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- EriccccEricccc
  ·2020-10-06
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  Wu Chaoming: It's only a matter of time before the US stock market enters a bear market!
  2008年全球金融危机以来，美股迎来十余年的大牛市，期间涨幅超过4倍，2020年新冠肺炎疫情冲击下，美股先下后上，再创历史新高。未来美股是否面临大幅调整压力，市场高度关注且争议较大。
  Wu Chaoming: It's only a matter of time before the US stock market enters a bear market!
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19:26","market":"us","language":"zh","title":"Wu Chaoming: It's only a matter of time before the US stock market enters a bear market!","url":"https://stock-news.laohu8.com/highlight/detail?id=1194380370","media":"网易研究局","summary":"2008年全球金融危机以来，美股迎来十余年的大牛市，期间涨幅超过4倍，2020年新冠肺炎疫情冲击下，美股先下后上，再创历史新高。未来美股是否面临大幅调整压力，市场高度关注且争议较大。","content":"<p><b>Authors | Wu Chaoming, Hu Wenyan (Caixin International Economic Research Institute)</b></p><p><img src=\"https://static.tigerbbs.com/24ccaa9e2d5ee542c3c76d1dded33fd0\" tg-width=\"660\" tg-height=\"371\"></p><p><b>Key points:</b></p><p>Since the 2008 global financial crisis, US stocks have experienced a bull market lasting more than a decade, with gains exceeding fourfold. In 2020, under the impact of the COVID-19 pandemic, US stocks first fell and then rose, reaching a new historical high. Whether US stocks will face significant downward pressure in the future is a matter of great concern and controversy in the market. This report analyzes the future trend of US stocks from two perspectives: macroeconomic framework and valuation.</p><p><b>Viewpoint 1:</b>In the framework of US macroeconomic analysis, income determines consumption, consumption dominates the economy, income is the leading indicator of US stocks, and employment is a lagging indicator. Historical practice in the United States from 1965 to the present shows that a decline in the growth rate of real unit time revenue indicates that the US stock market will subsequently experience a significant correction or enter a bear market, which provides validation for the logic in the analytical framework.</p><p><b>Viewpoint 2:</b>Based on the logic and perspective of macroeconomic analysis, it is only a matter of time before the US stock market enters a bear market in the future, because the real unit time revenue growth rate of leading indicators will inevitably enter a period of significant decline. First, during the public health crisis, the US fiscal debt burden was significantly heavier than the subprime mortgage crisis. The high growth of personal transfer payment income was unsustainable, and the abnormal increase in the growth rate of real unit time income was only a temporary phenomenon. Second, unemployment was most severe in the service sector during the pandemic. The reduction in labor supply led to an increase in the growth rate of unit time income in the service sector instead of a decrease. After the pandemic improves, the increase in supply will reduce the growth rate of service sector income. Third, the US inflation rate will gradually recover to around the 2% target, which will drag down real income growth.</p><p><b>Viewpoint 3:</b>From a valuation perspective, the risk of a decline in US stocks is greater than the probability of an increase. First, from a historical comparison perspective, multiple indicators warn that US stocks are currently overvalued. For example, valuation indicators such as the S&P 500 P/E and the stock-oil ratio are already in the top 5% percentile historically, and the room for further upward movement is limited. Secondly, the market for leading US stocks is crowded, and the pressure for valuation adjustments is more prominent. Currently, the total market capitalization of the six leading US technology companies, FAAMNG, accounts for 23% of the S&P 500, which is significantly higher than at other historical stages. Third, the driving force behind rising US stock valuations is weakening. For example, due to the increasingly tight fiscal and monetary space in the US and rising market inflation expectations, the downward momentum of US Treasury yields is weakening, and the outbreak of a second wave of the overseas epidemic will also suppress market risk appetite, both of which are not conducive to rising valuations.</p><p><b>Viewpoint 4:</b>Whether looking at leading US stock indicators within a macroeconomic framework or various valuation indicators, US stock earnings and valuations are likely to adjust in the same direction in the future.</p><p><b>Main text:</b></p><p>Since the subprime mortgage crisis in the United States in 2007, the S&P 500 index has bottomed out at 666.79 points on March 6, 2009, and has risen steadily since then, reaching a high of 3588.11 in September 2020, an increase of more than four times during this period. This round of price increases has lasted for more than 10 years. Whether it will face a significant adjustment in the future has been the subject of much research by major institutions, academics and other relevant departments at home and abroad, with inconsistent results and considerable controversy. Unlike most market research and analysis, this report analyzes US stocks from two perspectives. One is based on the US macroeconomic analysis framework, which proposes leading indicators for US stock market adjustments and verifies them using historical US data to predict the direction of US stocks. Another approach is to analyze the inherent adjustment pressure on US stocks from the perspective of valuation methods commonly used in the market.</p><p><b>I. Based on the macroeconomic framework: Revenue is a leading indicator for US stocks.</b></p><p><b>(I) US Macroeconomic Analysis Framework: Income determines consumption, consumption dominates the economy, and income is a leading indicator of US stocks.</b></p><p>Personal consumption expenditures (PCE) play a core role in the US economy, accounting for 69.4% of GDP in 2019 (see Figure 1), meaning that personal consumption expenditures determine nearly 70% of the changes in the size of real GDP. In personal consumption, which consists of expenditures on durable goods, non-durable goods, and services, service expenditures occupy an absolute dominant position, accounting for 64.4% in 2019. Therefore, personal consumption and service expenditures dominate the fluctuations in the U.S. macroeconomic cycle.</p><p>What are the variables that determine personal consumption spending in the United States? To this end, we start with the core determinants of the economic cycle and establish an analytical framework for the US macroeconomic cycle (see Figure 2) (for detailed analysis, please refer to \"2020 US Economic Recession? The End of the Dollar Asset Feast?\"). Logically speaking, personal income (mainly wages and salaries) is the main driver of consumer expenditure, and credit and borrowing can also drive consumer expenditure. Consumer spending is a key determinant of cyclical fluctuations in industrial production, while the growth and decline of industrial (manufacturing) production are important forces driving changes in capital expenditure (i.e., plant and equipment expenditures). Consumer spending, industrial production and services, and capital expenditure represent the core variables of corporate profits, so corporate profits mainly depend on consumer spending. Changes in corporate profits will be directly reflected in the rise and fall of the stock market, and will also determine changes in the number of employees.</p><p>In the above framework, income is not only a leading indicator of consumption, but also a leading indicator of the stock market. However, the US employment data, which the market is widely concerned about, is actually a lagging indicator rather than a leading indicator, and is a post-event reflection of changes in economic variables.