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1、GLIAcceleration(%)高盛国际高盛国际2012 年 11 月 13 日欧洲策略焦点证券研究报告CEEMEA 股票市场与宏观经济指标的关系继 6 月份步入复苏阶段之后，我们的全球领先指标(GLI)于 8 月份进一步改善至“扩张阶段”，最新的 10月份数据更是显示出持续的积极势头。此外，在美联储(QE3)和欧洲央行(OMT)的强有力政策推出之后，全球金融状况已经显著放松，这为复苏奠定了良好基础。我们在本报告中探求 CEEMEA 股票市场与全球周期之间的关联。我们发现，俄罗斯是周期性最强的市场，而南非最具防御性。股市与全球周期之间存在显著关联我们通过 15 年的每日数据分析发现，在扩张
2、阶段股市经风险调整的预期回报往往最为强劲。因此，我们建议投资者今后密切关注 GLI 和宏观经济数据。俄罗斯和捷克市场存在上行空间Kasper Lund-Jensen+44(20)7552-0159 kasper.lund-彼得欧品海默+44(20)7552-5782 经风险调整的预期回报在各国、各行业以及商业周期的四个阶段都存在很大差异。俄罗斯是周期性最强的市场，而南非最具防御性。Sharon Bell, CFA 但并非所有的全球扩张都具有相同影响 幅度是关键更强劲的上扬往往受到更有力的扩张支撑，反之亦然。因此，预期回报不仅取决于经济是否处于扩张阶段，还取决于扩张幅度。与以往周期相比，当前周期
3、相对较浅，因此对股市的影响程度更小。本报告最初发表于 10 月 31 日的“CEEMEA 经济分析”。幅度是关键：更大幅度的扩张往往带来更高回报+44(20)7552-1341 高盛国际Gerald Moser+44(20)7774-5725 高盛国际Christian Mueller-Glissmann, CFA+44(20)7774-1714 christian.mueller-0.2RecoveryOct-11Nov-11ExpansionExpected RealMonthly Return:高盛国际0.10-0.1Jun-12May-12ContractionJul-12Apr-12
4、Aug-12Sep-12Oct-12Feb-12Mar-21Dec-11Jan-12ExpectedreturnsincreasesSlowdown2%1 to 2%0 to 1%-1 to 0%-2 to -1%2%1 to 2%0-0.1Jun-12May-12ContractionApr-12Mar-21Oct-12Feb-12Jan-12ExpectedreturnsincreasesSlowdown0 to 1%-1 to 0%-2 to -1% -2 %-0.2-0.3-0.10.1GLI Growth (% mom)0.30.5The estimated expected ret
5、urns are based on the panel data specification in Exhibit 17 in the appendix.Source: Goldman Sachs Global ECS ResearchThe analysis in Exhibit 6 does not take this issue into account as it is based on the assumptionthat all expansions are equal in the sense that they have the same impact on expected
6、returns.For example, a strong expansion with 1.0% GLI month-on-month growth or a weak expansionwith 0.1% GLI month-on-month growth is assumed to have a similar impact on expected returns.In order to control for this potential problem, we have also estimated a model where we allow theexpected equity
7、returns in the next month to depend on the magnitude of the GLI-Growth andGLI-Acceleration in the current month (see the Appendix for details on the difference between thetwo model specifications). The results, which are presented in Exhibit 17 in the Appendix, areintuitive and fairly homogeneous ac
8、ross all seven CEEMEA countries. They suggest that both GLIgrowth and GLI acceleration have a highly significant impact on expected equity returns. Thisimplies that all expansions are not exactly equal: a relatively weak expansion, in terms of GLIgrowth, will have a relatively smaller positive impac
9、t on expected equity. This point is illustrated inExhibit 7, which depicts this models more continuous relationship between expected returns andthe state of the business cycle. Exhibit 8 illustrates how expected returns have changed over thecycle in the past 13 months. Interestingly, expected return
10、s have increased since June 2012. Thatsaid, the GLI still needs to improve substantially in order to predict significantly higher expectedreturns in the future.高盛全球经济、商品和策略研究3%2%Jul 126%4%62012 年 11 月 13 日欧洲Exhibit 8: Expected returns in CEEMEA have increased as the global cycle has stabilisedExpect
