ESG 专题 中国股票市场 ESG 溢价现象探析 投资 ESG 表现优秀的公司能否为投资者带来超额市场收益呢？国内外股 票市场的实证检验并未得到一致的结论。国外的实证研究更多支持 ESG 表现优秀的公司能获得更高的收益，但在碳排放领域，投资那些碳排放 水平越高的公司能也获得更高的收益。国内的实证研究由于不同的 ESG 数据差异较大、研究的截面样本、时间区间、数据频率、实证方法不同， 研究结果也存在分歧。为此，本报告基于股票覆盖较全的秩鼎的 ESG 评 分数据，采用 Fama 和 French（2008）关于探讨股市异象的排序分组方 法和横截面回归方法，研究了较长一段时间里股票收益与 ESG 表现的关 系，主要结论如下： 1、A 股市场存在显著的 ESG 正溢价现象，这一现象在大盘股和中盘股中 更为明显。具体而言，除微盘股外，全样本及其他规模分组中，ESG 指 标与收益率呈现出明显的正相关关系。对冲组合（做多 ESG 指标最高的 组合而做空 ESG 指标最低的组合）的收益率随规模递增，其中大盘股和 中盘股的对冲组合收益要更高，而且显著。横截面回归和行业中性的排 序分组结果也显示出 ESG 指标的预测能力在大盘股 ...

证券研究报告 | 2025年11月30日 估值周观察(11月第5期) 科技主导"反弹周" 策略研究 · 专题报告 证券分析师：王开 021-60933132 wangkai8@guosen.com.cn S0980521030001 证券分析师：陈凯畅 021-60375429 chengkaichang@guosen.com.cn S0980523090002 请务必阅读正文之后的免责声明及其项下所有内容 核心观点 请务必阅读正文之后的免责声明及其项下所有内容 • 近一周（2025.11.24-2025.11.28）海外市场普遍反弹，估值随股价修复。美股领涨，主要指数均上涨3%以上，其中纳斯达克100涨幅 最显著（+4.93%）。欧元区中，德国表现突出；亚洲市场整体温和上涨，恒生科技和日经225涨幅超3%，估值随股价修复。除道琼斯 工业指数，美股主要指数PE扩张均超过1x；纳斯达克、日经225、韩国综合指数、恒生科技PE扩张幅度超过2x。从估值分位数看，标 普500和法国CAC40位于历史较高水平，印度SENSEX30和恒生科技指数处于较低区间。 • 近一周(2025.11.24-2025.11.28)，A ...

证券研究报告 | 2025年11月30日 超长债周报 TL 放量大跌 核心观点 固定收益周报 超长债复盘：上周 A 股连续反弹，万科展期一度拖累债市情绪，周五传 六大行停售五年期大额存单，并调降三年期存款产品利率，国内降息预 期升温债市小幅反弹，全周来看债市先抑后扬，超长债继续下跌。成交 方面，上周超长债交投活跃度保持平稳，交投非常活跃。利差方面，上 周超长债期限利差走平，品种利差缩窄。 超长债投资展望： 30 年国债：截至 11 月 30 日，30 年国债和 10 年国债利差为 34BP，处于 历史较低水平。从国内经济数据来看，10 月经济下行压力继续增加。我 们测算的 10 月国内 GDP 同比增速约 4.2%，增速较 9 月回落 1.1%。通胀 方面，10 月 CPI 为 0.2%，PPI 为-2.1%，通缩风险依存。我们认为，当 前债市低位震荡概率更大。一方面，去年四季度以来的经济企稳，主要 来自于中央加杠杆的托底。考虑到今年四季度增发国债的概率较低，预 计四季度政府债券融资增速继续回落，四季度国内经济依然承压。另一 方面，利率绝对水平偏低，市场对利好因素有所脱敏，近期投资者情绪 转弱。另外 30-1 ...