</p><p><img src=\"https://static.tigerbbs.com/4a8f45cbec413ff4ec10fdc0efc039d7\" tg-width=\"660\" tg-height=\"326\"><img src=\"https://static.tigerbbs.com/78f0bb2bda616e55c3ecb9408557986e\" tg-width=\"660\" tg-height=\"463\"></p><p><b>(II) Historical experience in the United States: Revenue is a leading indicator of US stocks</b></p><p>For income variables, we selected the unit hourly income of employees of non-agricultural enterprises in the United States and eliminated the impact of inflation to obtain the actual unit hourly income. The U.S. stock market selected the S&P 500 index, which has a wider sample size and is more representative. For reasons of data availability, this article analyzes the relationship between income and US stocks from January 1965 to the present.</p><p><b>1. 1965-1985: Real unit time income is an effective leading indicator of stock market decline.</b></p><p>Between 1965 and 1985, the S&P 500 experienced six bear markets with declines of more than or near 20%: April-October 1966, December 1968-May 1970, January 1973-October 1974, January 1977-March 1978, December 1980-August 1982, and October 1983-July 1984. Five of these bear markets were preceded by a decline in real unit time revenue growth, with the latter leading period ranging from 1 to 4 months, with the exception of 1980-1982 (see Figure 3). In addition, there were three instances during the 20-year period (1978-1980, 1982, and 1986) where revenue growth declined, but US stocks rose. Does this mean that the actual revenue growth rate per unit time is not a reliable leading indicator of the stock market? The answer is of course no.</p><p>From 1978 to 1980, the growth rate of real unit time income declined, but the stock market rose. The main reason was that the prices of energy, metals and other products rose sharply in 1978-1980. For example, the energy price index rose from 5.1% to 47.1%. Driven by this, the inflation rate in the United States rose rapidly from 6% to nearly 12% (see Figure 4). The stock prices of industries that benefited from inflation in the stock market rose sharply, which pushed up the US stock market. However, non-inflationary stocks were still in a bear market. From 1981 to 1982, the prices of energy, metals and other products fell sharply, which led to a rapid decline in inflation. Stocks that benefited from inflation corrected sharply under the dual pressures of high valuations and pressure on earnings, causing the stock market to fall into a bear market.</p><p><img src=\"https://static.tigerbbs.com/3ce31cbf2ad7efcf9ef1f288ff822e6c\" tg-width=\"660\" tg-height=\"362\"></p><p>The decline in real unit-time income growth and the reverse upward trend in US stocks in 1982 and 1986 were due to anomalies caused by President Reagan's tax cuts. President Reagan's tax cuts led to a reduction in the progressive personal income tax rate from 70% to 28%, the capital gains tax rate on interest and dividends from 28% to 20%, and the corporate income tax rate from 46% to 34%. The essence of tax cuts is that the government transfers a portion of fiscal revenue to individuals and businesses. Therefore, although the growth rate of residents' income has not increased, the portion of unit income used for consumption has increased. Therefore, in the history of the United States, every tax cut has generally resulted in a divergence between consumer spending and income growth, leading to a rise in the stock market. Tax cuts reduce corporate investment costs, increase investment expenditures and corporate profits, and are also a driving force behind the stock market rise.</p><p>In conclusion, the conclusion that declining revenue per unit time is a leading indicator of US stock market corrections remains valid.</p><p><img src=\"https://static.tigerbbs.com/ea5d7aa0044e80ad191c0983b5e51cb0\" tg-width=\"660\" tg-height=\"309\"></p><p><b>2. 1986-2006: Real unit time income is an effective leading indicator of stock market decline.</b></p><p>Between 1986 and 2006, the US stock market experienced five bear markets, four of which were led by revenue growth indicators (see Figure 6). The year-long bear market from 2000 to 2001 did not have a predictive effect on the actual income growth rate per unit time. This is because in the years before the stock market adjustment, the wealth effect of the long bull market in the 1990s kept consumer spending growing rapidly (see Figure 5), and the economic growth rate showed a strong growth momentum. For example, the average annual GDP growth rate reached 4.3% from 1996 to 2000, which delayed the impact of the slowdown in income growth on the stock market. But economic laws will eventually come into play, and what's meant to happen will happen. 2000 began a year-long bear market.</p><p>As for the reverse changes in income growth and the stock market from 2003 to 2006, they stemmed from the anomalies caused by President Bush's tax cuts in 2003. The specific reasons are described above and will not be elaborated here.</p><p><img src=\"https://static.tigerbbs.com/4d5d08679beb3024ccdc4e1925fbc98e\" tg-width=\"660\" tg-height=\"367\"></p><p><b>3. 2006-2020: Actual unit time revenue is an effective leading indicator of stock market decline.</b></p><p>Between 2006 and 2020, the US stock market experienced six bear markets, five of which were led by revenue growth indicators (see Figure 7). During the bear market in 2018, the actual unit time revenue growth rate did not decline. The main reason was related to the escalation of the Sino-US trade friction, which led to market concerns about economic growth, worsened sentiment, and reduced risk appetite.</p><p>Between 2006 and 2020, the United States experienced two crises of different natures. One is the subprime mortgage crisis that began in 2007, and the other is the COVID-19 pandemic public health crisis that has been going on since the beginning of 2020. The fact that the actual growth rate of income per unit time increased instead of decreased during the two crises may seem contrary to common sense, but it is not actually contradictory. First, during the crisis, the United States monetary and fiscal policies took proactive measures, and the intensity of transfer payments increased significantly. The growth rate of personal transfer payment income, including Social Security, Medicare, Medicaid, unemployment insurance, and veterans' benefits, increased rapidly, driving up the growth rate of personal income (see Figure 8). However, due to the weak sustainability of transfer payments, the final income growth rate will be determined by economic fundamentals. Secondly, after a crisis, the inflation rate will drop significantly (see Figure 9), leading to an increase in real income growth. However, as the economy recovers, the inflation rate will tend to rise, and the real income growth rate will also decline. Therefore, the increase in the growth rate of real unit time income during the crisis is a temporary phenomenon.</p><p><img src=\"https://static.tigerbbs.com/fbaaae88b1795357de28cf48149a5328\" tg-width=\"660\" tg-height=\"368\"><img src=\"https://static.tigerbbs.com/bc82ef3f30157e02e712c34c853f6767\" tg-width=\"660\" tg-height=\"263\"></p><p><b>Second, it's only a matter of time before US stocks enter a bear market.</b></p><p><b>(a) The actual unit time revenue growth rate of leading indicators will inevitably experience a period of decline.</b></p><p>The experience of the 2007 subprime mortgage crisis shows that the growth rate of real unit time income tended to decline after a brief increase under the influence of policy stimulus and deflation. Subsequently, the stock market entered a bear market twice in 2010 and 2011 (see Figure 7). Compared to the subprime mortgage crisis, the public health crisis that occurred in 2020 may have a greater impact on the growth rate of income per unit time, making the high growth rate more difficult to sustain and inevitably leading to a decline in the future.