11、ed Real Monthly Returns1%0%-1%November 2011(based on GLI Oct-11)November 2012(based on GLI Oct-12)-2%-3%-4%PolandCzech RepublicHungaryRussiaTurkeyIsraelSouth Africa-5%Nov 11 Dec 11 Jan 12 Feb 12 Mar 12 Apr 12 May 12 Jun 12Aug 12 Sep 12 Oct 12 Nov 12Source: Goldman Sachs Global ECS ResearchCross-coun
12、try variation and opportunities across the global cycleThe main message from Exhibits 5 and 6 is that the risk-return trade-off in CEEMEA equitymarkets is closely related to the phase of the global business cycle. However, there is a fairamount of cross-country variation within each phase. For examp
13、le, Russia and Turkey tend toreact strongly if the global business cycle turns into an expansion phase or if it enters into acontraction (see Exhibit 9). Therefore, there is potentially a large upside in these markets if theglobal cycle turns towards an expansion. However, although these equity mark
14、ets tend togenerate higher expected returns during an economic expansion, there are also more risksassociated with investing in these markets. This point is clearly illustrated in Exhibit 11, whichshows both the expected returns and the risk-adjusted expected returns during the four phases.Exhibit 9
15、: Russia is the most cyclical market and SouthAfrica is the most defensiveExpected real monthly returns2%0%-2%Exhibit 10: CZK, ILS and RUB tend to generate thestrongest risk-reward trade-off during an expansionOutperforming equity markets during the four phasesExpansion:Czech RepublicIsraelRussia-4%
16、-6%-8%Recovery:IsraelRussiaSouth AfricaSlowdown:HungaryIsraelTurkey-10%-12%ExpansionContractionSlowdownRecoveryContraction:(South Africa)(Poland)-14%RussiaTurkey Hungary Czech IsraelRepublicPolandSouthAfrica(Israel)Source: Goldman Sachs Global ECS ResearchBased on risk-adjusted expected returnsSourc
17、e: Goldman Sachs Global ECS Research高盛全球经济、商品和策略研究72012 年 11 月 13 日Exhibit 11: Risk-reward trade-off in CEEMEA over the business cycle欧洲Expected Real Monthly ReturnExpected Real Monthly Return / VolatilityExpansionSlowdownContractionRecoveryExpansionSlowdownContraction RecoveryCzech RepublicPolandHu
18、ngaryRussiaTurkeyIsraelSouth AfricaCEEMEA Average3.1%3.1%2.8%4.7%3.1%2.8%1.2%3.0%0.6%0.2%0.9%0.9%1.2%0.7%0.2%0.7%-5.2%-4.3%-5.6%-11.8%-7.8%-4.9%-3.8%-6.2%-0.9%-1.0%-0.7%2.9%-0.2%1.8%0.3%0.3%54.5%42.9%38.4%44.7%28.6%46.4%24.1%39.5%9.9%2.6%11.5%8.2%11.3%13.1%2.9%8.8%-52.4%-53.0%-52.4%-61.2%-48.4%-65.1
19、%-48.5%-54.6%-11.3%-10.8%-6.2%16.4%-1.7%22.9%4.0%2.9%Blue shading for top 3 performers; Negative risk-adjusted expected returns are ignored.Source: Goldman Sachs Global ECS ResearchOn a risk-adjusted basis, i.e. when adjusting for price volatility, the Czech Republic and Israeltend to outperform Rus
20、sia, and particularly Turkey, during an expansion. In the recovery phase,Israel and Russia tend to generate the best risk-reward trade-off. South Africa tends to be themost defensive equity market in the CEEMEA region. When the cycle moves into the contractionphase, expected losses are modest (-3.8%
