债券研究 证 券 研 究 报 告 转债价格：转债中枢提升，高价券占比提升。转债整体收盘价加权平均值为 135.01 元，环比昨日上升 0.61%。其中偏股型转债的收盘价为 201.30 元，环比 上升 0.71%；偏债型转债的收盘价为 119.74 元，环比上升 0.37%；平衡型转债 的收盘价为 130.05 元，环比上升 0.17%。从转债收盘价分布情况看，130 元以 上高价券个数占比 60.89%，较昨日环比上升 1.84pct；占比变化最大的区间为 110-120（包含 120），占比 7.61%，较昨日下降 1.05pct；收盘价在 100 元以下 的个券有 0 只。价格中位数为 133.64 元，环比昨日上升 0.48%。 转债估值：估值抬升。百元平价拟合转股溢价率为 32.51%，环比昨日上升 0.14pct；整体加权平价为 99.53 元，环比昨日上升 0.86%。偏股型转债溢价率 为 15.45%，环比下降 0.27pct；偏债型转债溢价率为 84.79%，环比下降 0.38pct； 平衡型转债溢价率为 26.39%，环比下降 0.10pct。 行业表现：今日正股行业普涨，共计 27 个行 ...

Market Overview - A-shares remain stable with controllable risks, suggesting opportunities for low-cost investments in high-prosperity sectors. The macro strategy team indicates that market enthusiasm for chasing high prices is still weak, but the index remains relatively stable, expected to maintain a fluctuating structure with controllable risks. Signs of market stabilization have become more apparent since December, particularly in high-prosperity sectors that have shown resilience. It is recommended to preferentially invest in industries with upward trends in prosperity and patiently await the upcoming spring market [1][4][6]. Stock Market Factors - Last week, market style shifted slightly towards large-cap stocks, with a value-oriented approach gaining traction compared to the previous week. The volatility of both large-cap and value-growth styles remained low. The dispersion of excess returns among industries and the speed of industry rotation have reversed, showing an increase, while the proportion of rising constituent stocks has decreased. The trading concentration of the top 100 stocks remained stable, with a slight decline in the trading concentration of the top five industries [6][8]. Commodity Market Factors - In the commodity market, all sectors except for the black metal sector showed an upward trend in strength. The efficiency coefficients for precious metals, non-ferrous metals, and agricultural products remained high. The basis momentum for precious metals saw a significant decline, while the basis momentum for energy and black metal sectors increased. Volatility increased in all sectors except for precious metals and agricultural products, and liquidity decreased in the energy and agricultural sectors, while other sectors saw a slight increase [20][21]. Options Market Factors - The implied volatility of the Shanghai Stock Exchange 50 and the CSI 1000 rebounded from low levels last week. In terms of volatility skew, both call and put options for the Shanghai index decreased, while the put option skew for the CSI 1000 continued to rise, indicating that the market has experienced some risk release, with small-cap styles still accumulating risks [29]. Convertible Bond Market Factors - The convertible bond market stabilized and showed signs of recovery last week. The valuation of bonds reached a new high for the year in terms of the premium rate for conversion at 100 yuan, maintaining a trend of oscillation and increase. The pure bond premium rate for debt-type groupings saw a slight increase, while the proportion of low premium conversion bonds continued to decline, remaining at a low level. Market transaction volume rebounded, surpassing the historical median for the past year [31].

Market Style Characteristics - The market style during the year-end and beginning of the year shows a clear defensive characteristic, with large-cap value style prevailing while the small-cap style represented by the CSI 1000 is under pressure [1][3][8] - Institutional investors tend to adopt a conservative investment behavior due to annual performance assessments and settlements, leading to a significant reduction in risk appetite [3][8] - As the market enters the peak period for annual performance forecasts in January, uncertainty regarding earnings becomes a major concern, causing funds to flow towards more stable large-cap blue-chip stocks [3][8] Monetary Policy and Interest Rates - The central bank conducted a net injection of 219 billion yuan in the open market during the week of December 15-19, with upcoming reverse repos and MLF totaling 8.775 billion yuan [3][17] - Money market interest rates are declining, with the R007 rising by 0.7 basis points and the DR007 falling by 2.8 basis points, indicating a widening interest rate spread [3][17] Supply and Demand of Funds - The net inflow of funds in the secondary market has expanded, with a net buy of 34.2 billion yuan in financing and a net inflow of 560.8 billion yuan in ETFs [3][30] - The issuance of new equity public funds increased by 68.5 million units, while the net reduction by major shareholders rose to 121.9 billion yuan [3][30][34] Market Sentiment - The trading activity of financing funds has weakened, with the proportion of financing transactions in the A-share market decreasing to 11.3% [3][39] - The VIX index has declined, indicating an improvement in market risk appetite, while the focus on style indices and major industries has shifted towards consumer staples and discretionary sectors [3][41][45] Industry Preferences - The electronic, communication, and power equipment sectors received significant net inflows, with net inflows of 121.5 billion yuan, 67.2 billion yuan, and 47.6 billion yuan respectively [3][49] - The defense industry experienced net outflows, while the financing funds showed a net buy of 34.2 billion yuan, with the electronic sector leading the net buy [3][49]

