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1、,高盛国际,2012 年 2 月 8 日欧洲,策略焦点,证券研究报告,欧洲股票发行；资产具吸引力；寻觅着眼长期回报的买家2012 年欧洲股市看上去应能提供合理回报，但新股发行的大潮是否会扼杀股市的复苏？政府出售所持股权、延后的发行计划、部分银行的股权融资都可能会争夺投资者的资金。欧洲的经济停滞和存在的政治风险令投资者忧心忡忡，但我们认为仍有投资价值；单是股息再投资一项就可消化当前的新股净供应规模，公司也可进行更多的股份回购，一些长期再融资操作(LTRO)的资金或将投身股市而且海外投资者对欧元区资产的并购数量也在回升。欧洲股票发行处于净增长状态.,过去几年来，欧洲市场每年不得不吸收的股票净供应规
2、模相当于市值的 2%左右。股份回购可减少供应，且近几个月来股份回购的数量也已上升，但同时也出现了大量新的供应、配股发行以及大型 IPO。我们认为这一新股净供应规模没有理由会缩小，而且考虑到政府出售资产以偿还债务的愿望以及 2011 年下半年由于市场状况而推迟的发行计划，这一规模实际上还可能扩大。.与美国截然不同这与美国市场股票净供应减少的情况截然相反。这也与上一轮长达数年的牛市期间（2003-07 年）大量回购以及大批融资并购导致股本撤离欧洲的情况截然不同。市场对供应增加的反映不一市场是否能吸收这些新供应？可以说去年市场曾努力实现这一点。但历史数据表明，市场表现和股票供应并无关联。上个世纪 9
3、0 年代的大部分时期，即“欧洲股权化”时期，净增新供应轻易即被吸收。同样地在 2009 年，净增新供应（银行）也为数众多，但市场依然表现良好。海外投资者和公司可利用其积攒的现金谁将成为新供应的买家？我们认为养老金和保险基金可能不会突然转而增加股票仓位（尽管债券收益率较低可能会阻碍资金流向债券）。不过，养老金和保险基,Sharon Bell,CFA+44(20)7552-1341 高盛国际彼得欧品海默+44(20)7552-5782 高盛国际Christian Mueller-Glissmann,CFA+44(20)7774-1714 christian.mueller-高盛国际Gerald M
4、oser+44(20)7774-5725 Anders Nielsen+44(20)7552-3000 高盛国际Matthieu Walterspiler+44(20)7552-3403 高盛国际,金的投资并不一定是必要的，因为仅股息再投资一项就足以吸收当前的新股净供应规模。而且，资产经理可能会看到更多的 LTRO 资金流向他们。此外，公司资产负债表上的现金应足以购入相当于整个市值 1%-2%的供应。最后，近几个月来我们看到海外投资者，尤其是美国投资者，越来越多地并购欧洲公司。高盛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
5、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,14,-2,-4,2,2012 年 2 月 8 日,欧洲,Euro issue,attractive assets,WLTM buyer for long-term returnsNew capitalisation requirements mean that some European banks(notably the struggling ones,inmany cases not currentl
6、y listed)may need to raise more equity capital.In addition,there may beother sources of new supply for the market to absorb:IPOs delayed during the last year of marketturmoil,governments eventually winding-down stakes in banks,and governments looking to sellstakes in other businesses to reduce their
7、 overall debt burdens.In our view it is worth thinkingbroadly how the market might absorb this issuance.In the last couple of years the Europeanmarket in aggregate has had to absorb net equity supply worth c.2%of market cap perannum(Exhibit 1).There have been buybacks which subtract from supply,and
8、they have beenincreasing in recent months,but there has also been a lot of new supply,banks rights issues,andsome large IPOs.It is interesting to contrast this with the 2003-2007 bull market which saw net withdrawal ofequity from the market in the form of buybacks,private equity purchases/LBOs outwe
9、ighing newsupply.Exhibit 1:Europe is seeing positive equity supply.1816Annual supply of Equity,%of mcap121086420Buy backs dominated,77,80,83,86,89,92,95,98,01,04,07,10,Source:Datastream,Goldman Sachs Global ECS Research.It is also interesting to contrast this with the US.In the US there was a rise i
10、n equity supply in theimmediate aftermath of the credit crunch but this has rapidly diminished and in the last year therehas been a small amount of net equity withdrawal.This is despite a much stronger equity marketin the US where presumably companies would find it easier to raise the necessary capi
11、tal than inEurope.The current run rate in Europe of c.2%of market cap equates to about 100-150 bn of net newequity supply annually.And it is not all banks excluding financials net new supply is running atabout 70 bn in the last year.Exhibit 2 shows the 12m rolling level of net supply.A counterpoint
12、isthat many companies outside the financials have very strong balance sheets and buybacks arelikely to remain high and could rise further,but even so,they are unlikely to outweigh the extrasupply of equity over the next year.Another counterpoint is that the banks themselves,even if they need to rais
13、e their capital ratios,may do so via retaining cash flow and cutting dividends,modifying risk-weighted assets,ordivesting of businesses.Indeed the less well received are rights issues,the more likely it is thatbanks will attempt these other strategies wherever possible.The generous 3-year LTROs from