21、) in South Africa relative to the CEEMEA average (-6.2%). Naturally, a potential superior option is simply to invest in a different asset class when oneexpects the economy to move towards an economic contraction.A summary of the best performing equity markets, based on risk-adjusted expected returns
22、, in thefour phases of the global business cycle appears in Exhibit 10.Sector sensitivities: Identifying cyclical and defensive sectorsLastly, we also evaluate how the risk-reward trade-off varies across the global business cycle fordifferent sectors in the CEEMEA region. This analysis is based on t
23、he MSCI EM EMEA sectorindices. This index is a free-float-adjusted, market-cap-weighted index of market indices in theCzech Republic, Hungary, Poland, Russia, Turkey, Egypt, Morocco and South Africa, andtherefore provides a good approximation of the CEEMEA region. Due to data availability, thissecto
24、r analysis is based on daily data starting from January 1, 2001.Exhibit 12 illustrates how the expected returns across the 10 sectors move through the fourphases of the global business cycle. There are large variations across sectors. For example,during an expansion, the Utilities, Consumer Discreti
25、onary and Energy sectors tend to generatehigh expected returns (4.7%, 3.4% and 3.3%, respectively) relative to the MSCI EM EMEAaverage (2.9%). On a risk-adjusted basis, Industrials tend to be the strongest performing sectorduring an expansion.Consumer Staples and Health Care seem to be the most defe
26、nsive sectors. When the cycle turnsto a contraction, expected returns are only mildly negative (-0.9% and -1.1% respectively) relativeto a monthly expected loss of -4.8% for the MSCI EM EMEA.高盛全球经济、商品和策略研究Feb-11Apr-11Jan-11May-11Aug-11Sep-11 Nov-11Dec-11Jun-11Jul-12Feb-12 Mar-12Sep-12Oct-12Apr-12Jun
27、-12082012 年 11 月 13 日Exhibit 12: Large variation in sector sensitivities over the global business cycle欧洲Expected Nominal Monthly ReturnExpected Nominal Monthly Return / VolatilityExpansionSlowdownContractionRecoveryExpansionSlowdownContractionRecoveryUtilitiesTelecommunication ServicesMaterialsInfo
28、rmation TechnologyIndustrialsHealth CareFinancialsEnergyConsumer StaplesConsumer DiscretionaryMSCI EM EMEA4.7%2.7%2.7%0.8%3.0%2.3%2.9%3.3%3.0%3.4%2.9%0.7%1.5%0.8%-0.9%1.1%0.4%1.0%1.4%1.5%1.6%0.9%-3.7%-4.8%-4.6%-7.1%-4.4%-1.1%-4.0%-5.3%-0.9%-4.6%-4.8%1.9%0.7%3.4%2.1%0.7%2.7%0.0%1.3%2.3%2.9%1.5%56.5%5
29、5.7%40.5%9.6%76.9%44.0%62.1%73.0%73.0%65.3%64.2%9.6%26.6%12.0%-11.7%23.2%7.4%18.2%33.2%33.2%27.8%18.5%-26.9%-50.4%-41.9%-58.5%-65.2%-13.8%-48.5%-14.0%-14.0%-54.4%-51.9%18.9%9.9%40.9%14.2%13.2%42.3%0.3%42.7%42.7%38.8%22.6%Blue shading for top 3 performers; Negative risk-adjusted expected returns are
30、ignored.Source: Goldman Sachs Global ECS Research, FactSetIdentifying outperformers when the cycle turnsOur analysis has shown that CEEMEA equity markets are closely related to the global businesscycle. In particular, we have shown that equities tend to deliver the strongest risk-reward trade-offdur