</p><p><b>First, the growth rate of personal transfer payment income during the public health crisis was significantly higher than that during the subprime mortgage crisis, but the US fiscal debt burden was significantly heavier than during the subprime mortgage crisis, and the high growth rate of transfer income was unsustainable.</b>For example, in 2008, the U.S. federal budget deficit was $459 billion, while the actual deficit that year was $680.5 billion, exceeding the budget level by 48%. The budget deficit in 2020 was $1.083 trillion, but the actual deficit from January to August this year was $2,650.8 billion, exceeding the budget level by 145% (see Figure 10). With the introduction of new fiscal stimulus policies this year, the deficit will reach a new high. Therefore, if the United States continues to implement fiscal stimulus, it can barely maintain income growth in the short term. However, based on the historical experience of 2008-2009, it is inevitable that income growth will return to the dominance of economic fundamentals, and a decline is unavoidable (see Figure 11).</p><p><img src=\"https://static.tigerbbs.com/234e2cb27f039db226d05504ac440f50\" tg-width=\"660\" tg-height=\"266\"></p><p><b>Second, it is difficult for the service industry to maintain high growth in unit time revenue.</b>Looking at industry employment data, the service sector accounts for the largest share of non-farm payrolls in the United States, remaining at around 86% since 2019. Therefore, the unit time income of the service sector determines the overall unit time income level of non-farm payrolls. However, under the impact of the 2020 pandemic public health crisis, an abnormal phenomenon emerged: the growth rate of unit hourly income in the service industry increased significantly instead of decreasing, which led to a leap in the growth rate of unit hourly wages (see Figure 12). The reason is that labor-intensive service industries were hit the hardest by the pandemic, with the most severe unemployment (see Figure 13). The decrease in the number of employed people led to an increase in wages and hourly wages. However, this phenomenon is unique to the health crisis caused by the pandemic and did not occur during the 2007 subprime mortgage crisis. Therefore, as long as the pandemic improves, especially after the advent of vaccines, the number of employed people in the service industry will gradually return to normal, and the hourly wage in the service industry will also drop to a normal level, thereby driving down the growth rate of unit hourly income.</p><p><b>Third, the US inflation level will gradually recover to around the 2% target.</b>Under the impact of the pandemic, demand in the United States declined, and inflation also experienced a rapid decline. For example, the personal consumption expenditures price index (PCE) fell rapidly from 1.9% in January 2020 to 0.5% in April (April was the peak of the pandemic in the first half of the year), and then gradually recovered to 1.0% in July. It is expected that inflation will gradually recover to 2% or even higher in the future, stimulated by the Federal Reserve's loose monetary policy and the improvement of the pandemic. After excluding inflation factors, the real growth rate of income per unit time will decrease.</p><p>Although the second wave of the global pandemic is currently approaching, based on previous experience in prevention and control and the expected availability of vaccines, the most severe phase of the pandemic's impact on the global economy is likely over. The spread and delay in ending the pandemic will slow down the pace of global economic recovery, prolong the time for the economy to recover to pre-pandemic levels, and extend the exit time of loose monetary and fiscal policies. However, the pandemic will be defeated sooner or later and will not change the trend of economic recovery. Therefore, the growth rate of transfer payment income and unit time income in the service sector will decline, while the inflation rate will rise. Under the combined effect of these three factors, the growth rate of real unit time income in the United States will experience a significant decline in the future.</p><p><img src=\"https://static.tigerbbs.com/4296813b0cab4a4057b7b3c61add84fd\" tg-width=\"660\" tg-height=\"273\"></p><p><b>(ii) It's only a matter of time before US stocks enter a bear market.</b></p><p>Based on the US macroeconomic analysis framework and the historical experience of declining real-time earnings growth leading the adjustment of US stocks (increased earnings growth is not a leading indicator of US stocks), the future evolution of the US stock market will likely follow the following logic: a decline in real-time earnings growth, a decrease in consumer spending growth, which accounts for nearly 70% of US GDP, will drive industrial production and capital expenditure into a downward cycle, leading to a decrease in real GDP growth, deterioration in corporate profits, and a correction in the US stock market. Therefore, given the prospect that real unit time revenue growth will inevitably experience a period of decline in the future, it is only a matter of time before the US stock market experiences a bear market.</p><p><b>III. Valuation Perspective: Downside Risk Greater Than Upside Probability</b></p><p>According to the classic DDM stock pricing model, stock prices depend on three factors: earnings, risk-free interest rate, and risk appetite. Therefore, in addition to the profitability factors analyzed above, valuations that comprehensively reflect risk-free interest rates and risk appetite are also important factors influencing US stocks. According to our statistics, the contributions of earnings and valuations to US stocks have varied since 1991. Overall, the impact of valuations should not be underestimated, especially when valuations and earnings diverge. Stock index fluctuations sometimes choose to side with valuations, such as in 1994, 2000, 2002 and 2018 (see Figure 14).</p><p><img src=\"https://static.tigerbbs.com/fe6f9787cd8dac9cea094b35def909ca\" tg-width=\"660\" tg-height=\"265\"></p><p>So what is the current valuation level of US stocks? Is there still room for growth in the future? This article argues that the risk of a decline in US stock valuations may outweigh the probability of an increase.</p><p><b>First, from a historical comparison perspective, multiple indicators warn that US stocks are currently overvalued.</b>This article selects nine classic financial indicators to conduct a comprehensive examination of US stocks (see Table 1). The results show that: First, among the valuation indicators such as P/E, price-to-sales ratio, price-to-book ratio, and price-to-book ratio, which reflect the deviation between US stock prices and earnings growth potential, two are already in the top 5% historical range, and the lowest price-to-book ratio is also at the top 23% historical level, indicating that the further upside potential of the above indicators is relatively limited. Secondly, indicators reflecting the cost-effectiveness of US stocks compared to other major asset classes, such as the stock-to-earnings ratio, stock-to-oil ratio, and stock yield/10-year Treasury Bond yield, are in the top 30%, 5%, and 1% percentiles historically, respectively. This also shows that the probability of US stocks obtaining excess returns is relatively low and they are not as attractive as other assets. Third, in terms of the proportion of total market capitalization of US stocks to GDP, this value is currently at a historical high of 239.4%, nearly 100 percentage points higher than the peak of the 2007 bull market. This means that US stocks have now seriously deviated from fundamentals, and the pressure of valuation convergence in the future is very high.