14、the ECB will also reduce pressure on the banks.高盛全球经济、商品和策略研究,3,2012 年 2 月 8 日,Exhibit 2:.worth about 150 bn pa250200,欧洲,150100500-50-100-150-200-250,Rolling 12m Net supply of equity(EUR bn),04,05,06,07,08,09,10,11,12,Source:Datastream,Goldman Sachs Global ECS Research.Can the market absorb addition
15、al paper?One could argue that it has struggled to do so in the lastyear.However,we would not argue that the falls in equities in 2011 were a function of too muchsupply.Indeed we find no correlation historically between market performance and net supply ofequities.In much of the 1990s,the equitisatio
16、n of Europe period,net new supply was easilyabsorbed.Equally,in 2009,there was a lot of net new supply(banks)and the market did well(Exhibit 3).Exhibit 3:Not a strong relationship between market performance and equity supply,181614121086420-2-4,Annual supply of Equity,%ofmcapEuropean equity YOY(RHS)
17、,806040200-20-40-60,77,80,83,86,89,92,95,98,01,04,07,10,Source:Datastream,Goldman Sachs Global ECS Research.If further bank recaps,combined with better financing for peripheral Eurozonegovernments,are seen as helping to solve the funding crisis in the Eurozone,the movedown in the risk premium will l
18、ikely be more powerful a driver of equities than the backlogof paper.A fall in the risk premium from the current level of 7.6%to 6.8%the level to which ourmacro-benchmarked model points and assuming no move in bond yields,would add 20%to高盛全球经济、商品和策略研究,0.50,0.40,0.30,4,2012 年 2 月 8 日,欧洲European equit
19、ies.Although it is not strictly comparable,we would see this as more thansufficient to eclipse the impact of 1%-2%more equity supply in the next year.There are some sectors where the market rewards supply of equity and some where the marketprefers buybacks.Exhibit 4 illustrates the relationship betw
20、een supply and sector performanceover the past five years.In banks there is a definite preference for buybacks with new supply onaverage not being favoured the initial fall in Unicredits share price following its rights issue wasan extreme case in point.But we would note that these relationships can
21、 change,and,if investorsbelieve this is the final recap,we may see a more positive response.Exhibit 4:Relationship between sector performance and equity supplyPositive relationship indicates sector performs well when new supply comes to the market,0.200.100.00-0.10-0.20-0.30-0.40,Sectors where marke
22、trewards more supply,Correlation:Equity supply and sectorperformanceSectors where marketrewards buybacks,Source:Datastream,Goldman Sachs Global ECS Research.Is 150 bn a lot of money?And who is buyingCompared to the rollovers of sovereign debt in Europe expected through this year,which isaround 1.15
23、trillion,the run rate of net capital being raised on the equity market by Europeancompanies at about 150 bn pa seems relatively trivial even if it does rise through 2012.Ofcourse the sovereign debt is being rolled over from existing debt stock which is coming up forredemption whereas the equity capi
24、tal that is potentially being raised would be in addition to thecurrent equity capital base.There are various routes via which net new issuance of equity is likely to find funding:reinvestment of dividends,corporate buying through M&A including cross border acquisitions,purchases by investment funds
25、,pension and insurance funds or households and finally overseasinvestors.Exhibit 5 shows a summary of the balance between equity supply and the potential sources ofdemand(we go into more detail on each one in the sections below).The list is not exhaustive butillustrates our belief that with relative
