Quantitative Models and Construction Methods 1. Model Name: Liquidity Impact Coefficient Model - **Model Construction Idea**: This model measures the liquidity impact of index adjustments on individual stocks by calculating the ratio of net fund flows to the stock's recent average daily trading volume[12][13] - **Model Construction Process**: The liquidity impact coefficient for a stock is calculated as follows: $$ impact_{i} = \sum_{k=1}^{N} \frac{\Delta weight_{k,i} \times AUM_{k}}{amt\_avg_{i,20}} $$ - \( \Delta weight_{k,i} \): Estimated weight change of stock \( i \) in index \( k \) - \( AUM_{k} \): Total assets under management of passive products tracking index \( k \) as of the end of November - \( amt\_avg_{i,20} \): Average daily trading volume of stock \( i \) over the past 20 trading days as of the end of November[12][13] - **Model Evaluation**: The model provides a quantitative framework to estimate short-term liquidity shocks caused by index adjustments, but it is subject to data discrepancies and assumptions, which may lead to deviations from actual results[13] --- Model Backtesting Results Liquidity Impact Coefficient Model - **Top 5 Stocks with Highest Positive Impact Coefficients**: - Zhangjiagang Bank (002839 CH): 11.55[15] - Jiangzhong Pharmaceutical (600750 CH): 11.44[15] - Tower Group (002233 CH): 11.04[15] - Jichuan Pharmaceutical (600566 CH): 10.14[15] - Zhengbang Technology (002157 CH): 9.99[15] - **Top 5 Stocks with Highest Negative Impact Coefficients**: - Shenzhen Expressway (600548 CH): -24.95[16] - Vanward Electric (002543 CH): -20.90[16] - Aviation Materials (688563 CH): -14.06[16] - Huaxi Biology (688363 CH): -10.81[16] - Ninghu Expressway (600377 CH): -10.54[16] --- Quantitative Factors and Construction Methods 1. Factor Name: Net Fund Flow Factor - **Factor Construction Idea**: This factor estimates the net fund inflow or outflow for stocks due to index adjustments, based on changes in index weights and the total AUM of passive products tracking the index[9][10] - **Factor Construction Process**: - Outflow Amount: Total AUM of linked products multiplied by the stock's actual weight in the index as of the end of November - Inflow Amount: Total AUM of linked products multiplied by the estimated weight of the stock in the index post-adjustment - Weight estimation is based on free-float market capitalization and index-specific weighting rules, such as dividend yield weighting or market capitalization weighting[9][10] - **Factor Evaluation**: The factor provides a transparent and systematic approach to estimate fund flows, but it is sensitive to assumptions about future index weights and AUM changes[9][10] --- Factor Backtesting Results Net Fund Flow Factor - **Top 5 Stocks with Highest Net Fund Inflows**: - Victory Precision (300476 CH): 112.61 billion CNY[10] - Dongshan Precision (002384 CH): 99.32 billion CNY[10] - Guangqi Technology (002625 CH): 77.81 billion CNY[10] - Sugon Information (603019 CH): 65.44 billion CNY[10] - Top Group (601689 CH): 53.07 billion CNY[10] - **Top 5 Stocks with Highest Net Fund Outflows**: - China Mobile (600941 CH): -40.02 billion CNY[11] - CRRC Corporation (601766 CH): -36.40 billion CNY[11] - Aluminum Corporation of China (601600 CH): -34.29 billion CNY[11] - TCL Zhonghuan (002129 CH): -30.07 billion CNY[11] - Huagong Tech (000988 CH): -27.44 billion CNY[11]

