证券研究报告 | 朝闻国盛 gszqdatemark 2025 07 07 年 月 日 朝闻国盛 未来四周很关键 今日概览 ◼ 重磅研报 【宏观】政策半月观—未来四周很关键——20250706 【宏观】美国 6 月非农与 ADP 就业为何大幅背离？——20250704 【策略】中报业绩线索的交易思路（二）——20250706 【金融工程】市场未来有望继续上行——20250706 【金融工程】择时雷达六面图：增长指标超预期，宏观分数上行—— 20250705 【固定收益】压缩利差还是突破关键点位？——20250706 【固定收益】资金更为宽松，杠杆再度回升——流动性和机构行为跟踪 ——20250705 【固定收益】超长信用债还有空间吗？——20250704 【银行】本周聚焦—5 月重点省市信贷投放情况如何？——20250706 【商贸零售】苏美达（600710.SH）-双链驱动，开启外贸新篇章—— 20250706 【建筑装饰】中国能建（601868.SH）-能源及算力基础设施龙头，求新 求变蓄势向上——20250704 【电力】高温炙烤创纪录，电力配置正当时——20250706 【通信】光模块的壁垒在哪里？— ...

Quantitative Models and Construction Methods - **Model Name**: A-Share Industry Rotation Model **Model Construction Idea**: The model uses six factors—capital, valuation, sentiment, momentum, overbought/oversold, and profitability—to build a scoring system for industry evaluation[17] **Model Construction Process**: - **Capital Factor**: Based on industry net inflow rate of major funds - **Valuation Factor**: Uses the valuation percentile of the industry over the past year - **Sentiment Factor**: Derived from the proportion of rising constituent stocks - **Momentum Factor**: Based on MACD indicator - **Overbought/Oversold Factor**: Uses RSI indicator - **Profitability Factor**: Based on the consensus forecast EPS percentile of the industry over the past year[17] **Model Evaluation**: The model provides a comprehensive scoring system to assess industry rotation trends[17] - **Model Name**: Consensus Stock Selection Model **Model Construction Idea**: The model identifies high-growth industries and selects stocks with high similarity between high-frequency capital flow trends and stock price trends[20] **Model Construction Process**: - Filters high-growth industries at the Shenwan secondary industry level based on the past 30-day performance - Calculates momentum, valuation, and frequency of price increases for stocks within these industries - Uses high-frequency minute-level capital flow data to compute changes in inflow/outflow for each stock - Selects stocks with the highest similarity between capital flow trends and price trends within the top-performing secondary industries[20] **Model Evaluation**: The model effectively identifies stocks with strong capital flow and price trend alignment[20] --- Model Backtesting Results - **A-Share Industry Rotation Model**: - **Top Scoring Industries**: Comprehensive (+10), Non-ferrous Metals (+10), Electronics (+7)[18][19] - **Low Scoring Industries**: Banking (-15), Petrochemicals (-9), Transportation (-8)[19] - **Consensus Stock Selection Model**: - **Selected Industries**: Communication Equipment, Ground Armament II, Components[21] - **Selected Stocks**: - Communication Equipment: New Yisheng, Move Communication, Feiling Kesi, Hengtong Optoelectronics, Meixin Technology - Ground Armament II: Great Wall Military Industry, Optical Shares, Inner Mongolia First Machine, Sweet Qin Equipment, Ganfa Technology - Components: Jingwang Electronics, Deep South Circuit, Fangbang Shares, Zhongjing Electronics, Shenghong Technology[21] --- Quantitative Factors and Construction Methods - **Factor Name**: Capital Factor **Construction Idea**: Measures industry net inflow rate of major funds[17] **Construction Process**: Aggregates daily net inflow data for transactions exceeding 10,000 shares or 200,000 yuan[12] **Evaluation**: Reflects the strength of capital flow within industries[17] - **Factor Name**: Valuation Factor **Construction Idea**: Uses industry valuation percentile over the past year[17] **Construction Process**: Calculates the relative valuation position of the industry within a one-year window[17] **Evaluation**: Indicates whether an industry is undervalued or overvalued[17] - **Factor Name**: Sentiment Factor **Construction Idea**: Based on the proportion of rising constituent stocks[17] **Construction Process**: Computes the percentage of stocks within the industry that have increased in price[17] **Evaluation**: Captures market sentiment towards the industry[17] - **Factor Name**: Momentum Factor **Construction Idea**: Uses MACD indicator to measure price trends[17] **Construction Process**: Applies MACD calculations to industry-level data[17] **Evaluation**: Identifies industries with strong upward or downward trends[17] - **Factor Name**: Overbought/Oversold Factor **Construction Idea**: Uses RSI indicator to assess market conditions[17] **Construction Process**: Calculates RSI values for industries to determine overbought or oversold conditions[17] **Evaluation**: Helps identify potential reversals in industry trends[17] - **Factor Name**: Profitability Factor **Construction Idea**: Based on consensus forecast EPS percentile over the past year[17] **Construction Process**: Aggregates EPS forecasts and calculates relative percentile rankings[17] **Evaluation**: Reflects the earnings potential of industries[17] --- Factor Backtesting Results - **Capital Factor**: Comprehensive (++), Non-ferrous Metals (++), Electronics (++), Banking (---), Petrochemicals (---), Transportation (---)[19] - **Valuation Factor**: Comprehensive (+++), Non-ferrous Metals (++), Electronics (+), Banking (-), Petrochemicals (---), Transportation (---)[19] - **Sentiment Factor**: Comprehensive (-), Non-ferrous Metals (+++), Electronics (+++), Banking (--), Petrochemicals (---), Transportation (---)[19] - **Momentum Factor**: Comprehensive (+++), Non-ferrous Metals (+++), Electronics (+), Banking (--), Petrochemicals (---), Transportation (---)[19] - **Overbought/Oversold Factor**: Comprehensive (+++), Non-ferrous Metals (+++), Electronics (+), Banking (--), Petrochemicals (---), Transportation (---)[19] - **Profitability Factor**: Comprehensive (+++), Non-ferrous Metals (+++), Electronics (+++), Banking (---), Petrochemicals (---), Transportation (---)[19]