Group 1: Bond Market Analysis - The bond market experienced a significant pullback this week, with short-term bonds supported by central bank liquidity and demand, maintaining stable yields[1] - Long-term bonds faced pressure due to policy concerns and profit-taking, but later recovered as fundamental expectations solidified and institutional buying resumed[1] - The recent actions of major banks to withdraw large-denomination certificates of deposit have raised expectations for interest rate declines, providing policy support for a potential bond market recovery[1] Group 2: Market Performance Overview - From November 22 to November 29, the CSI 300 index rose by 1.65%, the Hang Seng Index increased by 2.54%, and the S&P 500 gained 3.73%[2] - The 10-year China bond yield increased by 2.47 basis points, while the 10-year U.S. Treasury yield decreased by 4 basis points[2] - The U.S. dollar index fell by 0.72%, and the offshore RMB appreciated by 0.49%[2] Group 3: Inventory and Fund Behavior - The latest weekly crude oil inventory stood at 44,355 million tons, up by 2.78 million tons from the previous week[3] - The latest week saw a decrease in long positions in the U.S. dollar by 177 contracts, while short positions increased by 1,611 contracts[3] - The gold ETF size rose to 3,361 million ounces, an increase of 160,000 ounces from the previous week[3]

Market Performance - The S&P 500 index closed at 6,849, reflecting a weekly increase of 3.7% and a year-to-date increase of 16.4%[6] - The Nasdaq 100 index reached 25,435, with a weekly rise of 4.9% and a year-to-date increase of 21.0%[6] - The Dow Jones Industrial Average increased by 3.2% this week, with a year-to-date growth of 12.2%[6] Sector Analysis - The automotive and auto parts sector saw a significant weekly increase of 9.3% and a year-to-date increase of 9.9%[9] - The information technology sector reported a weekly rise of 4.6% and a year-to-date increase of 32.8%[9] - The healthcare sector experienced a weekly increase of 1.9% and a year-to-date increase of 21.0%[9] Fund Flows - The energy sector recorded a net inflow of $48 million this week, with a total of $572 million over the past 52 weeks[11] - The materials sector faced a net outflow of $290 million this week, totaling a negative $3.344 billion over the past 52 weeks[11] - The financial sector had a net inflow of $2.106 billion this week, with a total outflow of $6.723 billion over the past 52 weeks[11] Earnings Forecast - The overall EPS adjustment for the energy sector was 0.3% this week, with a year-to-date adjustment of -7.4%[14] - The materials sector saw an EPS adjustment of 0.6% this week, with a year-to-date adjustment of 4.9%[14] - The information technology sector's EPS adjustment was 0.6% this week, with a year-to-date adjustment of 28.0%[14]

Quantitative Models and Construction Methods Model Name: Index Component Adjustment Impact Model - **Model Construction Idea**: The model aims to measure the impact of index component adjustments on stock prices, considering the scale of passive products tracking the index and the average trading volume of the stocks[7][8][9]. - **Detailed Construction Process**: - The model calculates the impact of index adjustments using the following formula: $$ \mathrm{effect}_{s} = \frac{\sum_{i}^{m} wt_{in} * index_{-}scale_{i} - \sum_{i}^{n} wt_{out} * index_{-}scale_{i}}{avg_{-}amt_{s}} $$ where: - \( wt_{in} \) represents the buy weight of the stock in the index - \( wt_{out} \) represents the sell weight of the stock in the index - \( index_{-}scale_{i} \) represents the total scale of passive products tracking the index - \( avg_{-}amt_{s} \) represents the average daily trading volume of the stock over the past two weeks[7][8][9]. - **Model Evaluation**: The model effectively quantifies the potential trading impact on stocks due to index adjustments, providing valuable insights for identifying trading opportunities[7][8][9]. Model Backtesting Results - **Index Component Adjustment Impact Model**: - **Net Buy Scale**: - Shenghong Technology: 48.65 billion CNY[10] - Dongshan Precision: 47.91 billion CNY[10] - Guangqi Technology: 34.87 billion CNY[10] - **Impact Coefficient**: - Shenghong Technology: 0.57[10] - Dongshan Precision: 1.31[10] - Guangqi Technology: 3.37[10] Quantitative Factors and Construction Methods Factor Name: Impact Coefficient - **Factor Construction Idea**: The impact coefficient measures the potential impact on a stock's price due to changes in its index weight, considering the net adjustment scale and the stock's average trading volume[9][10][11]. - **Detailed Construction Process**: - The impact coefficient is calculated using the formula: $$ \text{Impact Coefficient} = \frac{\text{Net Adjustment Scale}}{\text{Average Daily Trading Volume}} $$ where: - Net Adjustment Scale is the net buy or sell scale of the stock due to index adjustments - Average Daily Trading Volume is the stock's average trading volume over the past two weeks[9][10][11]. - **Factor Evaluation**: The impact coefficient provides a clear measure of the potential price impact on stocks due to index adjustments, helping investors identify stocks that may experience significant price movements[9][10][11]. Factor Backtesting Results - **Impact Coefficient**: - **Stocks with Impact Coefficient > 2**: - Tower Group: 8.69[12] - Jiangzhong Pharmaceutical: 8.44[12] - Shanxi Drum Power: 6.99[12] - **Stocks with Impact Coefficient < -2**: - Deep Expressway: -15.65[14] - Wanhe Electric: -13.30[14] - Tianyoude Wine: -10.52[14]