证券研究报告 宏观 财政刺激有望推高日本名义增长 华泰研究 易峘 研究员 2025 年 12 月 01 日│中国内地 图说日本月报 图说日本宏观月报 | 2025 年 11 月 第十六期 概览：日本三季度 GDP 季环比折年负增主要受暂时性因素拖累，随着关税 不确定性下降，日本出口企稳，且内需继续改善，四季度经济整体延续修复 态势。劳动力市场仍有韧性，通胀反弹。高市政府推出上任以来的首个财政 刺激方案，日央行转鹰。全月来看，"高市交易"延续，美日利差收窄、但 日元走弱；日本长端国债收益率上行。 1. 实体经济走势：三季度 GDP 走弱，通胀边际升温 暂时性因素导致日本三季度 GDP 负增。日本三季度 GDP 季环比折年增速 由二季度的 2.3%回落至-1.8%，其中，净出口和住房投资是主要拖累，前者 受美国关税政策影响，后者则由于建设标准改变导致住房投资前置；私人消 费则维持韧性。 日本 11 月制造业 PMI 小幅回升，综合 PMI 维持在荣枯线上方。日本 11 月 综合 PMI 回升至 52.0，其中制造业 PMI 从上月的 48.3 小幅回升至 48.8；服 务业 PMI 小幅回升 0.03pp 至 5 ...

证券研究报告 2025 年 12 月 01 日│中国香港 互联网 天立国际控股公布 FY25 业绩：收入 35.89 亿元，yoy+8.1%；净利润 6.48 亿元，yoy+16.5%，符合业绩预告；调整后归母净利润约 6.34 亿元，不及 我们预期的 7.71 亿元。FY25 公司在"质量优先"战略下加强了生源优化和 对优质师资、餐饮后勤、AI 业务的投入，导致短期财务表现略逊预期。FY26 起公司将加强教育质量和短期财务表现的再平衡，推动利润逐渐重回增长。 公司全年派息总额约 2 亿元，派息率维持在 30%左右，股东回报稳健。当 前估值具备较高性价比，维持"买入"评级。 各板块收入稳健增长，升学成果再创新高 FY25 综合教育服务/产品销售/综合后勤服务/管理及特许经营收入分别同比 增长 7%/8%/2.7%/93.9%。公司升学成绩硕果累累，2025 高考成熟校区本 科率达 90%，一本率达 58%；成长期校区本科率达 32%，一本率达 14%； 国际升学、强基竞赛亦取得亮眼成绩。作为第二曲线的托管业务持续发展， 截至 25 年秋季已签约 23 所学校、40 个学段。 "质量优先"导向下招生及利润略逊预 ...

证券研究报告 市场方面，上周通信（申万）指数上涨 8.70%，同期上证综指上涨 1.40%， 深证成指上涨 3.56%。上周，我们观察到国产算力和太空算力迎来新进展： 1）国产算力：阿里发布 FY2Q26 财报，阿里云季度营收同比+34%超出彭 博一致预期，公司或将在此前提出的 3800 亿投入的基础上额外新增投资； DeepSeek 开源新模型 DeepSeek- Math-V2，数学推理能力显著提升；2） 太空算力方面，北京拟 700-800 公里晨昏轨道建设运营超过千兆瓦（GW） 功率的集中式大型数据中心系统，以实现将大规模 AI 算力搬上太空。综上， 建议关注国产算力链及太空算力建设相关产业链。 周专题：阿里上调 AI 投入指引，关注国产算力与太空算力 科技 通信周观点：关注国产算力与太空算力 华泰研究 2025 年 12 月 01 日│中国内地 行业周报（第四十八周） 本周观点 上周：1）国产算力方面，阿里巴巴发布 FY2Q26 财报，阿里云季度营收 398.24 亿元，同比+34%，公司表示客户需求旺盛，订单数量增速高于服务 器上架速度，或将在此前提出的 3800 亿投入的基础上额外新增投资。 D ...

证券研究报告 杰瑞股份 (002353 CH) 与全球 AI巨头签署超 1亿美金发电合同 2025 年 12 月 01 日│中国内地 专用设备 | 华泰研究 更新报告 | 投资评级(维持): | 增持 | | --- | --- | --- | | 2025 年 12 月 01 日│中国内地 专用设备 | 目标价(人民币): | 73.20 | | 杰瑞股份是全球领先的高端装备制造商和技术服务商，公司在钻完井、天然 | 倪正洋 SAC No. S0570522100004 | 研究员 nizhengyang@htsc.com | | 气设备及解决方案等领域在全球广受业主好评。11 月 27 日晚，杰瑞股份在 | SFC No. BTM566 | +(86) 21 2897 2228 | 谭嘉欣* 研究员 SAC No. S0570525100005 tanjiaxin@htsc.com +(86) 21 2897 2228 基本数据 杰瑞股份是全球领先的高端装备制造商和技术服务商，公司在钻完井、天然 气设备及解决方案等领域在全球广受业主好评。11 月 27 日晚，杰瑞股份在 其官方微信公众号宣布近日杰瑞股份全 ...

