[外行报告] 德意志银行：美国证券市场投资策略报告2009年3月 [推广有奖]

27 February 2009
US Equity Pulse
Equities and the
Uncertainty Premium
Binky Chadha
Chief US Equity Strategist
(+1) 212 250-4776
bankim.chadha@db.com
Parag Thatte
Research Analyst
(+1) 212 250-6605
parag.thatte@db.com
Deutsche Bank Securities Inc.
All prices are those current at the end of the previous trading session unless otherwise indicated. Prices are sourced from local
exchanges via Reuters, Bloomberg and other vendors. Data is sourced from Deutsche Bank and subject companies. Deutsche
Bank does and seeks to do business with companies covered in its research reports. Thus, investors should be aware that the firm
may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single
factor in making their investment decision. Independent, third-party research (IR) on certain companies covered by DBSI's research
is available to customers of DBSI in the United States at no cost. Customers can access IR at
http://gm.db.com/IndependentResearch or by calling 1-877-208-6300. DISCLOSURES AND ANALYST CERTIFICATIONS ARE
LOCATED IN APPENDIX 1.
ERDR and earnings uncertainty...
3.5%
4.5%
5.5%
6.5%
7.5%
8.5%
9.5%
10.5%
11.5%
12.5%
13.5%
14.5%
Mar-45
Mar-49
Mar-53
Mar-57
Mar-61
Mar-65
Mar-69
Mar-73
Mar-77
Mar-81
Mar-85
Mar-89
Mar-93
Mar-97
Mar-01
Mar-05
Mar-09
Earnings Dispersion
7.5%
8.5%
9.5%
10.5%
11.5%
12.5%
13.5%
14.5%
Equity Discount Rate
Earnings Dispersion
Equity Risk Discount Rate
Correl = 82%
... and IP Volatility
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
Mar-49
Mar-54
Mar-59
Mar-64
Mar-69
Mar-74
Mar-79
Mar-84
Mar-89
Mar-94
Mar-99
Mar-04
Mar-09
IP Vol
7.5%
8.5%
9.5%
10.5%
11.5%
12.5%
13.5%
14.5%
Equity Discount Rate
Industrial Production Volatility
Equity Risk Discount Rate
Correl since
1948: 0.41
1965: 0.49
... and inflation volatility
Correl Since
1946: 42%
1965: 17%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
Mar-45
Mar-49
Mar-53
Mar-57
Mar-61
Mar-65
Mar-69
Mar-73
Mar-77
Mar-81
Mar-85
Mar-89
Mar-93
Mar-97
Mar-01
Mar-05
Mar-09
CPI Vol
7.5%
8.5%
9.5%
10.5%
11.5%
12.5%
13.5%
14.5%
Equity Risk Discount
Rate
Inflation (CPI) Volatility
Equity Risk Discount Rate
Global Markets Research Company
Changes in the Equity Risk Discount Rate (ERDR) have historically been the
predominant driver of equities. The ERDR has risen sharply from its mid-2007
lows of 8.1%, but at 10.1% is only modestly above its historical average of
9.7%. What drives the ERDR? What therefore are the prospects (Figure 1)?
Uncertainty and the general level of rates are the key fundamental drivers.
In that the ERDR embodies a return for risk borne by investors, it will be positively
related to perceived uncertainty, both real (growth) and nominal (inflation). In that
the ERDR is a nominal discount rate, it will also be positively related to the
prevailing and expected levels of real interest rates and inflation.
Measures of uncertainty and the general level of rates explain the majority
(two-thirds) of the historical movements in the ERDR.
Uncertainty is arguably the key driver of changes in the ERDR. This is evident from
the strong correlation (82%) between the ERDR and the dispersion of analysts’
earnings estimates across the S&P 500 (available only since 1985). Using other
measures of uncertainty available for longer, the ERDR has been consistently
positively correlated with the vol of IP, and with the vol of inflation (but somewhat
less so recently). The ERDR has also been correlated with the general level of
yields, particularly since the 1960s, more so with the inflation than the real interest
rate component. Together, uncertainty and the general level of rates explain
around two-thirds of the movements in the ERDR in the postwar period and a
larger proportion more recently (Figures 2-8).
The outlook for the ERDR: declines in growth and inflation vol the key.
In terms of its drivers, the steep rise in the ERDR since mid-2007 primarily
reflected large increases in growth and inflation vol, while declines in Treasury
yields partly offset this. As to prospects, our economists’ baseline economic
forecasts see growth bottoming in H1 2009 while inflation falls further, before
both gradually recover over the medium term. This implies higher yields over the
medium term which argues for further increases in the ERDR. But the baseline of
a recovery would also imply significant reductions in growth and inflation vol over
the medium term. The increases in growth and inflation vol have been so large
that even if they were not to fall back to pre-crisis levels but, say, only to average
1970s levels, they would imply significant reductions in the ERDR that would
outweigh the impact of higher yields. In the near term, extreme policy uncertainty
has added to the rise in real growth and inflation vol, extracting a further toll on
equity markets. It remains to be seen whether the Treasury’s recently announced
Financial Stability Plan will succeed in dispelling this uncertainty (Figures 9-12).

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