</p><p><img src=\"https://static.tigerbbs.com/2f74cb2b21fa687c4d50af35ed76f1c8\" tg-width=\"660\" tg-height=\"398\"></p><p><b>Secondly, the leading stocks in the US stock market are crowded, and the pressure for valuation adjustments is more prominent.</b>Looking at the valuation distribution of all US stocks, the divergence between high and low valuations is extreme. In 2020, the proportion of high-valued stocks increased significantly, raising concerns about the stability of the valuation structure. For example, as of September 23, the proportion of US stocks with a price-to-book ratio (PB) of more than 15 (i.e., price-to-book ratio = price per share / net assets per share) reached 6.1%, which is more than three times that of 2010 and 2019 (see Figure 15). Looking at the market capitalization of the six leading companies in the S&P 500, the excessive concentration of gains in US stocks is more prominent. For example, as of September 23, 2020, the total market capitalization of the six leading US technology companies accounted for about 23% of the S&P 500, an increase of more than 5 percentage points from the beginning of the year and nearly 7 percentage points higher than the peak of the dot-com market capitalization during the dot-com bubble. The large proportion of overvalued stocks in the US stock market and the crowded sectors of leading stocks indicate increased fragility in the market's micro-structure. Once the factors that drove up valuations in the early stages weaken, the pressure on the valuations of all US stocks to be corrected by the sectors that have been heavily invested in will be very high.</p><p><b>Third, the driving force behind rising US stock valuations is weakening.</b>According to the DDM model, valuation increases are mainly driven by a decline in the risk-free rate or an increase in risk appetite. For example, since the outbreak of the pandemic, the central yield of the 10-year Treasury Bond in the United States has fallen sharply by more than 100 basis points, which is the main reason for the current rise in US stock valuations. However, as US fiscal and monetary space tightens and market inflation expectations rise, the momentum for further decline in US Treasury yields has weakened significantly. At the same time, the outbreak of a second wave of the overseas pandemic will continue to constrain the increase in market risk appetite. Specifically, firstly, the US federal funds target rate has fallen to a historical low of 0-0.25% (see Figure 16), and the Federal Reserve has repeatedly stated that it will not implement zero interest rates, which means that the room for US interest rate cuts to drive down market interest rates is extremely small. Secondly, the Federal Reserve's current balance sheet expansion efforts are more than twice that of the 2008 financial crisis, and the Fed's recent adjustments to its monetary policy framework, along with its short-term inflation target of over 2%, are not rate hike. All of these factors may push up market inflation expectations and trigger an increase in interest rates. In its latest September policy meeting minutes, the Federal Reserve raised its U.S. personal consumption expenditures (PCE) inflation forecast across the board for 2020, 2021, and 2022. Since June, the US core PCE has also shown signs of rising (see Figure 17), all pointing to an inevitable rebound in US inflation and increased upside risks to US Treasury yields.</p><p><img src=\"https://static.tigerbbs.com/4a5d0201f264a0117df3fb2ca3249b87\" tg-width=\"660\" tg-height=\"302\"></p><p><b>IV. Conclusion: It's only a matter of time before the US stock market enters a bear market.</b></p><p>Whether based on the leading indicator of the US stock market within the macroeconomic framework—that the real unit time revenue growth rate will inevitably experience a period of decline in the future—or on various valuation indicators, the earnings and valuations of the US stock market will most likely adjust in the same direction in the future, meaning that it is only a matter of time before the US stock market enters a bear market. The length of the transition period, due to the impact of the pandemic, especially the series of stimulus policies introduced during the pandemic, has greatly disrupted the cyclical factors affecting stock market fluctuations. Therefore, it is expected that we will be able to make better judgments once the pandemic subsides and the economy returns to a normal cycle, and economic cyclical factors once again determine economic development.</p>","source":"lsy1587117682320","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Wu Chaoming: It's only a matter of time before the US stock market enters a bear market!</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nWu Chaoming: It's only a matter of time before the US stock market enters a bear market!\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\">网易研究局</strong><span class=\"h-time small\">2020-10-05 19:26</span>\n</p>\n</h4>\n</header>\n<article>\n<p><b>Authors | Wu Chaoming, Hu Wenyan (Caixin International Economic Research Institute)</b></p><p><img src=\"https://static.tigerbbs.com/24ccaa9e2d5ee542c3c76d1dded33fd0\" tg-width=\"660\" tg-height=\"371\"></p><p><b>Key points:</b></p><p>Since the 2008 global financial crisis, US stocks have experienced a bull market lasting more than a decade, with gains exceeding fourfold. In 2020, under the impact of the COVID-19 pandemic, US stocks first fell and then rose, reaching a new historical high. Whether US stocks will face significant downward pressure in the future is a matter of great concern and controversy in the market. This report analyzes the future trend of US stocks from two perspectives: macroeconomic framework and valuation.</p><p><b>Viewpoint 1:</b>In the framework of US macroeconomic analysis, income determines consumption, consumption dominates the economy, income is the leading indicator of US stocks, and employment is a lagging indicator. Historical practice in the United States from 1965 to the present shows that a decline in the growth rate of real unit time revenue indicates that the US stock market will subsequently experience a significant correction or enter a bear market, which provides validation for the logic in the analytical framework.</p><p><b>Viewpoint 2:</b>Based on the logic and perspective of macroeconomic analysis, it is only a matter of time before the US stock market enters a bear market in the future, because the real unit time revenue growth rate of leading indicators will inevitably enter a period of significant decline. First, during the public health crisis, the US fiscal debt burden was significantly heavier than the subprime mortgage crisis. The high growth of personal transfer payment income was unsustainable, and the abnormal increase in the growth rate of real unit time income was only a temporary phenomenon. Second, unemployment was most severe in the service sector during the pandemic. The reduction in labor supply led to an increase in the growth rate of unit time income in the service sector instead of a decrease. After the pandemic improves, the increase in supply will reduce the growth rate of service sector income. Third, the US inflation rate will gradually recover to around the 2% target, which will drag down real income growth.</p><p><b>Viewpoint 3:</b>From a valuation perspective, the risk of a decline in US stocks is greater than the probability of an increase. First, from a historical comparison perspective, multiple indicators warn that US stocks are currently overvalued. For example, valuation indicators such as the S&P 500 P/E and the stock-oil ratio are already in the top 5% percentile historically, and the room for further upward movement is limited. Secondly, the market for leading US stocks is crowded, and the pressure for valuation adjustments is more prominent. Currently, the total market capitalization of the six leading US technology companies, FAAMNG, accounts for 23% of the S&P 500, which is significantly higher than at other historical stages. Third, the driving force behind rising US stock valuations is weakening. For example, due to the increasingly tight fiscal and monetary space in the US and rising market inflation expectations, the downward momentum of US Treasury yields is weakening, and the outbreak of a second wave of the overseas epidemic will also suppress market risk appetite, both of which are not conducive to rising valuations.