Core Insights - The seminar titled "The Legendary Secretary of the Board" focused on modern corporate governance, the redefined value of board secretaries, and new opportunities in mergers and acquisitions as the Chinese capital market surpasses a total market value of one hundred trillion [1][3] Group 1: Key Themes from the Seminar - The concept of a "legendary board secretary" was emphasized, highlighting their role as chief governance officers who not only ensure compliance but also lead innovative practices in the capital market [3] - The importance of inheritance in corporate governance was discussed, with a focus on integrating value concepts into generational driving forces [3] - The seminar featured discussions on the "Four High Paths" strategy by Phoenix Publishing and Media Group, aimed at fostering a new development pattern through comprehensive external cooperation [3] Group 2: Insights on Corporate Governance - The core of corporate governance was explored through the lens of a modern enterprise system with Chinese characteristics, emphasizing the need for independent governance and limited shareholder responsibilities [5] - Practical experiences were shared regarding the role of an "active and progressive board," including the importance of external directors and thorough proposal evaluations [5] - The three-tiered approach to governance modernization was highlighted, showcasing the evolution from foundational systems to board innovation [5] Group 3: Cultural and Technological Transformations - The impact of AI technology, IP development, and cultural globalization on the publishing industry was discussed, showcasing how these elements contribute to new narratives in the sector [7] - Successful case studies, such as the global IP operations of companies like Pop Mart, were presented to illustrate the commercial value of innovation in cultural enterprises [7] - The surge in international expansion of online literature and short dramas was noted as evidence of China's cultural transmission potential in a technology-driven era [7] Group 4: Mergers and Acquisitions Insights - A roundtable forum addressed the new opportunities in mergers and acquisitions, with insights from experienced board secretaries on the importance of cultural integration and strategic upgrades [9] - Key principles for successful mergers were outlined, including the assessment of management capabilities and the integration of external resources [9] - The consensus reached during the seminar emphasized the importance of respecting rules, adhering to responsibilities, and valuing professionalism in corporate governance [9]