31、ing an expansion. We have also shown that there are variations in risk-adjusted expectedreturns across countries and within sectors during the four phases of the global cycle. At thecountry level, we found that the Czech Republic, Russia and Israel generate a strong risk-rewardtrade-off during a glo
32、bal expansion. At the sector level, Industrials, Energy and Utilities tend toperform well. This suggests that there could be benefits from active portfolio management overthe business cycle.Furthermore, we found that expected returns tend to be quite sensitive to GLI momentum:stronger rallies tend t
33、o be underpinned by more robust recoveries, and vice versa. Therefore, itmatters where the GLI is located within the expansion territory.Exhibit 13: CEEMEA equity markets have reboundedsince the trough in the summer of 2011.120Exhibit 14: but the CE-3 and Russia have still onlyrecovered less than 50
34、%200180Retracement, %1001601408012010080Recovery to Spring 2011 peak6040Czech RepublicPolandTurkeySouth AfricaHungaryRussiaIsraelS&P 500604020Russia Czech Hungary PolandRepublicIsraelTurkey S&P 500 SouthAfricaSource: Goldman Sachs Global ECS Research高盛全球经济、商品和策略研究Source: Goldman Sachs Global ECS Res
35、earch92012 年 11 月 13 日欧洲Finally, in order to evaluate which markets offer higher upside, we complement our analysis bylooking at the relative retracements since the trough in the summer of 2011 (Exhibits 11 and 12).Interestingly, there is quite a lot of cross-country variation. On the one hand, in R
36、ussia and theCE-3, equity markets have still only recovered around 50% or less. On the other hand, equitymarkets in South Africa and Turkey have already reached their spring 2011 highs. In our view, akey driver of this cross-country variation is the exposure to the Euro area. The weak Europeanmacroe
37、conomic outlook, together with the uncertainty related to the European sovereign debtcrisis, is likely to have depressed equity markets in the CE-3. Consequently, any signs ofimprovement in Europe are likely to translate into a strong equity performance in these markets.Based on this additional anal
38、ysis, the equity markets in Russia and Czech Republic are likely toperform well if the global business cycle moves into an expansion. Therefore, we recommend thatinvestors monitor data releases and the macroeconomic outlook closely. In particular, it will beinteresting to see whether the GLI will re
39、main in expansion territory and whether it will besignaling a weak or strong expansion.高盛全球经济、商品和策略研究6.0%6.4%6.8%7.2%7.6%8.0%8.4%8.8%9.2%9.6%10.0%1500401102012 年 11 月 13 日欧洲Appendix A: Measuring volatility based on high frequency dataAn assets volatility is generally considered a rough measure of it
40、s risk. However,volatility is unobservable, even ex post. This is problematic as it complicates theevaluation of the relative risk-reward of any given investment. Here, we addressthis issue by using a high frequency econometric approach to estimate thevolatility. As we discuss in the following, this