Report Industry Investment Rating No information provided in the content. Core Viewpoints of the Report - Last week, the A-share market rebounded continuously. Vanke's debt extension once dragged down bond market sentiment. On Friday, it was reported that the six major banks stopped selling five-year large - denomination certificates of deposit and lowered the interest rates of three - year deposit products, which increased the expectation of domestic interest rate cuts and led to a slight rebound in the bond market. Overall, the bond market first declined and then rebounded, while ultra - long bonds continued to fall. The trading activity of ultra - long bonds remained stable and was very active. The term spread of ultra - long bonds remained flat, and the variety spread narrowed [1][11][37]. - The current bond market is more likely to fluctuate at a low level. The economic stabilization since last Q4 mainly comes from the central government's leverage increase. Considering the low probability of additional treasury bond issuance in Q4 this year, the growth rate of government bond financing is expected to continue to decline, and the domestic economy in Q4 remains under pressure. Also, the absolute level of interest rates is low, the market is desensitized to positive factors, and investor sentiment has recently weakened [2][3][12][13]. Summary by Relevant Catalog Weekly Review Ultra - long Bond Review - The A - share market rebounded continuously last week. Vanke's debt extension affected bond market sentiment. On Friday, news of interest rate adjustments increased the expectation of interest rate cuts, causing a slight rebound in the bond market. Overall, ultra - long bonds fell, trading activity was stable and active, the term spread remained flat, and the variety spread narrowed [1][11][37]. Ultra - long Bond Investment Outlook - **30 - year Treasury Bonds**: As of November 30, the spread between 30 - year and 10 - year treasury bonds was 34BP, at a historically low level. In October, the economic downward pressure increased, with GDP growth estimated at about 4.2% year - on - year, a 1.1% decline from September. CPI was 0.2%, and PPI was - 2.1%, indicating deflation risk. The bond market is likely to fluctuate at a low level, and the spread repair is expected to end [2][12]. - **20 - year CDB Bonds**: As of November 30, the spread between 20 - year CDB bonds and 20 - year treasury bonds was 12BP, at a historically extremely low level. The economic situation in October was similar to that for 30 - year bonds. The bond market is likely to fluctuate at a low level, and the variety spread of 20 - year CDB bonds is expected to have narrow - range fluctuations [3][13]. Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds is 24.3 trillion. As of November 30, the total amount of ultra - long bonds with a remaining maturity of over 14 years was 243,416 billion (excluding asset - backed securities and project revenue notes), accounting for 15.1% of all bonds. Local government bonds and treasury bonds are the main varieties [14]. - By variety, treasury bonds account for 26.8% (65,243 billion), local government bonds account for 67.8% (165,015 billion), and other varieties account for a small proportion [14]. - By remaining maturity, the 30 - year variety accounts for the highest proportion. The amount in the 14 - 18 - year range is 60,963 billion (25.0%), 18 - 25 - year is 70,852 billion (29.1%), 25 - 35 - year is 97,548 billion (40.1%), and over 35 - year is 14,055 billion (5.8%) [14]. Primary Market Weekly Issuance - Last week (November 24 - 28, 2025), the issuance of ultra - long bonds increased sharply, with a total issuance of 1,735 billion yuan. Compared with the previous week, the total issuance increased significantly [19]. - By variety, local government bonds issued 1,732 billion yuan, and corporate bonds issued 3 billion yuan, while other varieties issued 0 billion yuan [19]. - By term, 15 - year bonds issued 482 billion yuan, 20 - year bonds issued 367 billion yuan, 30 - year bonds issued 887 billion yuan, and 50 - year bonds issued 0 billion yuan [19]. This Week's Scheduled Issuance - The announced issuance plan for ultra - long bonds this week is 558 billion yuan. Among them, ultra - long treasury bonds are 270 billion yuan, and ultra - long local government bonds are 288 billion yuan [25]. Secondary Market Trading Volume - Last week, the trading of ultra - long bonds was very active, with a trading volume of 9,136 billion yuan, accounting for 11.3% of all bond trading volume. By variety, ultra - long treasury bonds accounted for 33.9% of all treasury bond trading volume, ultra - long local bonds accounted for 50.3% of all local bond trading volume, ultra - long policy - financial bonds accounted for 0.2% of all policy - financial bond trading volume, and ultra - long government agency bonds accounted for 24.4% of all government agency bond trading volume [27]. - Compared with the previous week, the trading volume of ultra - long bonds decreased by 125 billion yuan, with the proportion remaining unchanged. The trading volume of ultra - long treasury bonds increased by 385 billion yuan, the proportion decreased by 1.8%; the trading volume of ultra - long local bonds decreased by 470 billion yuan, the proportion decreased by 3.4%; the trading volume of ultra - long policy - financial bonds increased by 14 billion yuan, the proportion increased by 0.1%; the trading volume of ultra - long government agency bonds increased by 2 billion yuan, the proportion increased by 11.7% [27]. Yield - Last week, the bond market first declined and then rebounded, and ultra - long bonds continued to fall. For treasury bonds, the yields of 15 - year, 20 - year, 30 - year, and 50 - year bonds changed by 3BP, 4BP, 3BP, and 5BP to 2.09%, 2.20%, 2.19%, and 2.36% respectively. For CDB bonds, the corresponding yields changed by 3BP, 3BP, 2BP, and 5BP to 2.21%, 2.32%, 2.32%, and 2.49% respectively. For local bonds, the yields of 15 - year, 20 - year, and 30 - year bonds changed by 5BP, 7BP, and 7BP to 2.33%, 2.41%, and 2.41% respectively. For railway bonds, the yields of 15 - year, 20 - year, and 30 - year bonds changed by 3BP, 4BP, and 4BP to 2.29%, 2.37%, and 2.42% respectively [37]. Spread Analysis - **Term Spread**: Last week, the term spread of ultra - long bonds remained flat, with an absolute low level. The spread between 30 - year and 10 - year treasury bonds was 34BP, unchanged from the previous week, at the 15th percentile since 2010 [48]. - **Variety Spread**: Last week, the variety spread of ultra - long bonds narrowed, with an absolute low level. The spread between 20 - year CDB bonds and treasury bonds was 12BP, and the spread between 20 - year railway bonds and treasury bonds was 18BP, changing by - 1BP and 0BP respectively from the previous week, at the 10th and 13th percentiles since 2010 [49]. 30 - year Treasury Bond Futures - Last week, the main contract of 30 - year treasury bond futures, TL2603, closed at 114.46 yuan, a decrease of 0.81%. The total trading volume was 92,500 lots (17,365 lots), and the open interest was 147,400 lots (38,082 lots). The trading volume and open interest increased significantly compared with the previous week [54].

