between 2003 and 2008 the multi
45、ples for thesegrowth companies were around 8-12x.It is only in the last two years that the multiples for the highEBITDA growth stocks have contracted to only about 7-8x;only fractionally above those withmuch slower growth.This is the same conclusion reached by our GS SUSTAIN team.They looked at this
46、 from a globalperspective in Emerging industries:Identifying pure-play growth opportunities in a changing world,July 27,2010.They found that the growth premium for companies in the top quintile globally byEBITDA growth was the lowest for a decade.Even though there has been a widening in the gapbetwe
47、en the EBITDA growth achieved by the top quintile companies and that achieved by thebottom quintile.Our Tactical Research Group has also frequently commented on the lack ofpremium for companies with strong growth,good business models and excellent cash returns.The same is true when comparing stocks
48、based on high and low earnings growth.Exhibit 9shows the P/E multiple for high growth companies and low growth companies defined by theirearnings growth in forecast year three.Low growth companies those where earnings areforecast to grow by less than 5%are currently trading on a P/E multiple of 10.4
49、x just a smalldiscount to their long term average of 11.4x whereas high growth companies have seen a muchlarger contraction in their multiple.Their P/E multiple has fallen from a range of around 14x to 19xover most of the last 13 years to 12.4x today.Exhibit 9:.as have high earnings growth stocksGro
50、wth is based on consensus Year 3 estimatesMedian P/E for high and low earnings growth stocks23211917151311,5,High growth stocksHigh growth stocks-Average,Low growth stocksLow growth stocks-Average,97,98,99,00,01,02,03,04,05,06,07,08,09,10,Source:I/B/E/S,Datastream,Goldman Sachs Global ECS Research.E