41、 approach allows us to obtain amore precise estimate of an assets unobserved volatility.The high frequency econometric approach is based on the assumption that theprice of an asset follows a continuous process but that we only observe theprice at a finite frequency. For example, we might observe the
42、 price at a daily ormonthly frequency. In a simple model framework, one can show that theprecision of the volatility estimate depends critically on the data frequency.Interestingly, by increasing the frequency one is able to obtain more precisevolatility estimates (Exhibit 15). Exhibit 15 illustrate
43、s the (asymptotic)distribution of the volatility estimator at different sample frequencies based ona sample of five years. The volatility estimate based on daily data is clearly moreprecise relative to an approach based on monthly data. In order to visualise thisissue, Exhibit 16 illustrates two sim
44、ulated price processes and their volatilityestimates based on monthly or daily data. The monthly volatility estimatorignores a lot of relevant information in the data.In principle, it is possible to obtain even more precise estimates using intra-dailydata. However, at such high frequencies this mean
45、s dealing with issues relatedto microstructure noise, and this is beyond the scope of this piece.Exhibit 15: Distribution of volatility estimator at differentdata frequenciesExhibit 16: Volatility estimates based on two simulatedprice processes with 8% volatility300250200True = 8%Daily dataWeekly da
46、taMonthly data190140Overestimate the volatilityUnderestimate the volatility150100901. Volatility estimate =1. Volatility estimate =2. Volatility estimate =2. Volatility estimate =7.8% (Daily Frequency)3.4% (Monthly Frequency)8.0% (Daily Frequency)11.5% (Monthly Frequency)JanFebMarAprMayJunJulAugSour
47、ce: GS Global ECS ResearchSource: GS Global ECS ResearchFor more details on how to approach this issue, see Barndorff-Nielsen, Hansen, Lunde and Shephard (2008): Designingrealised kernels to measure the ex-post variation of equity prices in the presence of noise, Econometrica. Vol. 76.高盛全球经济、商品和策略研究
48、112012 年 11 月 13 日欧洲Appendix B: Estimation resultsIn this piece we evaluate how the risk-reward trade-off in CEEMEA equitymarkets depends on the global business cycle. Therefore, we need to model howthe expected return on equities varies through time. The return on an asset canquite generally be wri
49、tten asrt+1 = Ert+1 | Ft + et+1 , et+1|Ft F(0,2)where rt+1=log(Pt+1/Pt), F is a unspecified distribution, et+1 is an error term andErt+1 | Ft denotes the conditional expected return. Most of the analysis in thisnote (including Exhibits 5 and 6) is based on the assumption that the conditionalexpected
50、 return can be written asErt+1 | Ft= 1DExpansion,t + 2DSlowdown,t + 3DContraction,t + 4DRecovery,twhere DPhase,t is a phase specific dummy variable that indicates the phase of thebusiness cycle at time t. This approach is useful as it allow one to evaluate howeach phase of the business cycle impacts