</p><p><b>Viewpoint 4:</b>Whether looking at leading US stock indicators within a macroeconomic framework or various valuation indicators, US stock earnings and valuations are likely to adjust in the same direction in the future.</p><p><b>Main text:</b></p><p>Since the subprime mortgage crisis in the United States in 2007, the S&P 500 index has bottomed out at 666.79 points on March 6, 2009, and has risen steadily since then, reaching a high of 3588.11 in September 2020, an increase of more than four times during this period. This round of price increases has lasted for more than 10 years. Whether it will face a significant adjustment in the future has been the subject of much research by major institutions, academics and other relevant departments at home and abroad, with inconsistent results and considerable controversy. Unlike most market research and analysis, this report analyzes US stocks from two perspectives. One is based on the US macroeconomic analysis framework, which proposes leading indicators for US stock market adjustments and verifies them using historical US data to predict the direction of US stocks. Another approach is to analyze the inherent adjustment pressure on US stocks from the perspective of valuation methods commonly used in the market.</p><p><b>I. Based on the macroeconomic framework: Revenue is a leading indicator for US stocks.</b></p><p><b>(I) US Macroeconomic Analysis Framework: Income determines consumption, consumption dominates the economy, and income is a leading indicator of US stocks.</b></p><p>Personal consumption expenditures (PCE) play a core role in the US economy, accounting for 69.4% of GDP in 2019 (see Figure 1), meaning that personal consumption expenditures determine nearly 70% of the changes in the size of real GDP. In personal consumption, which consists of expenditures on durable goods, non-durable goods, and services, service expenditures occupy an absolute dominant position, accounting for 64.4% in 2019. Therefore, personal consumption and service expenditures dominate the fluctuations in the U.S. macroeconomic cycle.</p><p>What are the variables that determine personal consumption spending in the United States? To this end, we start with the core determinants of the economic cycle and establish an analytical framework for the US macroeconomic cycle (see Figure 2) (for detailed analysis, please refer to \"2020 US Economic Recession? The End of the Dollar Asset Feast?\"). Logically speaking, personal income (mainly wages and salaries) is the main driver of consumer expenditure, and credit and borrowing can also drive consumer expenditure. Consumer spending is a key determinant of cyclical fluctuations in industrial production, while the growth and decline of industrial (manufacturing) production are important forces driving changes in capital expenditure (i.e., plant and equipment expenditures). Consumer spending, industrial production and services, and capital expenditure represent the core variables of corporate profits, so corporate profits mainly depend on consumer spending. Changes in corporate profits will be directly reflected in the rise and fall of the stock market, and will also determine changes in the number of employees.</p><p>In the above framework, income is not only a leading indicator of consumption, but also a leading indicator of the stock market. However, the US employment data, which the market is widely concerned about, is actually a lagging indicator rather than a leading indicator, and is a post-event reflection of changes in economic variables.</p><p><img src=\"https://static.tigerbbs.com/4a8f45cbec413ff4ec10fdc0efc039d7\" tg-width=\"660\" tg-height=\"326\"><img src=\"https://static.tigerbbs.com/78f0bb2bda616e55c3ecb9408557986e\" tg-width=\"660\" tg-height=\"463\"></p><p><b>(II) Historical experience in the United States: Revenue is a leading indicator of US stocks</b></p><p>For income variables, we selected the unit hourly income of employees of non-agricultural enterprises in the United States and eliminated the impact of inflation to obtain the actual unit hourly income. The U.S. stock market selected the S&P 500 index, which has a wider sample size and is more representative. For reasons of data availability, this article analyzes the relationship between income and US stocks from January 1965 to the present.</p><p><b>1. 1965-1985: Real unit time income is an effective leading indicator of stock market decline.</b></p><p>Between 1965 and 1985, the S&P 500 experienced six bear markets with declines of more than or near 20%: April-October 1966, December 1968-May 1970, January 1973-October 1974, January 1977-March 1978, December 1980-August 1982, and October 1983-July 1984. Five of these bear markets were preceded by a decline in real unit time revenue growth, with the latter leading period ranging from 1 to 4 months, with the exception of 1980-1982 (see Figure 3). In addition, there were three instances during the 20-year period (1978-1980, 1982, and 1986) where revenue growth declined, but US stocks rose. Does this mean that the actual revenue growth rate per unit time is not a reliable leading indicator of the stock market? The answer is of course no.</p><p>From 1978 to 1980, the growth rate of real unit time income declined, but the stock market rose. The main reason was that the prices of energy, metals and other products rose sharply in 1978-1980. For example, the energy price index rose from 5.1% to 47.1%. Driven by this, the inflation rate in the United States rose rapidly from 6% to nearly 12% (see Figure 4). The stock prices of industries that benefited from inflation in the stock market rose sharply, which pushed up the US stock market. However, non-inflationary stocks were still in a bear market. From 1981 to 1982, the prices of energy, metals and other products fell sharply, which led to a rapid decline in inflation. Stocks that benefited from inflation corrected sharply under the dual pressures of high valuations and pressure on earnings, causing the stock market to fall into a bear market.</p><p><img src=\"https://static.tigerbbs.com/3ce31cbf2ad7efcf9ef1f288ff822e6c\" tg-width=\"660\" tg-height=\"362\"></p><p>The decline in real unit-time income growth and the reverse upward trend in US stocks in 1982 and 1986 were due to anomalies caused by President Reagan's tax cuts. President Reagan's tax cuts led to a reduction in the progressive personal income tax rate from 70% to 28%, the capital gains tax rate on interest and dividends from 28% to 20%, and the corporate income tax rate from 46% to 34%. The essence of tax cuts is that the government transfers a portion of fiscal revenue to individuals and businesses. Therefore, although the growth rate of residents' income has not increased, the portion of unit income used for consumption has increased. Therefore, in the history of the United States, every tax cut has generally resulted in a divergence between consumer spending and income growth, leading to a rise in the stock market. Tax cuts reduce corporate investment costs, increase investment expenditures and corporate profits, and are also a driving force behind the stock market rise.</p><p>In conclusion, the conclusion that declining revenue per unit time is a leading indicator of US stock market corrections remains valid.</p><p><img src=\"https://static.tigerbbs.com/ea5d7aa0044e80ad191c0983b5e51cb0\" tg-width=\"660\" tg-height=\"309\"></p><p><b>2. 