GOLDMAN: The Risk Of A Stock Market Crash Is Low Read more (转载)# Stock
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【 以下文字转载自 StockDueDiligence 俱乐部 】
发信人: marketwatch (市场观察), 信区: StockDueDiligence
标 题: GOLDMAN: The Risk Of A Stock Market Crash Is Low Read more: http://www.businessinsider.com/goldman-
发信站: BBS 未名空间站 (Wed Nov 5 19:27:15 2014, 美东)
Elena Holodny
Nov. 4, 2014, 10:15 AM
Stocks have surged to all-time highs. And this has plenty of people worried
that a crash may be looming.
Goldman Sachs' Jan Hatzius doesn't see a crash coming.
Using a proprietary model that includes the historical price data from 20
advanced economies, Hatzius found that the likelihood of a crash is "average
" only.
"[O]ur broader view is that the risk of an asset market bust — especially
of the recessionary variety — remains relatively low," Hatzius wrote.
We're Not In A Danger Zone
After adding in the data for the first half of 2014, Goldman analysts have
noticed that the risk of a stock market crash is "back up to roughly average
levels" because the further US equity price gains for 2014 have pushed the
risk" higher. (That's what the red arrow is showing on the model.)
However, average is not the danger-zone just yet. In order for their to be a
high risk of a crash, according to Goldman Sachs' model, the curve would
have to be high above the straight gray line — aka the zero standard
deviation line.
On top of that, the general consensus of Goldman research analysts is that
the crash is still far off.
"Although the current expansion has already lasted longer than the median
expansion, we still seem to be quite far from the inflationary overheating
or financial imbalance that historically precede most US recessions," the
report states.
Important Factors In Goldman's Equity Bust Model
According to Goldman analysts, the primary factors that determine equity
busts are past asset price appreciation, past credit growth, and a rising
investment/GDP ratio.
"[T]he single most important predictor is past equity price appreciation,"
the report states. "Our interpretation is that many equity busts are simply
the counterpart of prior periods of strong price appreciation, and in this
context it is not surprising that big moves downward are more likely when
volatility is high."
However, when it comes to recessionary equity busts, Goldman looks at credit
growth. In these cases, while this may seem counterintuitive, recessionary
equity busts generally follow low equity volatility.
Weird? Not really.
"Our interpretation is that a recessionary equity bust is quite a different
animal from a garden-variety bear market," Hatzius writes. "It is less
likely to be the simple unwind of a prior big equity price increase and more
likely to result from fundamental economic imbalances that involve big
credit buildups, excessive investment, and periods of low volatility that
fuel imprudent risk-taking."
While credit has been expanding and investment spending has been picking up,
it's difficult to argue either are at excessive levels.
So while the risk is back to "roughly average" levels, there's still room
for it to get scarier.
Read more: http://www.businessinsider.com/goldman-sachs-stock-market-crash-2014-11#ixzz3IFARTMtv
发信人: marketwatch (市场观察), 信区: StockDueDiligence
标 题: GOLDMAN: The Risk Of A Stock Market Crash Is Low Read more: http://www.businessinsider.com/goldman-
发信站: BBS 未名空间站 (Wed Nov 5 19:27:15 2014, 美东)
Elena Holodny
Nov. 4, 2014, 10:15 AM
Stocks have surged to all-time highs. And this has plenty of people worried
that a crash may be looming.
Goldman Sachs' Jan Hatzius doesn't see a crash coming.
Using a proprietary model that includes the historical price data from 20
advanced economies, Hatzius found that the likelihood of a crash is "average
" only.
"[O]ur broader view is that the risk of an asset market bust — especially
of the recessionary variety — remains relatively low," Hatzius wrote.
We're Not In A Danger Zone
After adding in the data for the first half of 2014, Goldman analysts have
noticed that the risk of a stock market crash is "back up to roughly average
levels" because the further US equity price gains for 2014 have pushed the
risk" higher. (That's what the red arrow is showing on the model.)
However, average is not the danger-zone just yet. In order for their to be a
high risk of a crash, according to Goldman Sachs' model, the curve would
have to be high above the straight gray line — aka the zero standard
deviation line.
On top of that, the general consensus of Goldman research analysts is that
the crash is still far off.
"Although the current expansion has already lasted longer than the median
expansion, we still seem to be quite far from the inflationary overheating
or financial imbalance that historically precede most US recessions," the
report states.
Important Factors In Goldman's Equity Bust Model
According to Goldman analysts, the primary factors that determine equity
busts are past asset price appreciation, past credit growth, and a rising
investment/GDP ratio.
"[T]he single most important predictor is past equity price appreciation,"
the report states. "Our interpretation is that many equity busts are simply
the counterpart of prior periods of strong price appreciation, and in this
context it is not surprising that big moves downward are more likely when
volatility is high."
However, when it comes to recessionary equity busts, Goldman looks at credit
growth. In these cases, while this may seem counterintuitive, recessionary
equity busts generally follow low equity volatility.
Weird? Not really.
"Our interpretation is that a recessionary equity bust is quite a different
animal from a garden-variety bear market," Hatzius writes. "It is less
likely to be the simple unwind of a prior big equity price increase and more
likely to result from fundamental economic imbalances that involve big
credit buildups, excessive investment, and periods of low volatility that
fuel imprudent risk-taking."
While credit has been expanding and investment spending has been picking up,
it's difficult to argue either are at excessive levels.
So while the risk is back to "roughly average" levels, there's still room
for it to get scarier.
Read more: http://www.businessinsider.com/goldman-sachs-stock-market-crash-2014-11#ixzz3IFARTMtv