今日早参 2025 年 12 月 01 日 易峘 首席宏观经济学家 邮箱：evayi@htsc.com 易峘 首席宏观经济学家 邮箱：evayi@htsc.com 今日热点 宏观：价格回升较产量明显 11 月制造业 PMI 较 10 月的 49%回升至 49.2%（彭博一致预期 49.2%），较 往年季节性水平偏低；非制造业商务活动指数较 10 月的 50.1%回落至 49.5%（彭博一致预期 50%）。11 月制造业 PMI 供需两端分项指标均边际改 善、价格指标亦有所修复——具体看，PMI 分项中生产、采购量较 10 月的 49.7%/49.0%上升至 50.0%/49.5%；新订单、新出口订单、就业人员 PMI 亦 较 10 月回升 0.4/1.7/0.1 个百分点至 49.2%/47.6%/48.4%。此外，商品价格 指数整体回升，购进价格及出厂价格分别较 10 月上行 1.1/0.7 个百分点至 53.6%/48.2%。行业中，高新技术制造业连续 10 个月位于扩张区间，而装 备 制 造 业 / 消 费 品 行 业 PMI 较 10 月 的 50.2%/50.1% 分别回落至 49.8%/49.4% ...

Investment Rating - The report initiates coverage on Aerospace Intelligence with a "Buy" rating and a target price of 26.00 RMB, based on a 20x PE valuation for 2026 [1][7]. Core Views - The company is expected to achieve growth driven by "technical barriers + policy dividends," leveraging aerospace technology transformation in oil and gas equipment and automotive smart cockpit sectors, while expanding its large-dosage drug column business for long-term stable growth [1][16]. Summary by Sections Company Overview - Aerospace Intelligence, formerly known as Lekai New Materials, underwent a major asset restructuring in 2023, acquiring 100% stakes in Aerospace Energy and Aerospace Molding, thus becoming the core listed platform of the Seventh Academy of Aerospace [2][25]. Financial Performance - The company is projected to achieve revenues of 58.60 billion RMB and 77.81 billion RMB for 2023 and 2024, respectively, with year-on-year growth rates of 20.10% and 32.78%. The net profit attributable to the parent company is expected to be 4.23 billion RMB and 7.92 billion RMB, reflecting growth rates of 61.36% and 87.02% [2][36]. Automotive Parts Business - Aerospace Molding, established in 2000, focuses on automotive interior and exterior parts, smart cockpit components, and lightweight engine parts. The company provided components for 10.95 million vehicles in 2023, accounting for 42% of national passenger car sales. The new energy vehicle segment is expected to constitute 72% of new products in 2024, surpassing industry penetration rates [3][16]. Oil and Gas Equipment Business - Aerospace Energy, founded in 2013, specializes in the research and manufacturing of perforating tools and high-end completion equipment. The company holds over 60% market share in unconventional oil and gas extraction and approximately 35% in conventional extraction. The demand for its products is expected to grow alongside the increase in domestic oil and gas production [4][17]. Market Perspective - The report highlights a discrepancy between market perceptions and the company's long-term growth potential, particularly in the automotive parts sector benefiting from electrification and intelligent transformation, and the oil and gas equipment sector supported by policy initiatives [5][19]. Profit Forecast and Valuation - The forecast for net profit attributable to the parent company for 2025-2027 is 9.48 billion RMB, 11.02 billion RMB, and 12.76 billion RMB, respectively. The report selects comparable companies with an average PE of 30x for 2026, assigning a target PE of 20x to Aerospace Intelligence [6][46].