26、ly small changes the 150 bn could easily be absorbed.Ofcourse some of these changes are more likely than others.高盛全球经济、商品和策略研究,150,275,205,400,100*,126,100,5,2012 年 2 月 8 日Exhibit 5:Balance between equity supply and potential sources of equity demand,欧洲,EquitysupplyCurrentrunrateofEuropeannetnewequi
27、tysupply,Eurbn,LikelihoodLikelytobehigher,CommentsLikelytoincreaseoverthenextyear;banks,govtssellingassets,backlogofIPOs,EquitydemandDividendsreinvestedInvestmentfundsshiftbackintoEurope,roughEURbn,LikelihoodSomebutnotallAsmallamount,CommentsAssumesalldividendsarereinvested;clearlywontbethecaseHavea
28、lmostentirelybeeninvestinginEMinthelastfewyears;,someshiftbackispossiblebutacompletereversalisunlikely,Pension&InsurancefundsshiftbacktoavgequityweightoflastfewyearsLTROfundsseepbackintoequitiesCompaniesreducecashonbalancesheetby1%pointExternalM&Apurchases,UnlikelyYes,wedexpectsomereallocationSomebu
29、tnotallYes,mayevenincrease,Againthiswouldbegoingagainstthetrendofthelastfewyears,howeverthepooryieldsonbondsmayencouragesomeshiftBankscouldusetheLTROfundstoredeemdebt;thefundsshouldflowbacktopension/insurancefundstoreallocateWouldtakethembacktothe10yearavg.,wedoexpectbuybackstoincreasebutnotthismuch
30、Growinginterestfromoverseasbuyersthrough2011;thisisjust,assumingthecurrentrunrateismaintained*Assumes total LTROs in December and February of 1,000 bn and a 10%seep back into equitiesSource:Goldman Sachs Global ECS Research.If individuals and funds merely reinvest dividends,the dividend yield is 3.8
31、%;this wouldbe more than adequate to cover the current run rate of net equity issuance,which asdescribed above is only 2.0%of market cap.But encouraging investors to reinvest in Europeanequities may be tougher given recent performance,the continued concerns about sovereign debtsustainability,and the
32、 perception that Europe lacks longer term growth potential.Investment funds like equities.but not EuropeEurozone investment funds hold 5,500 bn in assets(see Exhibit 6 for asset mix).The proportionin equities is currently 27%which is close to the average of the last three years(November 2011is the l
33、ast data point).Exhibit 6:Eurozone investment funds asset mix5,500 bn in assets35%30%,25%20%15%10%5%0%,BondEquityMixedOtherReal estateHedge,Dec-08,Jun-09,Dec-09,Jun-10,Dec-10,Jun-11,Source:Datastream,ECB.So investors in Eurozone investment funds have not been systematically reducing equity weightsin
34、 recent years.However,we find that 80%of all new money going into Eurozone-based equityinvestment funds is being allocated outside of the Eurozone.高盛全球经济、商品和策略研究,30,20,6,2012 年 2 月 8 日,Exhibit 7:Most inflows Eurozone investment funds receive go to buying foreign equitySplit of equity flows between d
35、omestic and overseas purchases,欧洲,300250200,Eur bn,150100500,23020Net inflowsPurchases of Eurozone equities,Net inflows into Eurozone equityinvestment funds 2009-2011Purchases of RoW equities,Source:Datastream,ECB.Since the start of 2009 Eurozone-based equity investment funds have received inflows o
36、f 250 bn.However,230 bn of this has been allocated to equity investments outside the Eurozone and onlyc.20 bn into the Eurozone itself(Exhibit 7).Domestic investors have clearly been keen to reduceallocations to Europe.This move has created a dramatic shift in the regional allocation of Europe-based
37、 investmentfunds(Exhibit 8)so that now almost two-thirds of equity funds are invested outside the Eurozoneversus slightly under half in 2008.If investment funds receive no new money in the next yearbut were just to shift their allocations back towards the Eurozone,that would be worth205 bn,more than
