Sottovalutato del 45% - Gzibordi
By: GZ on Martedì 16 Luglio 2002 22:39
Questa probabilmente è la stima più ottimistica della situazione che ho letto. Chi scorre il wall street journal forse ieri l'ha vista e la metto qua così uno la legge e alla sera dorme contento.
E' di Arthur Laffer, che è stato l'architetto della politica economica della casa bianca negli anni '80 (il tizio che ha inventato la supply side economics) e che fa consulenza finanzaria per fondi e istituzioni.
Laffer dice : non guardare ai bilanci su cui ora ci sono tante discussioni. Guarda ai dati della contabilità economica nazionale come risulta dalle tasse pagate. (National Income and Product Accounts, compilati dal Department of Commerce's Bureau of Economic Analysis (BEA)).
Se si fa uno studio degli ultimi 30 o 40 anni degli utili aziendali in base a questi dati, che sono i più attendibili che ci sono in america, non ho ovviamente i profitti un poco gonfiati del 1998-2001.
Ma vedo una serie storica degli utili aziendali che, divisa per i tassi di interesse, mi da la "capitalizzazione" vera della borsa americana.
Secondo Laffer (vedi grafico in fondo) questa serie degli utili reali non è variata di molto negli ultimi anni nella sua crescita (perchè non sono quelli che le aziende mostrano agli analisti, ma quelli che entrano in contabilità nazionale).
Quello che è variato molto è l'andamento dell'S&P 500 che però ora continua a scendere mentre gli utili aggregati continuano a salire.
La conclusione è che facendo questi conti alla fine l'S&P 500 è sottovalutato del 45% circa.
(Notare che il modello IBES che usa gli utili previsti medi e che utilizzano in tanti lo da a uno sconto del 30% circa)
A Buying Opportunity
By ARTHUR B. LAFFER
For two and a half years now asset values and the economy itself, to a lesser extent, have been in a tailspin. From their early 2000 peaks, the Dow Jones Industrial Average is off by 25%, the Standard & Poor's 500 by 40% and the Nasdaq by 73%. With 20/20 hindsight, everyone now seems to agree that asset values were too high in early 2000. But if stock prices were too high back then, how do we know when they have fallen enough to warrant increasing exposure to equities? Without dwelling on the past, no matter how tragic it may have been, the real question is, what do we have to look forward to?
Having no psychics on staff nor a direct line to God -- unlike some of my colleagues -- the way I try to range the stock market is by comparing capitalized economic profits to the S&P 500 Index. And, to cut to the chase, right now equities are dramatically undervalued relative to capitalized economic profits -- more so than at any time over the past six years. This means we're due for a significant market run-up.
To illustrate how the market valuation model works, I like to imagine the U.S. as a single company and myself as an investment banking firm. If I were asked to take U.S.A. Inc. public, I'd, of course, say yes. All investment banking firms want the fees. Once the deal points were agreed upon, my task would be to figure out what U.S.A. Inc.'s market capitalization/enterprise value/initial public offering price should be -- a formidable task to be sure, but a task investment banks do every day. And the way they do it is quite straightforward.
The first question an investment bank would ask is, does U.S.A. Inc. have profits? The answer is a resounding yes. In the National Income and Product Accounts, compiled by the Department of Commerce's Bureau of Economic Analysis (BEA), you'll find the best profits data available. Here literally scores of professionals take the tax returns of corporations (some five million at present) and put them on a consistent accounting basis. Because the BEA data are based on the tax returns of corporations filed with the IRS, and the BEA does all it can to eliminate reporting anomalies, these data are virtually unaffected by all the flim-flam financial accounting practices used by many companies of late.
Now, with economic profits data in hand, a good investment banking firm would then want to know if there are any comparable market data that would allow it to capitalize U.S.A Inc.'s profits in order to estimate the appropriate market value of U.S. corporations. And, again, the answer is yes. We have bond and interest rate data for the U.S. that go back to the original 13 colonies. The price of a bond divided by its coupon is a price/earnings ratio, pure and simple. So, to get a first order estimate of what the market capitalization of U.S.A. Inc. should be, we need to capitalize economic profits by using the appropriate discount factor, which I take to be the yield on the 10-year U.S. government note.
By dividing any given quarter's economic profits by the average daily 10-year note yield, we can calculate capitalized economic profits, which is an estimate of U.S.A. Inc.'s market capitalization. Carrying out this calculation quarter by quarter back in time, we have a time series of what an investment banking firm would estimate the market capitalization of U.S.A. Inc. to be. And, in addition, we have actual market capitalization data in the form of stock market indices.
Comparing actual stock data with capitalized economic profits (see chart nearby) yields a measure of either overvaluation or undervaluation of the market, or perhaps expectations of things to come that aren't already in the data. Just viewing the plot of the two series illustrates the remarkable closeness of fit.
On a more careful viewing, all sorts of interesting features pop up. The lack of confidence in U.S. economic policies in the mid-1970s is obvious from the huge gap between capitalized economic profits and stock prices. That gap shouldn't surprise anyone who remembers the gas lines, federal marginal income tax rates of up to 70%, inflation rates in the teens, a 21% prime interest rate, race riots and worker strikes. Yikes! The huge surge in both series in the early 1980s, once Paul Volcker's and Ronald Reagans' policies kick in, is readily visible, as is the 1987 market bubble and subsequent crash. Even George H.W. Bush's and Bill Clinton's tax increases are apparent.
Also visible is the Y2K bubble. Back in late 1999 and early 2000, the Federal Reserve and others believed there was a serious Y2K problem. Anticipating widespread computer failures and runs on banks, the Fed expanded the monetary base dramatically to ensure that banks would have adequate funds on hand to meet deposit withdrawals and avoid a financial panic. The expanded base, however, also led to an explosion in asset values and excessive real growth as banks were no longer reserve-constrained from making loans; thus the high-tech bubble.
Then, doing exactly what it should have done given its earlier mistake, the Fed removed all of the excess base in early 2000, and the entire process reversed. Asset values fell, the economy slowed and interest rates retreated, and, as if that weren't enough, the events of Sept. 11 and the subsequent accounting crisis "piled on."
This brings us to today. For those who like price/earnings ratios, the conclusion is simply that stock prices are uncommonly low when compared to bond prices and properly reported corporate profits. The price of a bond in relation to its coupon is not only the inverse of that bond's yield, but is itself a price/earnings ratio. When yields on bonds fall, price/earnings ratios should rise. Given what's happened to interest rates, price/earnings ratios should also rise. But as of today, stock prices have not only not risen, they have fallen way out of line with corporate profits and the current level of interest rates.
Edited by - gzibordi on 7/16/2002 20:42:18