1986-2006: Real unit time income is an effective leading indicator of stock market decline.</b></p><p>Between 1986 and 2006, the US stock market experienced five bear markets, four of which were led by revenue growth indicators (see Figure 6). The year-long bear market from 2000 to 2001 did not have a predictive effect on the actual income growth rate per unit time. This is because in the years before the stock market adjustment, the wealth effect of the long bull market in the 1990s kept consumer spending growing rapidly (see Figure 5), and the economic growth rate showed a strong growth momentum. For example, the average annual GDP growth rate reached 4.3% from 1996 to 2000, which delayed the impact of the slowdown in income growth on the stock market. But economic laws will eventually come into play, and what's meant to happen will happen. 2000 began a year-long bear market.</p><p>As for the reverse changes in income growth and the stock market from 2003 to 2006, they stemmed from the anomalies caused by President Bush's tax cuts in 2003. The specific reasons are described above and will not be elaborated here.</p><p><img src=\"https://static.tigerbbs.com/4d5d08679beb3024ccdc4e1925fbc98e\" tg-width=\"660\" tg-height=\"367\"></p><p><b>3. 2006-2020: Actual unit time revenue is an effective leading indicator of stock market decline.</b></p><p>Between 2006 and 2020, the US stock market experienced six bear markets, five of which were led by revenue growth indicators (see Figure 7). During the bear market in 2018, the actual unit time revenue growth rate did not decline. The main reason was related to the escalation of the Sino-US trade friction, which led to market concerns about economic growth, worsened sentiment, and reduced risk appetite.</p><p>Between 2006 and 2020, the United States experienced two crises of different natures. One is the subprime mortgage crisis that began in 2007, and the other is the COVID-19 pandemic public health crisis that has been going on since the beginning of 2020. The fact that the actual growth rate of income per unit time increased instead of decreased during the two crises may seem contrary to common sense, but it is not actually contradictory. First, during the crisis, the United States monetary and fiscal policies took proactive measures, and the intensity of transfer payments increased significantly. The growth rate of personal transfer payment income, including Social Security, Medicare, Medicaid, unemployment insurance, and veterans' benefits, increased rapidly, driving up the growth rate of personal income (see Figure 8). However, due to the weak sustainability of transfer payments, the final income growth rate will be determined by economic fundamentals. Secondly, after a crisis, the inflation rate will drop significantly (see Figure 9), leading to an increase in real income growth. However, as the economy recovers, the inflation rate will tend to rise, and the real income growth rate will also decline. Therefore, the increase in the growth rate of real unit time income during the crisis is a temporary phenomenon.</p><p><img src=\"https://static.tigerbbs.com/fbaaae88b1795357de28cf48149a5328\" tg-width=\"660\" tg-height=\"368\"><img src=\"https://static.tigerbbs.com/bc82ef3f30157e02e712c34c853f6767\" tg-width=\"660\" tg-height=\"263\"></p><p><b>Second, it's only a matter of time before US stocks enter a bear market.</b></p><p><b>(a) The actual unit time revenue growth rate of leading indicators will inevitably experience a period of decline.</b></p><p>The experience of the 2007 subprime mortgage crisis shows that the growth rate of real unit time income tended to decline after a brief increase under the influence of policy stimulus and deflation. Subsequently, the stock market entered a bear market twice in 2010 and 2011 (see Figure 7). Compared to the subprime mortgage crisis, the public health crisis that occurred in 2020 may have a greater impact on the growth rate of income per unit time, making the high growth rate more difficult to sustain and inevitably leading to a decline in the future.</p><p><b>First, the growth rate of personal transfer payment income during the public health crisis was significantly higher than that during the subprime mortgage crisis, but the US fiscal debt burden was significantly heavier than during the subprime mortgage crisis, and the high growth rate of transfer income was unsustainable.</b>For example, in 2008, the U.S. federal budget deficit was $459 billion, while the actual deficit that year was $680.5 billion, exceeding the budget level by 48%. The budget deficit in 2020 was $1.083 trillion, but the actual deficit from January to August this year was $2,650.8 billion, exceeding the budget level by 145% (see Figure 10). With the introduction of new fiscal stimulus policies this year, the deficit will reach a new high. Therefore, if the United States continues to implement fiscal stimulus, it can barely maintain income growth in the short term. However, based on the historical experience of 2008-2009, it is inevitable that income growth will return to the dominance of economic fundamentals, and a decline is unavoidable (see Figure 11).</p><p><img src=\"https://static.tigerbbs.com/234e2cb27f039db226d05504ac440f50\" tg-width=\"660\" tg-height=\"266\"></p><p><b>Second, it is difficult for the service industry to maintain high growth in unit time revenue.</b>Looking at industry employment data, the service sector accounts for the largest share of non-farm payrolls in the United States, remaining at around 86% since 2019. Therefore, the unit time income of the service sector determines the overall unit time income level of non-farm payrolls. However, under the impact of the 2020 pandemic public health crisis, an abnormal phenomenon emerged: the growth rate of unit hourly income in the service industry increased significantly instead of decreasing, which led to a leap in the growth rate of unit hourly wages (see Figure 12). The reason is that labor-intensive service industries were hit the hardest by the pandemic, with the most severe unemployment (see Figure 13). The decrease in the number of employed people led to an increase in wages and hourly wages. However, this phenomenon is unique to the health crisis caused by the pandemic and did not occur during the 2007 subprime mortgage crisis. Therefore, as long as the pandemic improves, especially after the advent of vaccines, the number of employed people in the service industry will gradually return to normal, and the hourly wage in the service industry will also drop to a normal level, thereby driving down the growth rate of unit hourly income.</p><p><b>Third, the US inflation level will gradually recover to around the 2% target.</b>Under the impact of the pandemic, demand in the United States declined, and inflation also experienced a rapid decline. For example, the personal consumption expenditures price index (PCE) fell rapidly from 1.9% in January 2020 to 0.5% in April (April was the peak of the pandemic in the first half of the year), and then gradually recovered to 1.0% in July. It is expected that inflation will gradually recover to 2% or even higher in the future, stimulated by the Federal Reserve's loose monetary policy and the improvement of the pandemic. After excluding inflation factors, the real growth rate of income per unit time will decrease.</p><p>Although the second wave of the global pandemic is currently approaching, based on previous experience in prevention and control and the expected availability of vaccines, the most severe phase of the pandemic's impact on the global economy is likely over. The spread and delay in ending the pandemic will slow down the pace of global economic recovery, prolong the time for the economy to recover to pre-pandemic levels, and extend the exit time of loose monetary and fiscal policies. However, the pandemic will be defeated sooner or later and will not change the trend of economic recovery. Therefore, the growth rate of transfer payment income and unit time income in the service sector will decline, while the inflation rate will rise. Under the combined effect of these three factors, the growth rate of real unit time income in the United States will experience a significant decline in the future.