38、 sufficient to cover the rights issues and new issues at the present runrate.Exhibit 8:Eurozone-based investment funds equity allocation has shifted dramatically70605040%in Eurozone equities%in rest of world equities100,Q42008,Q12009,Q22009,Q32009,Q42009,Q12010,Q22010,Q32010,Q42010,Q12011,Q22011,Q32
39、011,Source:Datastream,ECB,Goldman Sachs Global ECS Research.Of course this would mean a complete reversal of the trends seen in the last few years andis,in our view,unlikely.Even when Eurozone leaders work out the details of the fiscal compact,and assuming that bond investors start to believe debt l
40、evels across Europe are sustainable,高盛全球经济、商品和策略研究,7,2012 年 2 月 8 日,欧洲there is still the concern about the growth potential in the Eurozone given the many years of fiscalrestraint ahead.Also most of these funds have gone to investing in emerging markets,and wecontinue to believe that EM will provide
41、 an attractive growth story through 2012.Small changes in pension and insurance allocation can yield large amountsPension and insurance companies remain the biggest owners of European equities.Eurozonepension and insurance funds hold c.2,350 bn in equities either directly or via mutual fundownership
42、,compared to total Eurozone equity market cap of c.4,300 bn.The proportion held directly in equities has been trending down in the last few years(Exhibit 9).There has been a sharp rise in allocation to mutual funds,some of which will be equities but italso includes bond,and real estate funds as well
43、.Exhibit 9:Eurozone pension&insurance funds asset allocation,30%25%20%,50%45%40%35%30%,15%10%5%,EquityMutual fund shares,Cash/Short termBonds(RHS),25%20%15%10%,5%,0%,0%,Q1 1999,Q1 2001,Q1 2003,Q1 2005,Q1 2007,Q1 2009,Q1 2011,Source:Datastream,ECB,Goldman Sachs Global ECS Research.The current direct
44、allocation to equities is 14%;in 2007 pension and insurance funds held anaverage of 20%in equities.Each 1%point rise in allocation to equities would give about 60 bnof extra funds,so if funds were to return to the 2007 allocation level that would provide close to350 bn of extra funds into equities.H
45、owever,there is not much incentive for pension orinsurance companies to raise their weights in equities.As well as the growth concerns regardingEurope,there is also the regulatory pressure on funds to match their assets and liabilities which,given that their liabilities are discounted using long-ter
46、m investment-grade debt,gives them anincentive to continue to allocate towards bonds.The high volatility of equities and poor returns inrecent years also makes equities less attractive on actuarial comparisons.高盛全球经济、商品和策略研究,8,2012 年 2 月 8 日,Exhibit 10:UK pension and insurance funds have reduced the
47、ir allocation to equities70%60%50%Direct holdings in equities40%,欧洲,30%20%10%0%,Bonds,Q1 1990,Q1 1993,Q1 1996,Q1 1999,Q1 2002,Q1 2005,Q1 2008,Q1 2011,Source:Datastream,ONS,Goldman Sachs Global ECS Research.Shifts in pension and insurance fund allocation can have a powerful effect.UK pension andinsur
48、ance funds have a relatively low weight in equities compared even to their holdings over thelast three years.The current proportion is 27%relative to an average of 30%since the start of2008.A swing back to 30%,and assuming no change in the amount of financial assets,wouldmean an inflow into equities
49、 of c.80 bn(95 bn).LTRO money could seep into equities via pension and insurance holdingsThe money banks are borrowing from the ECB on the new 3-year LTROs is likely to seep backinto equities and could provide another source of funds to buy any new issues.The DecemberLTRO take-up was 489 bn,and many
50、 believe that the end-February take-up could be as large orlarger(as banks that did not participate last time take the opportunity).Our Banks team argues this gives the banks scope to sharply reduce wholesale market issuanceneeds for 2012 and 2013.Some 780 bn of EMEA bank bonds mature in 2012 and a
