【出版时间及名称】：2010年3月欧洲证券市场投资策略报告
        【作者】：德意志银行
        【文件格式】：pdf
        【页数】：36
        【目录或简介】：

We continue to think 2010 will be a dispute between very supportive micro factors and
the very worrying fiscal position of many Western Governments. This argues for range
trading and volatile markets until either of these factors wins out. Even if all goes quiet
on the Sovereign front for a period of weeks or months, the concerns around Sovereign
funding will be here for several years so we need to be ever vigilant.
Outside company specifics, the stock picker has only had to worry about market
prospects, sector rotation risk and maybe styles. Thanks to the escalation in sovereign
risk, countries are becoming important again. We need to account for the possibility
that countries will exert a persistent influence over stock returns. The higher spread in
bond yields that now exists across Europe could presage a wider spread in betas
across European countries (Figure 1, pg5).
In this note we have put together a set of tools that can hopefully help equity investors
navigate the minefield that is sovereign risk. In addition to home country sales
exposures and sales correlations, we have looked at the change in share price
correlations between sectors and countries (Figure 15, pg16 to Figure 23, pg24), and
there is now a high incidence of companies across Greece, Italy, Portugal, Ireland and
Spain where stocks are more correlated to their country than their sector. There are
also some signs that some stocks across core Europe and the UK are starting to adopt
a greater country correlation.
We highlight the following companies (Figure 14, pg15) that have seen a rise in their
local country correlation relative to their Pan-European sector correlation: Mapfre,
Iberdrola, Banco Sabadell, Mediaset, Enel, UBI Banca, Telecom Italia, Bulgari,
BNP Paribas, Societe Generale, France Telecom, Deutsche Post, ThyssenKrupp,
Munich Re, adidas, E.On, RWE, Aegon, AkzoNobel, Barclays, RBS, AMEC, Capita,
Kingfisher, Home Retail and Next.
The stocks where the sector correlation remains dominant include: L’Oreal, Pernod
Ricard, Essilor, Heineken, Reed Elsevier, Royal Dutch Shell, Diageo, Smith &
Nephew, Vodafone, GSK, Reckitt Benckiser, BAT, Imperial Tobacco, Autonomy
and Tesco.
Spain may well fall victim to sovereign risk, but year to date the IBEX has fallen as
much as Greece and yet government bond yields have fallen. An overweight in Spain
also drops out of our sector allocation and country scorecard (Figure 4, pg8). Perhaps
Spain now represents an opportunity.
Financial markets could still target the UK, particularly if there is a rating downgrade,
but the UK equity market has many defensive properties. It is the most globally
exposed market in Europe (Figure 11, pg 11) and since the mid-90s has tended to
respond positively to Sterling weakness. The UK is also seeing stronger earnings
momentum than Europe and is better value. A hung parliament will not be great news,
but only a repeat of 1976 (Figure 7, pg 10) when the government went to the IMF, has
the capacity to seriously damage the UK market’s appeal. For choice, we would rather
be overweight the UK than underweight relative to Europe.