</p><p><img src=\"https://static.tigerbbs.com/4296813b0cab4a4057b7b3c61add84fd\" tg-width=\"660\" tg-height=\"273\"></p><p><b>(ii) It's only a matter of time before US stocks enter a bear market.</b></p><p>Based on the US macroeconomic analysis framework and the historical experience of declining real-time earnings growth leading the adjustment of US stocks (increased earnings growth is not a leading indicator of US stocks), the future evolution of the US stock market will likely follow the following logic: a decline in real-time earnings growth, a decrease in consumer spending growth, which accounts for nearly 70% of US GDP, will drive industrial production and capital expenditure into a downward cycle, leading to a decrease in real GDP growth, deterioration in corporate profits, and a correction in the US stock market. Therefore, given the prospect that real unit time revenue growth will inevitably experience a period of decline in the future, it is only a matter of time before the US stock market experiences a bear market.</p><p><b>III. Valuation Perspective: Downside Risk Greater Than Upside Probability</b></p><p>According to the classic DDM stock pricing model, stock prices depend on three factors: earnings, risk-free interest rate, and risk appetite. Therefore, in addition to the profitability factors analyzed above, valuations that comprehensively reflect risk-free interest rates and risk appetite are also important factors influencing US stocks. According to our statistics, the contributions of earnings and valuations to US stocks have varied since 1991. Overall, the impact of valuations should not be underestimated, especially when valuations and earnings diverge. Stock index fluctuations sometimes choose to side with valuations, such as in 1994, 2000, 2002 and 2018 (see Figure 14).</p><p><img src=\"https://static.tigerbbs.com/fe6f9787cd8dac9cea094b35def909ca\" tg-width=\"660\" tg-height=\"265\"></p><p>So what is the current valuation level of US stocks? Is there still room for growth in the future? This article argues that the risk of a decline in US stock valuations may outweigh the probability of an increase.</p><p><b>First, from a historical comparison perspective, multiple indicators warn that US stocks are currently overvalued.</b>This article selects nine classic financial indicators to conduct a comprehensive examination of US stocks (see Table 1). The results show that: First, among the valuation indicators such as P/E, price-to-sales ratio, price-to-book ratio, and price-to-book ratio, which reflect the deviation between US stock prices and earnings growth potential, two are already in the top 5% historical range, and the lowest price-to-book ratio is also at the top 23% historical level, indicating that the further upside potential of the above indicators is relatively limited. Secondly, indicators reflecting the cost-effectiveness of US stocks compared to other major asset classes, such as the stock-to-earnings ratio, stock-to-oil ratio, and stock yield/10-year Treasury Bond yield, are in the top 30%, 5%, and 1% percentiles historically, respectively. This also shows that the probability of US stocks obtaining excess returns is relatively low and they are not as attractive as other assets. Third, in terms of the proportion of total market capitalization of US stocks to GDP, this value is currently at a historical high of 239.4%, nearly 100 percentage points higher than the peak of the 2007 bull market. This means that US stocks have now seriously deviated from fundamentals, and the pressure of valuation convergence in the future is very high.</p><p><img src=\"https://static.tigerbbs.com/2f74cb2b21fa687c4d50af35ed76f1c8\" tg-width=\"660\" tg-height=\"398\"></p><p><b>Secondly, the leading stocks in the US stock market are crowded, and the pressure for valuation adjustments is more prominent.</b>Looking at the valuation distribution of all US stocks, the divergence between high and low valuations is extreme. In 2020, the proportion of high-valued stocks increased significantly, raising concerns about the stability of the valuation structure. For example, as of September 23, the proportion of US stocks with a price-to-book ratio (PB) of more than 15 (i.e., price-to-book ratio = price per share / net assets per share) reached 6.1%, which is more than three times that of 2010 and 2019 (see Figure 15). Looking at the market capitalization of the six leading companies in the S&P 500, the excessive concentration of gains in US stocks is more prominent. For example, as of September 23, 2020, the total market capitalization of the six leading US technology companies accounted for about 23% of the S&P 500, an increase of more than 5 percentage points from the beginning of the year and nearly 7 percentage points higher than the peak of the dot-com market capitalization during the dot-com bubble. The large proportion of overvalued stocks in the US stock market and the crowded sectors of leading stocks indicate increased fragility in the market's micro-structure. Once the factors that drove up valuations in the early stages weaken, the pressure on the valuations of all US stocks to be corrected by the sectors that have been heavily invested in will be very high.</p><p><b>Third, the driving force behind rising US stock valuations is weakening.</b>According to the DDM model, valuation increases are mainly driven by a decline in the risk-free rate or an increase in risk appetite. For example, since the outbreak of the pandemic, the central yield of the 10-year Treasury Bond in the United States has fallen sharply by more than 100 basis points, which is the main reason for the current rise in US stock valuations. However, as US fiscal and monetary space tightens and market inflation expectations rise, the momentum for further decline in US Treasury yields has weakened significantly. At the same time, the outbreak of a second wave of the overseas pandemic will continue to constrain the increase in market risk appetite. Specifically, firstly, the US federal funds target rate has fallen to a historical low of 0-0.25% (see Figure 16), and the Federal Reserve has repeatedly stated that it will not implement zero interest rates, which means that the room for US interest rate cuts to drive down market interest rates is extremely small. Secondly, the Federal Reserve's current balance sheet expansion efforts are more than twice that of the 2008 financial crisis, and the Fed's recent adjustments to its monetary policy framework, along with its short-term inflation target of over 2%, are not rate hike. All of these factors may push up market inflation expectations and trigger an increase in interest rates. In its latest September policy meeting minutes, the Federal Reserve raised its U.S. personal consumption expenditures (PCE) inflation forecast across the board for 2020, 2021, and 2022. Since June, the US core PCE has also shown signs of rising (see Figure 17), all pointing to an inevitable rebound in US inflation and increased upside risks to US Treasury yields.</p><p><img src=\"https://static.tigerbbs.com/4a5d0201f264a0117df3fb2ca3249b87\" tg-width=\"660\" tg-height=\"302\"></p><p><b>IV. Conclusion: It's only a matter of time before the US stock market enters a bear market.