Investment Rating - The investment rating for the company is "Outperform the Market" (maintained) [2] Core Viewpoints - The company has steadily developed into a leading chain pharmacy enterprise in China over the past 20 years, with a strong market presence in Central South, East China, and South China regions, and a total of over 14,666 stores by September 2025, serving 110 million members [3][4] - The retail pharmacy industry is undergoing a transformation from scale expansion to quality competition, with a market size of 929.3 billion yuan in 2023, growing by 6.5% year-on-year, but showing signs of slowing growth [3][46] - The company has shown slight revenue growth and strong profit growth in the first three quarters of 2025, with operating income of 17.286 billion yuan (up 0.4% year-on-year) and net profit of 1.225 billion yuan (up 10.3% year-on-year) [20][21] - The company is expected to maintain growth through refined operations and the development of a new retail system, with projected revenues of 24.546 billion yuan, 27.292 billion yuan, and 30.444 billion yuan for 2025-2027, representing year-on-year growth rates of 2.0%, 11.2%, and 11.5% respectively [3][20] Summary by Sections Company Overview - The company has expanded its operational regions and has a strong financing and acquisition capability, establishing itself as a leading chain pharmacy since its founding in 2001 [5] - The company has a clear shareholding structure, with the controlling shareholder being Chairman Gao Yi, who holds 11.67% of the shares directly [8] Industry Status - The retail pharmacy market is experiencing a decline in growth rates, with the number of retail pharmacies decreasing from 706,000 in Q3 2024 to 699,000 in Q1 2025 due to industry slowdown and online competition [3][46] - The industry is expected to see increased concentration and chain rates, with larger chain enterprises likely to gain competitive advantages over smaller pharmacies [3][46] Operational Effectiveness - The company has implemented a "fleet-type" store network strategy, enhancing customer repurchase rates through a membership system and digitalization [3][29] - The company has issued convertible bonds to raise 1.797 billion yuan for projects aimed at improving operational efficiency and logistics capabilities [18] Performance Review - The company has maintained stable expense ratios, with a gross margin of 40.4% and a net margin of 7.6% in the first three quarters of 2025 [29] - The retail business remains the primary revenue source, while the franchise and distribution business has shown significant growth, with a 17.5% increase in revenue [32] Future Outlook - The company is expected to benefit from the trend of prescription drug outflow, which is anticipated to provide new growth opportunities in the retail pharmacy market [57][62] - The company is focusing on expanding its new retail system, enhancing its O2O and B2C channels, and leveraging its large member base to drive sales [93]