证券研究报告 | 金融工程 2025 年 12 月 21 日 企稳但反转仍待观察，短期维持防御观点 ——A 股趋势与风格定量观察 20251221 1. 当前市场观察 ❑ 择时上，维持中性偏谨慎的观点，市场虽有震荡企稳迹象但尚未见明显反转 走势；风格上，继续维持大盘风格占优观点： 1）宏观层面，日央行加息"利空"虽已落地，但全球流动性风险尚未出 清。在此前的周报中，我们强调由于日央行加息路径相对稳健且美元弱势情 况下日元并未积累空头头寸，此次日央行加息事件或不存在对市场的明显冲 击。从本周亚洲市场的走势上来看，基本符合预期，即上半周略有回调但周 五事件落地后明显反弹。不过，需要注意的是，虽然不宜高估日央行加息影 响，但也不宜低估，其导致全球流动性有所收紧的客观现实仍存在，且目前 市场认为明年 1 月美联储降息概率仍中等偏低，后续大概率仍会对此进行博 弈。因此，宏观层面风险有所缓解，但尚未完全解除警报。 2）交易层面仍需等待持续的价量反转信号。量能层面，本周全 A 日均成交 额约 1.95 万亿，而当前标准化交易量能指标仍处于过去 5 年中位数水平之 下，目前市场量能有所回暖但未升至强势区间。价格层面，当前市场 ...

日央行大概率加息，A 股内部预期产生分歧 2025 年 12 月 19 日 股指期货早报 2025.12.19 报告摘要： 海外方面，美 11 月未季调 CPI 年率录得 2.7%，低于预期 3.1%； 上周初请失业金人数录得 22.4 万人；低于预期 22.5 和前值 23.7 万 人。美通胀数据支持美联储鸽派的降息，美 1 月降息预期小幅上升。 隔夜资产走势来看，美元指数先跌后涨最终收涨，美债收益率短端和 长端小幅回落，黄金上涨后下跌最终收跌，美三大股指均大震荡走势 阴线收涨。纳斯达克中国金龙指数上涨，离岸人民币汇率升值。隔夜 外围表现中性。 国内盘面上看，周四大盘低开震荡上涨 0.16%，深成指下跌 1.29%，创业板指下跌 2.17%，市场呈现震荡分化走势。大盘主要是银 行和两桶油贡献，板块间呈现轮动，商业航天和消费走强，但算力硬 件又走弱，主要受外围拖累。板块上看，银行、煤炭、石油石化、军 工、轻工制造涨幅居前，电力设备、通信、电子、汽车跌幅居前。全 市场 2843 只个股上涨，2413 只个股下跌。消息上看，商务部办公厅、 财政部办公厅印发《关于做好消费新业态新模式新场景试点有关工作 的通知》。 ...