Core Viewpoint - Shanghai Chuangxing Resource Development Co., Ltd. has faced significant challenges in its construction decoration business, with a reported revenue decline of 46.97% in 2024, primarily due to reliance on related party transactions and issues with accounts receivable from these clients [1][3][10]. Group 1: Construction Decoration Business - The company's construction decoration business generated revenue of 64.59 million yuan in 2024, accounting for 77% of total revenue, with a notable year-on-year decline [1][3]. - Accounts receivable from related parties, including Yunnan Longjie Tourism Development Co., Ltd. and Shanghai Zhenlong Real Estate Development Co., Ltd., amounted to 164 million yuan and 137 million yuan respectively, with significant provisions for bad debts [1][3][6]. - The company has reported ongoing litigation involving some related party clients, raising concerns about their creditworthiness and the recoverability of receivables [1][3][5]. Group 2: Accounts Receivable and Bad Debt Provisions - The company has made provisions for bad debts totaling 70 million yuan and 61 million yuan for the respective related parties, indicating a cautious approach to credit risk management [1][3][6]. - Cash flow issues have been reported for major clients, with Shanghai Zhenlong's revenue at 26.5 million yuan for 2024 and Yunnan Longjie facing tight cash flow due to long-term project investments [4][5][9]. - The company has actively communicated with clients regarding payment schedules, recovering approximately 22 million yuan in the first quarter of 2025 and 11 million yuan in the second quarter [6][9]. Group 3: Mobile Information Services Business - The mobile information services business achieved revenue of 19.42 million yuan in 2024, a significant increase from 8.52 million yuan in 2023, indicating growth in this segment [13][19]. - The company utilizes a net revenue recognition method for this business, with a focus on providing various SMS application services [13][14]. - There are concerns regarding overdue receivables from clients, particularly Guangzhou Green Collar Cultural Communication Co., Ltd., which has delayed payments due to cash flow issues [14][15]. Group 4: Other Equity Investments - The company holds a 20% stake in Shanghai Zhenlong Real Estate Development Co., Ltd., with an investment value of 173 million yuan, but has not recognized any dividend income due to the company's negative retained earnings [19][21]. - The lack of dividend distribution is attributed to Shanghai Zhenlong's negative retained earnings of 494 million yuan, which does not meet the conditions for profit distribution [21][22]. - The company employs valuation techniques to assess the fair value of its equity investments, using the asset-based approach due to the absence of an active market for these investments [22][29]. Group 5: Performance Compensation - The company has not met performance commitments related to its construction decoration business, with a revenue target of 100 million yuan and a net profit target of zero for the years 2022 to 2024 [33][34]. - The third phase of the equity transfer payment from the buyer remains unpaid, raising concerns about the buyer's financial stability and ability to fulfill payment obligations [34][35]. - Ongoing discussions are in place to address the performance compensation and ensure the protection of the company's and minority shareholders' interests [35].

| 家用电 | 15.88 | -2.77 | 2.07 | 0.03 | -3.89 | | --- | --- | --- | --- | --- | --- | | 器 | | | | | | | 社会服 | 13.50 | 11.98 | 2.99 | -0.20 | -4.08 | | 务 | | | | | | | 环保 | 18.96 | 11.58 | 2.12 | -1.03 | -4.59 | | 医药生 物 | 68.04 | -1.48 | 2.49 | 0.39 | -5.73 | | 通信 | 32.51 | 17.15 | 1.87 | -0.85 | -15.10 | | 汽车 | 45.27 | -0.21 | 2.09 | -0.53 | -17.97 | | 基础化 工 | 71.27 | 1.70 | 2.66 | -1.22 | -21.74 | | 机械设 | 65.11 | -6.74 | 2.40 | -0.97 | -28.36 | | 备 | | | | | | | 国防军 | 32.96 | -12.68 | 3.05 | -0.91 | -29.30 | ...

Summary of Key Points Core Viewpoint - As of July 3, the latest market financing balance reached 1,846.387 billion yuan, showing an increase of 3.401 billion yuan compared to the previous trading day, with 20 out of 31 industries experiencing an increase in financing balance [1]. Industry Financing Balance Changes - The power equipment industry saw the largest increase in financing balance, rising by 0.642 billion yuan to a total of 132.558 billion yuan [1]. - Other industries with notable increases include: - Computer: increased by 0.538 billion yuan to 141.206 billion yuan - Non-bank financial: increased by 0.465 billion yuan to 156.268 billion yuan - Communication: increased by 0.447 billion yuan to 63.460 billion yuan [1]. - Conversely, 11 industries reported a decrease in financing balance, with significant reductions in: - Food and beverage: decreased by 0.153 billion yuan to 51.698 billion yuan - Steel: decreased by 0.108 billion yuan to 14.444 billion yuan - Construction decoration: decreased by 0.091 billion yuan to 31.655 billion yuan [2]. Percentage Changes in Financing Balance - The communication industry recorded the highest percentage increase in financing balance at 0.71%, followed by coal (0.59%), basic chemicals (0.56%), and public utilities (0.54%) [1]. - Industries with the largest percentage decreases include: - Steel: decreased by 0.74% - Beauty care: decreased by 0.65% - Food and beverage: decreased by 0.30% [2].

Group 1 - The 25 Tunnel Co., Ltd. SCP003 bond has a net trading price of 99.99 yuan, with a trading volume of 1.32 billion yuan and a latest yield of 1.6399% as of July 3 [1] - The bond is a super short-term financing bond issued by Shanghai Tunnel Engineering Co., Ltd., with an actual issuance amount of 2 billion yuan and a maturity date of September 17, 2025 [1] - The bond has a face value of 100 yuan, a coupon rate of 1.59%, and is zero-coupon with a term of 93 days [1] Group 2 - Shanghai Tunnel Engineering Co., Ltd. was established in 1993 and is primarily engaged in construction decoration and other building industries, with a registered capital of approximately 3.14 billion yuan [1] - The company has invested in 35 enterprises, participated in 801 bidding projects, and holds 8 trademark registrations and 266 patents [2]