51、 expected returns.The GLI moved into recovery territory in June this year and the October readingindicates an expansion. The analysis based on this model specification describedabove (see Exhibits 5 and 6) suggests that CEEMEA equity markets are likely todeliver a high expected return when the GLI i
52、s in the expansion territory.However, the recovering momentum remains weak and this could be a drag onequity markets. The main problem here is that a potential future expansionperiod is likely to be smaller in magnitude than previous expansions. In order toanalyse this issue further, we also estimat
53、e another model specification wherewe allow the expected equity returns to depend on the magnitude of the GLI-Growth and GLI-Acceleration:Ert+1 | Ft= +GLI-Growtht + GLI-AccelerationtThe results, presented Exhibit 17, are intuitive and fairly homogeneous across allseven countries. Both GLI growth and
54、 GLI acceleration have a highly significantimpact on expected equity returns. This suggests that a weak expansion phasewill have a positive impact on equity returns but that its impact on expectedreturns will be relatively smaller in magnitude. In other words, stronger rallies tendto be underpinned
55、by more robust expansions, and vice versa. Exhibit 7 in the textvisualises the more continuous relationship between the GLI and expectedequity returns based on the panel data specification. Exhibit 8 illustrates howthe expected returns have changed over the cycle in the past 13 months for eachcountr
56、y.高盛全球经济、商品和策略研究R2122012 年 11 月 13 日Exhibit 17: Magnitude matters: Expected returns are higher during a strong expansionExpected monthly real equity return in the CEEMEA region欧洲Dependent variable: RealMonthly Equity Returns (in %) estimateGLI growth (month-on-month, in %) Estimate Standard error t-
57、statGLI acceleration (change in growth, in %) Estimate Standard error t-statCzech RepublicPolandHungaryRussiaTurkeyIsraelSouth AfricaPanel Estimation-0.75-0.62-0.71-0.90-0.90-0.10-0.72-0.674.61*3.95*4.53*5.52*4.67*2.97*2.66*4.13*0.530.470.531.151.240.450.4942.9%8.738.418.624.783.786.605.42963.4%7.25
58、*7.93*8.06*20.24*10.38*9.54*5.65*9.86*1.801.741.893.192.491.261.96147.8%4.034.564.256.354.177.582.88667.3%17.4%14.1%13.8%15.4%6.9%17.3%8.5%11.3%Notes: Significant parameters at a 1 percent significance level are marked by *. The parameters are estimated by ordinary least squares and the covariancema
59、trix is estimated by a Newey-West estimator (Bartlett kernel with a bandwidth of 12). Estimation period: October 1997 to October 2012.Source: Goldman Sachs Global ECS Research高盛全球经济、商品和策略研究132012 年 11 月 13 日欧洲信息披露附录分析师申明我们，彼得欧品海默、 Sharon Bell, CFA、 Gerald Moser、 Christian Mueller-Glissmann, CFA、 And