基于实操视角复盘春季行情 ——策略专题研究 分析师：邓宇林、包承超 研究助理：龚嫣然 报告日期：2025年12月3日 01 春季行情的阶段特征分析 证券研究报告 * 请务必阅读最后一页免责声明 02 春季行情中市场风格的表现对比 03 春季行情中市场应对思路推演 02 摘要 证券研究报告 * 请务必阅读最后一页免责声明 1 ➢ 本篇报告从实操视角出发，复盘历年春季行情规律。重点讨论：1）春季行情的阶段特征分析；2）春季行情中市场风格 的表现对比；3）春季行情中市场应对思路推演。 ➢ 1、春季行情的阶段特征分析——绝对视角，春季行情多启动于12月下旬至1月中旬，相对视角，启动时点中位数为节前 11个交易日。历年春季行情走势可以归为三类情景——①对称V型；②大级别趋势上涨；③小级别趋势上涨。若春躁启 动时点相对较早，则大概率是趋势行情，进一步情景判断可观察国庆以来跌幅。若启动时点相对较晚，则大概率是对称V 型，破前高或可谨慎。 ➢ 2、春季行情中市场风格的表现对比——小盘成长在春躁中占优，大盘价值在春躁前性价比高。 ➢ 3、春季行情中市场应对思路推演——春节前十个交易日配置，胜率赔率均高，且错过春季行情概率小。 ...

Group 1 - The report indicates that during the PPI recovery phase, small-cap value stocks tend to outperform, with small-cap growth also showing potential for good performance [4][10][12] - Historical analysis shows that in previous PPI recovery phases, the market style favored small-cap value and small-cap growth stocks, particularly when liquidity remains loose [10][11] - The report highlights that the cyclical sector tends to outperform during PPI recovery phases, as its performance is closely tied to PPI movements and investment demand [12][14] Group 2 - The report notes that the recent market sentiment has shifted towards cyclical and consumer staples sectors, with increased attention on these indices [4][39] - In terms of industry preference, sectors such as electric equipment, pharmaceuticals, and non-bank financials have seen significant net inflows, while sectors like electronics and non-ferrous metals experienced net outflows [47] - The report emphasizes that the upcoming years, particularly 2026, may witness a significant investment boost due to the alignment of China's five-year plans and the U.S. election cycle, potentially benefiting related sectors [4][9]

Group 1 - The brokerage strategies remain positive, addressing market concerns such as high-low switching, market style in Q4, and the pace of retail investor entry [1] - The strategy team from Xingzheng emphasizes that the current market rotation is driven by incremental funds and economic advantages, focusing on identifying opportunities based on economic logic and industry trends rather than simple position switching [1][7] - The Citic strategy team highlights the importance of the globalization of leading Chinese manufacturing firms, which is expected to enhance pricing power and profit margins, leading to market capitalization growth beyond domestic economic fundamentals [1][7] Group 2 - The strategy team from招商策略 notes that the Federal Reserve's interest rate cut in September historically correlates with a higher probability of A/H shares rising in the future [4] - Historical data indicates that the market tends to be relatively flat before the National Day holiday, but risk appetite improves significantly afterward, with over 60% probability of gains in major indices during the week following the holiday [4][8] - The strategy team from广发分析 suggests that the current rise in retail investor sentiment is still in its early stages, with various indicators showing that the market is not yet experiencing significant capital outflow from savings [1][9] Group 3 - The strategy from信达 suggests that the market is likely to continue its upward trend, with the current environment favoring strong industry trends while maintaining flexibility in high-low switching strategies [8] - The analysis indicates that the market is currently in a bull phase, with expectations of increased retail investment in the coming year, supported by a favorable policy environment [8] - The strategy team from国全策略 believes that the true bull market has not yet begun, but signs of recovery in corporate earnings and the potential for a new market cycle are emerging [9]