2024 年，全市场非金融产业债发行规模 76266 万元，较 2023 年增长 22%，且 为历史新高。从历年发债规模走势来看，2014 年-2016 年产业债发行规模增长 较快。2017 年监管政策相对收紧，产业债发行规模大幅回落。2018 年以来维 持震荡增长。另一方面，2024 年产业债净融资规模 16600 亿元，为历史次高， 仅低于2015年的19305亿元。2014年以来，产业债仅在2017年和2021年-2023 年两个周期内净融资为负值，均为融资政策相对较严的政策区间。 二、2024 年以来产业债发行期限整体延长 2014 年至 2016 年，产业债加权平均发行期限分别为 2.11 年、1.98 年和 2.1 年， 但随着 2017 年融资环境收紧，产业债发行期限也随之缩短。2017 年至 2023 年，产业债加权平均发行期限均在 2 年以内，其中 2021 年达到最低值 1.54 年。 但随着 2023 年"一揽子化债"启动和债市持续走牛，2024 年和 2025 年 1-5 月，产业债加权平均发行期限分别达到 3.09 年和 3.29 年，增长幅度较大。 三、近年来产业债平均发行成本持续 ...

Group 1 - The China Securities Regulatory Commission emphasizes maintaining market stability as a primary regulatory task and aims to create a favorable environment for high-quality capital market development [2] - The People's Bank of China issued a notice on anti-money laundering and anti-terrorist financing management for precious metals and gemstones, effective from August 1, 2025, requiring institutions to report large cash transactions [3] - The first batch of 10 science and technology innovation bond ETFs has been approved, enhancing the bond ETF market in China [3] Group 2 - The Longhua District of Shenzhen released a three-year action plan to promote the cultivation of listed companies, encouraging social participation and cooperation with financial research institutions [4] - The Guangzhou Housing Provident Fund Management Center announced a draft for public consultation regarding the implementation of commercial housing loans transitioning to provident fund loans, with specific thresholds for action based on loan rates [4] Group 3 - The Civil Aviation Administration and China Railway Group jointly issued a task list for promoting high-quality development of "air-rail intermodal transport" from 2025 to 2027, focusing on collaboration and integration [5] - Guizhou Moutai reported a total of 3.3821 million shares repurchased by the end of June 2025, with a total expenditure of 5.202 billion yuan [7] - Jiangnan Waterworks received a stake increase from Anren Life Insurance, raising its holding to 5.03% [9] - Hainan Highway is planning to acquire a 51% stake in Jiaokong Petrochemical, which is expected to constitute a major asset restructuring [17]

Summary of Key Points from the Conference Call Industry or Company Involved - The report focuses on the A-share market and investment strategies proposed by Industrial Securities, particularly in the context of macroeconomic conditions and sector performance. Core Insights and Arguments - **Market Valuation and Timing**: The improved stock-bond valuation indicator suggests that A-shares have been in a low valuation state since 2022, with potential bottom-fishing opportunities starting in 2024 [1][3] - **Economic Leading Indicators**: The economic leading index constructed by Industrial Securities shows a slight upward trend in comprehensive leading indicators, real economy, and financial environment as of June 30, 2025, indicating a relatively positive outlook [4] - **Stock-Bond Rotation Strategies**: Two types of stock-bond rotation portfolios have been constructed: a flexible allocation portfolio with a historical annualized return of 14% and a conservative fixed-income portfolio with a 7.8% annualized return, both outperforming fixed-weight benchmark portfolios [5] - **Growth vs. Value Rotation Model**: The growth-value rotation model has achieved approximately 25% annualized returns since its inception in late 2013, outperforming the benchmark by 5%. As of June 30, 2025, the model indicates a preference for value stocks [6] - **Market Sentiment and Fund Flows**: As of June 30, 2025, the A-share margin financing balance is at a historical median level, indicating a neutral market sentiment. However, net inflows from major funds are optimistic, with over 90% of the data indicating positive sentiment [10] Additional Important Content - **Sector Recommendations**: Industrial Securities recommends sectors such as telecommunications, defense, construction decoration, steel, and computers, which include both cyclical and growth-oriented industries. The defense sector's weight is doubled based on macroeconomic calendar effects [11][12][14] - **Performance Metrics**: The recommended strategy has an annualized return of approximately 14% as of June 30, 2025, exceeding the benchmark by 15 percentage points, with a volatility of 9.33% and a Sharpe ratio of 1.63 [16] - **Historical Similarity Analysis**: The current macroeconomic environment is compared to historical periods, particularly noting similarities with the second half of 2015, characterized by economic pressure and a loose monetary environment, leading to a cautious outlook for the stock market [9] - **ETF Strategy**: The strategy includes matching ETF holdings based on correlation and return levels, with a performance difference of 2 to 3 percentage points compared to the rotation results [15]