60、ers Nielsen、 Matthieu Walterspiler，在此申明，本报告所表述的所有观点准确反映了我们对上述公司或其证券的个人看法。此外，我们的薪金的任何部分不曾与，不与，也将不会与本报告中的具体推荐意见或观点直接或间接相关。本人，Kasper Lund-Jensen，在此申明，本报告所表述的所有观点准确反映了本人的看法，没有受到公司业务或客户关系因素的影响。高盛信息披露评级分布/投资银行关系高盛投资研究部的全球研究覆盖范围评级分布投资银行关系买入持有卖出买入持有卖出全球31%55%14%49%42%35%截至 2012 年 10 月 1 日，高盛全球投资研究部对 3,442 种
61、股票评定了投资评级。高盛给予股票在各种地区投资名单中的买入和卖出评级；未给予这些评级的股票被视为中性评级，根据纳斯达克纽约证券交易所的披露要求，这些评级分别对应买入，持有及卖出。详情见以下“公司评级，研究行业及评级和相关定义”部分。美国法定披露任何本报告中研究企业所需的特定公司法定披露见上文：包括即将进行交易的承销商或副承销商，1%或其他股权，特定服务的补偿，客户关系种类，之前担任承销商或副承销商的公开发行，担任董事，担任股票做市及或专家的角色。高盛通常担任本报告中涉及的固定收益证券的做市商，并常作为这些证券的交易对手。以下为额外要求的披露： 股权及重大利益冲突: 高盛的政策为禁止其分析师、分
62、析师属下专业人员及其家庭成员持有分析师负责研究的任何公司的证券。 分析师薪酬: 分析师薪酬部分取决于高盛的盈利，其中包括投资银行的收入。 分析师担任高级职员或董事: 高盛的政策为禁止其分析师、分析师属下人员及其家庭成员担任分析师负责研究的任何公司的高级职员、董事、顾问委员会成员或雇员。 非美国分析师: 非美国分析师可能与高盛无关联，因此可以不受纳斯达克 2711 条/纽约证券交易所 472 条对于与所研究公司的交流、公开露面及持有交易证券的限制。美国以外司法管辖区规定的额外披露以下为除了根据美国法律法规规定作出的上述信息披露之外其他司法管辖区法律所要求的披露。 澳大利亚: Goldman Sa
63、chs Australia Pty Ltd 及其相关机构不是澳大利亚经授权的存款机构（1959 年银行法所定义），因此不在澳大利亚境内提供银行服务，也不经营银行业务。本研究报告或本报告的其他形式内容只可分发予根据澳大利亚公司法定义的批发客户，在事先获得高盛许可的情况下可以有例外。 巴西: 与 CVM Instruction 483 相关的信息披露请参阅http:/ CVM Instruction 483 第 16 条，在适用的情况下，对本研究报告内容负主要责任的巴西注册分析师为本报告开头部分标明的第一作者，除非报告末另有说明。 加拿大: 如果本报告与加拿大股票发行人有关，高盛集团已批准本报告，
64、并同意承担有关责任。分析师可进行实地考察，但不可收受公司对此等差旅支付的任何款项或偿付。 香港: 可从高盛（亚洲）有限责任公司获取有关本报告中所研究公司的证券的额外资料。 印度: 有关本研究报告中的研究对象或所提及的公司的进一步信息可能来自高盛（印度）证券私人有限公司。 日本: 见下文。 韩国: 可从高盛（亚洲）有限责任公司首尔分公司获取有关本报告所研究公司的证券的额外资料。 新西兰: Goldman Sachs New Zealand Limited 及其关联机构并非 1989 年新西兰储备银行法定义的“注册银行”或“存款机构”。本研究报告以及本报告的其他形式内容只可分发给 2008 年财务
65、顾问法案定义的 批发客户，在事先获得高盛许可的情况下可以有例外。 俄罗斯: 在俄罗斯联邦分发的研究报告并非俄罗斯法律所定义的广告，而是不以产品推广为主要目的的信息和分析，也不属于俄罗斯法律所界定的评估行为。 新加坡: 可从高盛（新加坡）私人公司（公司编号：198602165W）获取有关本报告中所研究公司的证券的额外资料。 台湾: 本信息仅供参考，未经允许不得翻印。投资者应当谨慎考虑他们自身的投资风险，投资结果由投资者自行负责。 英国: 在英国根据金融服务局的定义可被分类为私人客户的人士参阅本报告的同时应当参阅高盛以往对本报告研究企业的研究报告，并应当参考高盛国际已经发给这些客户的风险警告资料。
66、该风险警告资料复本，以及本报告中采用部分金融辞汇的解释可向高盛国际索取。欧盟: 与欧盟指令 2003/126/EC 第四章(1)(d)和第六章(2)有关的披露信息可参见 http:/ 高盛证券株式会社是依据金融工具与交易法、在关东财务局注册（注册号：No. 69）的金融工具交易商，同时也是日本证券业协会和日本金融期货业协会的成员。股票买卖需要缴纳与客户事先约定的佣金及消费税。关于日本证券交易所、日本证券交易商协会或日本证券金融公司所要求的适用的信息披露，请参见与公司有关的法定披露部分。公司评级、研究行业及评级和相关定义买入、中性、卖出：分析师建议将评为买入或卖出的股票纳入地区投资名单。一只股票
67、在投资名单中评为买入或卖出由其相对于所属研究行业的潜在回报决定。任何未获得买入或卖出评级的股票均被视为中性评级。每个地区投资评估委员会根据 25-35%的股票评级为买入、10-15%的股票评级为卖出的全球指导原则来高盛全球经济、商品和策略研究142012 年 11 月 13 日欧洲管理该地区的投资名单；但是，在某一特定行业买入和卖出评级的分布可能根据地区投资评估委员会的决定而有所不同。地区强力买入或卖出名单是以潜在回报规模或实现回报的可能性为主要依据的投资建议。潜在回报：代表当前股价与一定时间范围内预测目标价格之差。分析师被要求对研究范围内的所有股票给出目标价格。潜在回报、目标价格及相关时间范
68、围在每份加入投资名单或重申维持在投资名单的研究报告中都有注明。研究行业及评级：每个行业研究的所有股票名单可登陆 http:/ 通过主要分析师、股票和行业进行查询。分析师给出下列评级中的其中一项代表其根据行业历史基本面及或估值对研究对象的投资前景的看法。 具吸引力(A)：未来 12 个月内投资前景优于研究范围的历史基本面及或估值。 中性(N)：未来 12 个月内投资前景相对研究范围的历史基本面及或估值持平。 谨慎(C)：未来 12 个月内投资前景劣于研究范围的历史基本面及或估值。暂无评级(NR)：在高盛于涉及该公司的一项合并交易或战略性交易中担任咨询顾问时并在某些其他情况下，投资评级和目标价格已
69、经根据高盛的政策予以除去。暂停评级(RS)：由于缺乏足够的基础去确定投资评级或价格目标，或在发表报告方面存在法律、监管或政策的限制，我们已经暂停对这种股票给予投资评级和价格目标。此前对这种股票作出的投资评级和价格目标(如有的话)将不再有效，因此投资者不应依赖该等资料。 暂停研究(CS)：我们已经暂停对该公司的研究。没有研究(NC)：我们没有对该公司进行研究。 不存在或不适用(NA)：此资料不存在或不适用。 无意义(NM)：此资料无意义，因此不包括在报告内。全球产品；分发机构高盛全球投资研究部在全球范围内为高盛的客户制作并分发研究产品。高盛分布在其全球各办事处的分析师提供行业和公司的股票研究，以