证券研究报告 蔚来 (NIO US) Q3 毛利率大幅改善 强爆款周期延续，乐道 L80 与全新 ES7 成核心看点 展望 2026 年，我们看好公司延续强爆款新车周期，重点推荐关注乐道 L80 与全新 ES7：乐道 L80 定位纯电大型大五座 SUV，基于 NT3.0 平台打造， 外观内饰延续 L90 设计并新增黑色套件等细节，动力沿用 L90 的后驱 （340kW）/四驱（340kW+100kW）版本，我们预计定价 23-28 万元并于 26Q2 上市，将与 L90 形成"大三排+大五座"的家庭 SUV 矩阵；全新 ES7 定 位高端大五座旗舰 SUV，车身尺寸接近或超过 5.1 米，参考新 ES8 的"大 空间+全场景"打法，我们预计售价 30-40 万元并于 26Q3 上市，以更低门 槛满足多孩家庭对高端大空间的需求。有望进一步强化公司在纯电 SUV 市 场的覆盖力。我们认为，乐道 L80 的性价比优势与全新 ES7 的高端定位将 形成互补，持续推动蔚来在 2026 年的销量增长与市场份额提升。 2025 年 11 月 28 日│美国 乘用车 公司公布三季度业绩：25Q3 实现收入 218 亿元，同比 ...

Investment Rating - The report maintains a "Buy" rating for the company with a target price of HKD 51.48 [7][5]. Core Insights - The company has successfully entered the mass production phase of its digital laser radar products, with significant growth in delivery volumes and revenue expected in the coming quarters [1][5]. - The ADAS digital product matrix has entered the delivery phase, with a substantial increase in the number of designated models, indicating a strong foundation for scaling [2]. - The Robotaxi business is accelerating its penetration into the L4 market, with new partnerships enhancing the reliability and performance of its products [3]. - The robotics business is experiencing rapid growth, driven by the introduction of new products and applications across various scenarios [4]. Summary by Sections Financial Performance - The company reported a shipment of 150,100 units of laser radar and 35,500 units of robots in the third quarter, generating revenue of RMB 407 million, with a net profit of -RMB 101 million [1]. - Revenue forecasts for 2025, 2026, and 2027 are projected at RMB 2.4 billion, RMB 3.7 billion, and RMB 5.1 billion respectively, with net profits expected to turn positive by 2026 [5][10]. Business Segments - The ADAS business has secured designations from 13 automakers for 56 models, with the EM4 radar positioned as a core component for L3 regulations [2]. - The Robotaxi segment has gained traction with the announcement of a new partnership with Didi for its next-generation models, indicating a strong market presence [3]. - The robotics segment is seeing a 393.1% year-on-year increase in delivery volumes, supported by innovative product offerings [4]. Valuation Metrics - The report assigns a price-to-sales (PS) ratio of 6.09x for 2026, reflecting a premium compared to comparable companies, indicating confidence in the company's growth trajectory [5][14]. - The company's market capitalization is approximately HKD 15.125 billion, with a recent closing price of HKD 31.22 [8].

证券研究报告 六福集团 (590 HK) 港股通 定价产品及海外拓展贡献增长亮点 2025 年 11 月 28 日│中国香港 可选消费 六福集团公布 FY26H1 业绩（2025 年 4-9 月）：收入为 68.4 亿港元，同比 +25.6%；净利润为 6.0 亿港元，同比+44.1%，符合此前业绩预告（收入同 比+20-30%，净利润同比+40-50%）。集团有效的产品差异化和销售策略带 动定价首饰收入快速增长，产品结构优化、金价上升助推毛利率创历史新高， 叠加经营杠杆效应释放，净利润增速表现亮眼。公司拟派中期股息 0.55 港 元/股，派息比率为 52%，持续积极分红回馈股东。此外，10 月 1 日至 11 月 21 日，集团中国内地、中国港澳及海外市场同店均实现双位数增长，其 中，中国内地市场较 FY26Q2 明显改善，有望延续进一步向好势头。维持 "买入"评级。 得益于有效的产品差异化策略，定价首饰产品收入高增 1）分产品看，FY26H1 黄金及铂金产品营收 41.0 亿港元/同比+11.0%，定 价首饰产品营收 22.8 亿港元/同比+67.9%，占整体销售额的比重同比提升 8.8pct 至 35. ...