证券研究报告 | 2025年11月30日 美元债双周报（25 年第 47 周） 弱于大市 经济数据陆续发布，降息预期大幅抬升 新美联储主席人选或在圣诞前宣布，热门候选人主张 12 月降息。11 月 25 日，美国财政部长斯科特·贝森特表示，美国总统特朗普极有可能在今 年圣诞节前，提名美联储主席鲍威尔的继任者。鲍威尔当前任期将于 2026年 5月结束，但特朗普此前已多次公开批评其货币政策并要求辞职。 而下一届联储主席热门候选人沃勒表示，他主张在 12 月降息。他指出， 最新数据显示劳动力市场依然疲软，不过一旦明年 1 月收到大量经济数 据后，美联储大概可以采取"逐次会议"决定的方式。与此同时，旧金 山联储主席戴利也表示支持美联储在下月会议上降息，理由是她认为就 业市场突然恶化的可能性更大，且比通胀飙升更难管理。 美国 9 月 PPI 核心通胀继续放缓。11 月 25 日周二，美国劳工统计局公布 因政府停摆而延迟的的报告，数据显示显示核心通胀持续放缓。9 月 PPI 环比上涨 0.3%符合预期，主要受能源和食品价格推动；但剔除这两项的 核心 PPI 环比仅涨 0.1%，不及预期的 0.2%。同比方面，核心 PPI ...

证券研究报告 | 2025年11月29日 2025年11月30日 多因子选股周报 动量因子表现出色，四大指增组合本周均战胜基准 核心观点 金融工程周报 国信金工指数增强组合表现跟踪 因子表现监控 以沪深 300 指数为选股空间。最近一周，三个月机构覆盖、一年动量、单季 ROE 等因子表现较好，而一个月波动、三个月反转、一个月换手等因子表 现较差。 以中证 500 指数为选股空间。最近一周，一年动量、预期净利润环比、 DELTAROE 等因子表现较好，而三个月波动、一个月波动、三个月换手等 因子表现较差。 以中证 1000 指数为选股空间。最近一周，单季营收同比增速、DELTAROA、 标准化预期外收入等因子表现较好，而三个月波动、一个月波动、三个月反 转等因子表现较差。 以中证 A500 指数为选股空间。最近一周，一年动量、标准化预期外盈利、 标准化预期外收入等因子表现较好，而一个月波动、三个月波动、预期 EPTTM 等因子表现较差。 以公募重仓指数为选股空间。最近一周，一年动量、预期净利润环比、单季 超预期幅度等因子表现较好，而一个月波动、三个月波动、一个月换手等因 子表现较差。 公募基金指数增强产品表现跟 ...