</b></p><p>Whether based on the leading indicator of the US stock market within the macroeconomic framework—that the real unit time revenue growth rate will inevitably experience a period of decline in the future—or on various valuation indicators, the earnings and valuations of the US stock market will most likely adjust in the same direction in the future, meaning that it is only a matter of time before the US stock market enters a bear market. The length of the transition period, due to the impact of the pandemic, especially the series of stimulus policies introduced during the pandemic, has greatly disrupted the cyclical factors affecting stock market fluctuations. Therefore, it is expected that we will be able to make better judgments once the pandemic subsides and the economy returns to a normal cycle, and economic cyclical factors once again determine economic development.</p>\n<div class=\"bt-text\">\n\n\n<p> source：<a href=\"http://money.163.com/20/1005/19/FO6RIAQC00258J1R.html\">网易研究局</a></p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/27e006312f0bf9d82aabac1d9dfa3a1c","relate_stocks":{".DJI":"道琼斯",".SPX":"S&P 500 Index",".IXIC":"NASDAQ Composite"},"source_url":"http://money.163.com/20/1005/19/FO6RIAQC00258J1R.html","is_english":false,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1194380370","content_text":"作者|伍超明、胡文艳（财信国际经济研究院）\n\n核心观点：\n2008年全球金融危机以来，美股迎来十余年的大牛市，期间涨幅超过4倍，2020年新冠肺炎疫情冲击下，美股先下后上，再创历史新高。未来美股是否面临大幅调整压力，市场高度关注且争议较大。本报告从宏观经济框架和估值两个视角，对未来美股走势进行研判。\n观点一：在美国宏观经济分析框架中，收入决定消费，消费主导经济，收入为美股领先指标，就业为滞后指标。1965年至今美国的历史实践表明，实际单位时间收入增速的下降，预示美股随后将出现较大幅度调整或陷入熊市，为分析框架中的逻辑提供了验证。\n观点二：基于宏观分析框架逻辑和视角，未来美股步入熊市只是时间问题，因为领先指标实际单位时间收入增速将不可避免进入一个明显下降期。一是公共卫生危机期间美国财政债务负担显著重于次贷危机，个人转移支付收入高增长不可持续，实际单位时间收入增速的异常提高只是暂时现象。二是疫情期间服务业失业现象最严重，劳动供给减少导致服务业单位时间收入增速不降反升，疫情好转后供给增加将降低服务业收入增速。三是美国通货膨胀水平将逐步恢复到2%的目标值附近，将拉低实际收入增速。\n观点三：基于估值视角，美股回落风险大于上涨概率。一是从历史比较角度看，多指标预警美股正处于估值偏高状态，如标普500市盈率、股油比等估值指标均已处于历史前5%分位，进一步抬升的空间已有限。二是美股头部个股赛道拥挤，估值调整压力更为突出，目前美股6家头部科技公司FAAMNG总市值占标普500比重达到23%，大幅高于历史其他阶段水平。三是推动美股估值上涨的动力正趋于弱化，如受美国财政货币空间日益逼仄、市场通胀预期抬升影响，美债利率下行的动能减弱，海外二次疫情爆发也将对市场风险偏好形成压制，均不利于估值抬升。\n观点四：无论是从宏观框架下的美股领先指标，还是从各种估值指标看，未来美股盈利和估值将大概率向同一方向调整。\n正文：\n2007年美国发生次贷危机以来，美股标普500指数自2009年3月6日见底666.79点，此后一路上涨，截止2020年9月份达到高点3588.11，期间涨幅超过4倍。此轮上涨已长达10余年，未来是否面临大幅调整，海内外各大机构、学界和其他有关部门都有诸多研究，结果不一，争议较大。与市场大部分研究分析不同的是，本报告从两个视角来分析美股，一个是基于美国宏观经济分析框架，提出美股调整的领先指标，并用美国的历史数据进行验证，在此基础上预判美股方向；另一个是从市场普遍运用的估值方法，分析美股的内在调整压力大小。\n一、基于宏观经济框架：收入为美股领先指标\n（一）美国宏观经济分析框架：收入决定消费，消费主导经济，收入为美股领先指标\n个人消费支出（PCE）在美国经济中处于核心地位，2019年其在GDP中的占比达到69.4%（见图1），意味着个人消费支出决定了近七成的实际GDP规模变化。而在由耐用品、非耐用品和服务开支构成的个人消费中，服务支出又处于绝对主体地位，2019年的比重为64.4%。因此，个人消费和服务支出主导着美国宏观经济周期的运行波动。\n决定美国个人消费支出的变量又是什么？为此我们从经济周期的核心决定因素入手，建立美国宏观经济周期的分析框架（见图2）（具体分析请参阅《2020年美国经济衰退？美元资产盛宴结束？》）。从逻辑关系上看，个人收入（主要是工资和薪水）是消费支出的主要驱动力，信贷和借款也能驱动消费支出；消费支出是工业生产周期性波动的关键决定因素，而工业（制造业）生产的增长和下降又是带动资本支出（即厂房和设备开支）变化的重要力量；消费支出、工业生产和服务以及资本支出代表了企业利润的核心变量，因此企业利润主要取决于消费支出；而企业利润的变化，将直接通过股市涨跌体现出来，同时也决定了就业人数的变化。\n在上述框架中，收入不仅是消费的领先指标，也是股市的领先指标，而市场广泛关注的美国就业数据，其实是滞后指标，而非领先指标，是经济变量变化后的事后反映。\n\n（二）美国历史经验：收入为美股领先指标\n收入变量我们选用美国非农企业员工的单位时间收入，并剔除通货膨胀因素的影响，得到实际单位时间收入；美国股票市场则选取采样面更广、代表性更强的标普500指数。由于数据可获取性原因，这里分析1965年1月至今收入与美股之间的关系。\n1、1965-1985年：实际单位时间收入是股市下降的有效领先指标\n在1965-1985年期间，标普500指数经历了跌幅超过或接近20%的6次熊市，即1966年4月-10月、1968年12月-1970年5月、1973年1月-1974年10月、1977年1月-1978年3月、1980年12月-1982年8月、1983年10月-1984年7月。其中5次熊市发生前，都经历了实际单位时间收入增速的下降，后者领先时间长度在1-4个月不等，1980-1982年是例外（见图3）。除此之外，20年期间还出现过三次（1978-1980、1982、1986年）收入增速下降，但美股反而上升的现象，这是否意味着实际单位时间收入增速不是股市的可靠领先指标，答案当然是否定的。\n1978-1980年实际单位时间收入增速下降，但股市反而上涨，主要原因是1978-1980年能源、金属等产品价格大幅上涨，如能源价格指数从5.1%上涨至47.1%，在其推动下美国通货膨胀水平从6%快速提高到近12%（见图4），股票市场中的通货膨胀受益行业股价出现大幅上涨，推高了美股，但非通胀类股票仍然处于熊市。1981-1982年能源、金属等产品价格大幅下降，拉动通货膨胀水平快速下行，通胀受益类股票在高估值和业绩承压的双重压力下大幅调整，导致股市下跌进入熊市。\n\n对于1982年和1986年实际单位时间收入增速下降、美股反向上行，原因在于里根总统减税计划造成的异常。里根总统的减税计划，导致个人所得累进税率从70%降到28%，利息、红利等资本利得税税率从28%降到20%，企业所得税率从46%降低到34%。减税的实质是政府把财政收入的一部分转移给个人和企业，因此尽管居民收入增速没有提高，但单位收入中用于消费的部分增加了。因此，美国历史上每次减税措施出台后，一般都会出现消费支出与收入增速背离发展、股市上涨的现象。由于减税降低了企业投资成本，增加了投资支出和企业利润，也是推动股市上涨的力量。\n综上，单位时间收入下降为美股调整领先指标的结论仍然成立。\n\n2、1986-2006年：实际单位时间收入是股市下降的有效领先指标\n在1986-2006年期间，美股经历了5次熊市，其中4次熊市的出现，收入增速指标都起到了很好的领先作用（见图6）。而2000-2001年长达一年的熊市，实际单位时间收入增速没有起到预示作用，原因在于股市调整前的几年时间里，90年代股市长牛的财富效应使消费支出保持了高速增长（见图5），经济增速呈现出强劲增长势头，如1996-2000年年均GDP增速达到4.3%，导致收入增速放缓对股市的影响出现延迟。但经济规律最终还是会发挥作用，该来的还是会来，2000年开始了长达1年的熊市。\n至于2003-2006年收入增速和股市的反向变化，源于2003年布什总统减税计划造成的异常，具体原因见上文，这里不再赘述。\n\n3、2006-2020年：实际单位时间收入是股市下降的有效领先指标\n在2006-2020年期间，美股经历了6次熊市，其中5次熊市的出现，收入增速指标领先作用明显（见图7）。2018年熊市的出现，实际单位时间收入增速并没有出现下降，主要原因与中美贸易摩擦升级有关，导致市场对经济增长的担忧，情绪转差，风险偏好降低。\n在2006-2020年期间，美国发生了两次性质不一样的危机。一次是始于2007年的次贷危机，另一次是2020年初以来正在经历的新冠肺炎疫情公共卫生危机。两次危机的发生，实际单位时间收入增速不降反升，看似违背常理，实际上并不矛盾。一是危机期间美国货币财政政策都采取了积极应对措施，转移支付力度明显加大，包括社会保障、医疗保险、医疗补助、失业保险、退伍军人福利等在内的个人转移支付收入增速快速提高，带动个人收入增速提高（见图8），但由于转移支付持续性不强，最终收入增速将回归经济基本面决定；二是危机发生后通货膨胀水平都会出现大幅下降（见图9），导致实际收入增速提高，但随着经济的恢复，通胀水平将趋于提高，实际收入增速也将下降。因此，危机期间实际单位时间收入增速的提高，是一种暂时性现象。\n\n二、美股步入熊市只是时间问题\n（一）领先指标实际单位时间收入增速将不可避免地经历一个下降期\n2007年次贷危机的实践表明，实际单位时间收入增速在政策刺激和通缩影响下，经历短暂的提高后趋于下降，随后股市在2010和2011年两次步入熊市（见图7）。与次贷危机相比，2020年发生的公共卫生危机，对单位时间收入增速的影响可能更大，高增速更难持续，未来下降不可避免。\n一是公共卫生危机期间个人转移支付收入增速明显高于次贷危机，但美国财政债务负担显著重于次贷危机，转移收入高增长不可持续。如2008年美国联邦财政预算赤字为4590亿美元，当年实际赤字6805亿美元，财政赤字超过预算水平的48%；而2020年预算赤字为10830亿美元，但今年1-8月实际发生赤字26508亿美元，已超过预算水平的145%（见图10），年内随着新财政刺激政策的出台，赤字将再创新高。因此，如果美国继续实施财政刺激，短期内能勉强维持收入增速，但根据2008-2009年的历史经验，收入增速回归经济基本面支配是必然选择，下降难以避免（见图11）。\n\n二是服务业单位时间收入难以持续高增长。从行业就业数据看，服务业在美国非农就业中占比最高，2019年以来持续保持在86%左右，因此服务业单位时间收入决定了整个非农就业的单位时间收入水平。但在2020年疫情公共卫生危机冲击下，出现一个反常现象，就是服务业单位时间收入增速出现大幅提高，而不是下降，从而带动单位时薪增速出现跃升（见图12）。其中原因在于，疫情冲击下劳动聚集性服务业受到的冲击最大，失业现象最严重（见图13），就业人数减少导致工资和单位时薪不减反增。但是，这种现象属于疫情卫生危机的特有现象，在2007年次贷危机中并没有出现，所以只要疫情出现好转，尤其是疫苗出现后，服务业就业人数就会逐步恢复正常，服务业单位时薪也将降至正常水平，从而推动单位时间收入增速下降。\n三是美国通货膨胀水平将逐步恢复到2%的目标值附近。疫情冲击下美国需求下降，通胀水平也经历了快速下降，如个人消费支出物价指数（PCE）从2020年1月份的1.9%，快速降至4月份的0.5%（4月为上半年疫情爆发高峰期），随后逐步恢复到7月份的1.0%。预计未来通胀水平将在美联储宽松货币政策刺激和疫情好转的联合作用下，逐步恢复到2%甚至更高水平，剔除通胀因素后，实际单位时间收入增速将降低。\n当前虽然全球疫情第二波正在来袭，但在拥有前期防控经验和疫苗有望上市的基础上，疫情对全球经济影响的最严重阶段大概率已经过去。疫情的蔓延和迟迟难以结束，会使全球经济复苏的速度放缓，经济恢复到疫情前水平的时间延长，宽松货币财政政策的退出时间也被延长，但疫情迟早会被战胜，不会改变经济复苏的趋势。因此，转移支付收入和服务业单位时间收入增速将会下降，通胀水平将上升，在三方面因素的共同作用下，未来美国实际单位时间收入增速将经历一个明显的下降期。\n\n（二）美股进入熊市只是时间问题\n根据美国宏观经济分析框架，以及实际单位时间收入增速下降领先美股调整的历史经验（收入增速提高不是美股的领先指标），未来美国股票市场演变将大概率遵循如下逻辑：实际单位时间收入增速下降，占美国GDP近70%的消费支出增速降低，带动工业生产和资本支出进入下降周期，实际GDP增速将随之降低，企业利润恶化，美国股市调整。因此，在未来实际单位时间收入增速将不可避免地经历一个下降期的前景下，美股经历熊市也只是时间早晚问题。\n三、估值视角：回落风险大于上涨概率\n根据经典的DDM股票定价模型，股票价格取决于盈利、无风险利率和风险偏好三个因素。因此，除了上文所分析的盈利因素外，能综合反映无风险利率和风险偏好的估值，也是影响美股的重要因子。根据我们的统计，1991年以来盈利和估值对美股的贡献不一，总体上估值的影响不容小觑，尤其是当估值与盈利出现背离时，股指涨跌有时会选择和估值站在同一边，如1994、2000、2002和2018年等（见图14）。\n\n那么当前美股估值处于什么水平？未来是否还有抬升空间？本文认为美股估值回落风险或已大于上涨概率。\n一是从历史比较角度看，多指标预警美股正处于估值偏高状态。本文选取九个经典的金融指标对美股进行全面体检（见表1），结果显示：其一，反映美股价格与盈利增长空间偏离程度的市盈率、市销率、市净率、市现率等估值指标中，有两个已处于历史前5%区间，最低的市现率也位于历史前23%的水平，表明上述指标进一步抬升空间均较为有限。其二，反映美股与其他大类资产性价比的股金比、股油比、股票收益率/十年期国债收益率等指标，分别位于历史前30%、5%和1%分位，也显示美股获得超额收益的概率偏低，吸引力不及其他资产。其三，从美股总市值占GDP的比重看，目前该值已处于历史最高位，达到239.4%，高出07年牛市高点近100个百分点，意味着目前美股已严重脱离基本面，未来估值收敛压力非常大。\n\n二是美股头部个股赛道拥挤，估值调整压力更为突出。从全部美股估值分布看，高低估值分化极端，2020年高估值个股数量占比大幅提升，估值结构稳定性堪忧，如截止9月23日，美股15倍以上PB（即市净率=每股股价/每股净资产）个股数量占比达到6.1%，为2010年和2019年的3倍以上（见图15）。从标普500中6家头部公司市值占比看，美股上涨过度集中的情况更为突出，如截止2020年9月23日，美股6家头部科技公司FAAMNG总市值占标普500的比重为23%左右，较年初提高逾5个百分点，高于互联网泡沫期间DOTCOM市值占比高点近7个百分点。美股高估值个股数量占比过大，头部个股赛道拥挤，意味着市场微观结构脆弱性增加，一旦前期推动估值上涨的因素有所弱化，抱团板块带动全部美股估值回调压力将非常大。\n三是推动美股估值上涨的动力正趋于弱化。根据DDM模型，估值上升主要由无风险利率下降或风险偏好上升推动，如疫情发生以来，美国十年期国债收益率中枢大幅回落100BP以上，是本轮美股估值抬升的主因。但随着美国财政货币空间日益逼仄，市场通胀预期抬升，美债利率继续下降动能明显弱化，同时海外二次疫情爆发对市场风险偏好的抬升也将持续形成制约。具体来看，其一，美国联邦基金目标利率已降至0-0.25%的历史最低位（见图16），且美联储多次明确表示不会实行零利率，意味着美国降息驱动市场利率下行的空间已微乎其微。其二，美联储本轮扩表力度为2008年金融危机期间的两倍以上，且近期美联储调整其货币政策框架，短期通胀水平超过2%的目标值也不加息，均可能会推升市场通胀预期，引发利率上行。在9月最新议息会议纪要中，美联储已全面上调美国2020、2021和2022年个人消费支出（PCE）通胀水平。6月份以来，美国核心PCE也已出现抬升迹象(见图17)，均指向美国通胀回升或难以避免，美债利率上行风险加大。\n\n四、结论：未来美股步入熊市只是时间问题\n无论是基于宏观框架下的美股领先指标——实际单位时间收入增速在未来将不可避免地经历一个下降期，还是从各种估值指标看，未来美国股市盈利和估值将大概率向同一方向调整，意味着美股步入熊市只是时间问题。过渡期的长短，由于疫情影响，尤其是疫情期间出台的系列刺激政策，对影响股市波动的周期性因素形成很大扰动。因此，预计要等疫情消退、经济恢复到正常周期，经济周期因素再次决定经济发展后，更能作出较好的判断。","news_type":1,"symbols_score_info":{".DJI":0.9,".IXIC":0.9,".SPX":0.9}},"isVote":1,"tweetType":1,"viewCount":2856,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"EN","totalScore":0}],"defaultTab":"followers","isTTM":true}