Quantitative Factors and Construction Methods 1. Factor Name: Market Style Factor - **Construction Idea**: This factor tracks the market's preference for different styles, such as large-cap vs. small-cap and value vs. growth, as well as the volatility of these styles[13][15] - **Construction Process**: - **Size Style**: Measure the relative performance of small-cap stocks against large-cap stocks - **Value-Growth Style**: Measure the relative performance of growth stocks against value stocks - **Volatility**: Calculate the changes in the above style preferences over time to assess their stability[13][15] - **Evaluation**: The factor effectively captures the market's shifting preferences and provides insights into style rotations[13][15] 2. Factor Name: Market Structure Factor - **Construction Idea**: This factor evaluates the dispersion and rotation within industry indices, as well as the concentration of trading activity[13][15] - **Construction Process**: - **Industry Dispersion**: Calculate the excess return dispersion across industry indices - **Industry Rotation**: Measure the speed of rotation among industries - **Trading Concentration**: Assess the proportion of trading volume concentrated in the top 100 stocks and the top 5 industries[13][15] - **Evaluation**: The factor provides a comprehensive view of market dynamics, including sectoral shifts and trading behavior[13][15] 3. Factor Name: Market Activity Factor - **Construction Idea**: This factor tracks the overall market activity through volatility and turnover rates[14][15] - **Construction Process**: - **Volatility**: Measure the index-level volatility over the observation period - **Turnover Rate**: Calculate the turnover rate of the market index to gauge trading activity[14][15] - **Evaluation**: The factor is useful for understanding the market's risk appetite and liquidity conditions[14][15] 4. Factor Name: Commodity Market Factor - **Construction Idea**: This factor evaluates the performance and dynamics of commodity markets, focusing on trend strength, basis momentum, volatility, and liquidity[21][26] - **Construction Process**: - **Trend Strength**: Assess the strength of price trends in commodity sectors like metals and energy - **Basis Momentum**: Measure the changes in the basis (spot price vs. futures price) across sectors - **Volatility**: Calculate the price volatility for each commodity sector - **Liquidity**: Evaluate the trading liquidity and its fluctuations across sectors[21][26] - **Evaluation**: The factor provides a detailed view of commodity market conditions, highlighting sector-specific trends and risks[21][26] 5. Factor Name: Option Market Factor - **Construction Idea**: This factor analyzes the implied volatility and skewness in the options market, focusing on indices like SSE 50 and CSI 1000[30] - **Construction Process**: - **Implied Volatility**: Track the implied volatility levels for SSE 50 and CSI 1000 options - **Skewness**: Measure the skewness in the implied volatility distribution to assess market sentiment[30] - **Evaluation**: The factor captures market sentiment and risk perception, particularly in large-cap and small-cap indices[30] 6. Factor Name: Convertible Bond Market Factor - **Construction Idea**: This factor evaluates the performance and valuation of the convertible bond market, focusing on premium rates and trading activity[33] - **Construction Process**: - **Premium Rates**: Analyze the parity premium and low-premium bond proportions - **Trading Activity**: Measure the total trading volume and its changes over time[33] - **Evaluation**: The factor provides insights into the convertible bond market's valuation and liquidity conditions[33] --- Factor Backtesting Results 1. Market Style Factor - **Size Style**: Small-cap preference increased - **Value-Growth Style**: Growth style outperformed value - **Volatility**: Size style volatility increased, while value-growth style volatility decreased[15] 2. Market Structure Factor - **Industry Dispersion**: Increased - **Industry Rotation**: Accelerated - **Trading Concentration**: Top 100 stocks' trading share rose, while top 5 industries' share remained stable[15] 3. Market Activity Factor - **Volatility**: Increased - **Turnover Rate**: Increased[15] 4. Commodity Market Factor - **Trend Strength**: Metals and energy sectors strengthened - **Basis Momentum**: Declined across all sectors - **Volatility**: Declined in the black sector, stable in others - **Liquidity**: Fluctuated but remained stable overall[26] 5. Option Market Factor - **Implied Volatility**: SSE 50 remained stable, CSI 1000 declined - **Skewness**: CSI 1000 skewness and implied volatility recovered quickly[30] 6. Convertible Bond Market Factor - **Premium Rates**: Parity premium remained stable, low-premium bond proportion unchanged - **Trading Activity**: Slight decline in trading volume, but still supported[33]

Group 1 - The recent stock market has experienced increased volatility, while the bond market shows signs of improvement but remains oscillatory. The optimistic expectation for the resumption of government bond trading operations has contributed to this recovery, with the ten-year government bond yield dropping below 1.75% [2][5] - The market style has slightly shifted towards small-cap stocks, with growth styles prevailing. The volatility of market styles has increased, while the volatility of value and growth styles has decreased [7][8] - In the commodity market, the strength of the non-ferrous and energy chemical sectors has increased, while the trend strength of other sectors remains stable. The basis momentum across all sectors has decreased [3][20][23] Group 2 - In the options market, the implied volatility of the Shanghai Stock Exchange 50 index remains stable, while the implied volatility of the CSI 1000 index has begun to decline. The market experienced a brief pullback in early September, particularly affecting small-cap stocks, but current sentiment has eased [28] - The convertible bond market showed a relatively flat performance, with the index primarily oscillating. The premium rate for convertible bonds remains stable, and the proportion of low premium convertible bonds has not changed significantly [30]