70、及宏观经济、货币、商品及投资组合策略的研究。本研究报告在澳大利亚由 Goldman Sachs Australia Pty Ltd（ABN 21 006 797 897）分发；在巴西由 Goldman Sachs doBrasil Corretora de Ttulos e Valores Mobilirios S.A.分发；股票及其他研究在加拿大由高盛集团分发；在香港由高盛（亚洲）有限责任公司分发；在印度由高盛（印度）证券私人有限公司分发；在日本由高盛证券株式会社分发；在韩国由高盛（亚洲）有限责任公司首尔分公司分发；在新西兰由 Goldman Sachs NewZealand Limited
71、 分发；在俄罗斯由高盛 OOO 分发；在新加坡由高盛（新加坡）私人公司（公司号：198602165W）分发；在美国由高盛集团分发。高盛国际已批准本研究报告在英国和欧盟分发。欧盟：高盛国际（由英国金融服务局监管）已批准本研究报告在英国和欧盟分发；Goldman Sachs AG（由联邦金融监管局监管）可能也会在德国分发。一般性披露本研究报告仅供我们的客户使用。除了与高盛相关的披露，本研究报告是基于我们认为可靠的目前已公开的信息，但我们不保证该信息的准确性和完整性，客户也不应该依赖该信息是准确和完整的。我们会适时地更新我们的研究，但各种规定可能会阻止我们这样做。除了一些定期出版的行业报告之外，绝大
72、多数报告是在分析师认为适当的时候不定期地出版。高盛是一家集投资银行、投资管理和证券经纪业务于一身的全球性综合服务公司。高盛全球投资研究部所研究的大部分公司与我们保持着投资银行业务和其它业务关系。美国证券经纪交易商高盛是 SIPC 的成员(http:/www.sipc.org)。我们的销售人员、交易员和其它专业人员可能会向我们的客户及我们的自营交易部提供与本研究报告中的观点截然相反的口头或书面市场评论或交易策略。我们的资产管理部门、自营交易部和投资业务部可能会做出与本报告的建议或表达的意见不一致的投资决策。本报告中署名的分析师可能已经与包括高盛销售人员和交易员在内的我们的客户讨论，或在本报告中讨
73、论交易策略，其中提及可能会对本报告讨论的证券市场价格产生短期影响的推动因素或事件，该影响在方向上可能与分析师发布的股票目标价格相反。任何此类交易策略都区别于且不影响分析师对于该股的基本评级，此类评级反映了某只股票相对于报告中描述的研究范围内股票的回报潜力。我们以及我们的关联机构、高级职员、董事和雇员，不包括股票分析师和信贷分析师，将不时地对本研究报告所涉及的证券或衍生工具持有多头或空头头寸，担任上述证券或衍生工具的交易对手，或买卖上述证券或衍生工具。在任何要约出售股票或征求购买股票要约的行为为非法的司法管辖区内，本报告不构成该等出售要约或征求购买要约。本报告不构成个人投资建议，也没有考虑到个别
74、客户特殊的投资目标、财务状况或需求。客户应考虑本报告中的任何意见或建议是否符合其特定状况，以及(若有必要)寻求专家的意见，包括税务意见。本报告中提及的投资价格和价值以及这些投资带来的收入可能会波动。过去的表现并不代表未来的表现，未来的回报也无法保证，投资者可能会损失本金。外汇汇率波动有可能对某些投资的价值或价格或来自这一投资的收入产生不良影响。某些交易，包括牵涉期货、期权和其它衍生工具的交易，有很大的风险，因此并不适合所有投资者。投资者可以向高盛销售代表取得或通过http:/ 取得当前的期权披露文件。对于包含多重期权买卖的期权策略结构产品，例如，期权差价结构产品，其交易成本可能较高。与交易相关
75、的文件将根据要求提供。在撰写研究报告期间，Goldman Sachs Australia 全球投资研究部的职员可能参与本研究报告中所讨论证券的发行人组织的现场调研或会议。在某些情况下，如果视具体情形 Goldman Sachs Australia 认为恰当或合理，此类调研或会议的成本可能部分或全部由该证券发行人承担。所有研究报告均以电子出版物的形式刊登在我们的内部客户网上并向所有客户同步提供。并非所有研究内容都转发给我们的客户或者向第三方整合者提供，高盛也并不对由第三方整合者转发的我们研究报告承担任何责任。有关个股的所有研究报告，请联络您的销售代表或登陆 http:/。披露信息可以查阅 htt
76、p:/ 或向研究合规部索取，地址是 200 West Street，New York，NY 10282。高盛版权所有 2012 年未经高盛集团公司事先书面同意，本材料的任何部分均不得(i)以任何方式制作任何形式的拷贝、复印件或复制品，或(ii)再次分发。高华证券信息披露一般披露本报告在中国由高华证券分发。高华证券具备证券投资咨询业务资格。本研究报告仅供我们的客户使用。本研究报告是基于我们认为可靠的目前已公开的信息，但我们不保证该信息的准确性和完整性，客户也不应该依赖该信息是准确和完整的。我们会适时地更新我们的研究，但各种规定可能会阻止我们这样做。除了一些定期出版的行业报告之外，绝大多数报告是在
77、分析师认为适当的时候不定期地出版。高盛全球经济、商品和策略研究152012 年 11 月 13 日欧洲高盛高华为高华证券的关联机构，从事投资银行业务。高华证券、高盛高华及它们的关联机构与本报告中涉及的大部分公司保持着投资银行业务和其它业务关系。我们的销售人员、交易员和其它专业人员可能会向我们的客户及我们的自营交易部提供与本研究报告中的观点截然相反的口头或书面市场评论或交易策略。我们的自营交易部和投资业务部可能会做出与本报告的建议或表达的意见不一致的投资决策。本报告中署名的分析师可能已经与包括高华证券销售人员和交易员在内的我们的客户讨论，或在本报告中讨论交易策略，其中提及可能会对本报告讨论的证券
78、市场价格产生短期影响的推动因素或事件，该影响在方向上可能与分析师发布的股票目标价格相反。任何此类交易策略都区别于且不影响分析师对于该股的基本评级，此类评级反映了某只股票相对于报告中描述的研究范围内股票的回报潜力。高华证券及其关联机构、高级职员、董事和雇员，不包括股票分析师和信贷分析师，将不时地对本研究报告所涉及的证券或衍生工具持有多头或空头头寸，担任上述证券或衍生工具的交易对手，或买卖上述证券或衍生工具。在任何要约出售股票或征求购买股票要约的行为为非法的地区，本报告不构成该等出售要约或征求购买要约。本报告不构成个人投资建议，也没有考虑到个别客户特殊的投资目标、财务状况或需求。客户应考虑本报告中
79、的任何意见或建议是否符合其特定状况，以及(若有必要)寻求专家的意见，包括税务意见。本报告中提及的投资价格和价值以及这些投资带来的收入可能会波动。过去的表现并不代表未来的表现，未来的回报也无法保证，投资者可能会损失本金。外汇汇率波动有可能对某些投资的价值或价格或来自这一投资的收入产生不良影响。某些交易，包括牵涉期货、期权和其它衍生工具的交易，有很大的风险，因此并不适合所有投资者。投资者可以向高华销售代表取得或通过http:/ 取得当前的期权披露文件。对于包含多重期权买卖的期权策略结构产品，例如，期权差价结构产品，其交易成本可能较高。与交易相关的文件将根据要求提供。北京高华证券有限责任公司版权所有 2012 年未经北京高华证券有限责任公司事先书面同意，本材料的任何部分均不得(i)以任何方式制作任何形式的拷贝、复印件或复制品，或(ii)再次分发。高盛全球经济、商品和策略研究
