（文章来源：证券日报） 证券日报网讯 11月18日晚间，东兴证券发布公告称，东兴证券股份有限公司（以下简称公司或东兴证 券）董事会于近日收到公司董事、副总经理牛南洁先生的书面辞职报告。因工作变动原因，牛南洁先生 辞去公司第六届董事会董事、董事会专门委员会相应职务，董事辞职自书面辞职报告送达董事会时生 效。辞去上述职务后，在相关程序及工作交接完成前，牛南洁先生将继续担任东兴证券副总经理职务。 ...

Core Insights - The article highlights the collaboration between Western Securities and Xi'an Jiaotong University to enhance financial talent development through practical education and industry integration [1][2] Group 1: Company Initiatives - Western Securities' investment banking head, Xue Bing, delivered a course on financial management at Xi'an Jiaotong University, focusing on the role of investment banks in supporting the real economy [1] - The course emphasized the importance of Chinese financial culture in guiding capital back to serving the real economy [1] - The company aims to deepen school-enterprise collaboration and explore innovative paths for industry-education integration to cultivate innovative financial talent [2] Group 2: Educational Collaboration - Since signing a cooperation memorandum in 2021, Western Securities and Xi'an Jiaotong University have achieved significant results in school-enterprise cooperation through various practical platforms [2] - The university's vice dean encouraged students to solidify their theoretical foundations while applying their knowledge to serve the real economy [2]

Core Viewpoint - The article discusses the significant changes in the global monetary and fiscal systems post-2008, particularly after 2020, and their implications for domestic economic and fixed-income asset forecasts [1][2]. Group 1: Fiscal and Monetary Changes - The new fiscal framework post-2020 includes large-scale government borrowing to create demand, with debt monetization and refinancing maintaining existing deficits and interest [1]. - Monetary policy has shifted to support fiscal sustainability rather than solely focusing on inflation targets [1]. - The rapid fiscal expansion has led to a preference for equity markets with higher profit elasticity, while nominal variables like CPI have risen quickly, causing interest rates to increase and fluctuate significantly [1][2]. Group 2: Divergence in Economic Indicators - There is a "triple divergence" observed where government leverage increases while household and corporate leverage remains stable or declines, leading to rising interest rates independent of household and corporate recovery [2]. - Despite fiscal efforts and rising government leverage, economic conditions have not improved significantly, yet stock markets continue to rise while bond markets show volatility [2]. - The performance of new economy sectors, particularly technology, diverges from traditional industries, indicating a split in asset performance [2]. Group 3: Investment Strategies - Given the "local divergence," the pursuit of alpha becomes crucial as fixed-income and easily accessible returns have been largely neutralized [3]. - A focus on risk appetite is essential, with attention to tail risks in certain assets, and a strategy of selecting assets based on price and elasticity differentiation [3]. - The convertible bond market shows a strong supply-demand mismatch, necessitating a focus on technology and elastic sectors for a balanced approach [3]. - The REITs market faces ongoing challenges, requiring careful selection of favorable sectors, while bank margins depend on the reduction of funding costs [3].

证券代码：000776 证券简称：广发证券 1 | 2、公司投资银行业务的发展情况？ | | --- | | 答：公司立足服务实体经济高质量发展，深入贯彻国家 | | 战略与监管要求，积极发挥直接融资"服务商"及资本市场 | | "看门人"功能。坚持行业引领，加强重点赛道产业资源积 | | 累与专业能力建设，着力打造产业投行、科技投行。深耕重 | | 点区域，巩固大湾区市场地位及竞争力，深化长三角重点区 | | 域布局。持续深化境内外一体化战略，健全跨境人才培养及 | | 协同机制，全面提升跨境协作质效和综合服务能力，有效助 | | 力中国企业出海布局。扎实推进数智化转型，强化精细化管 | | 理和风险防控，不断夯实提质增效、稳健发展的基础。 | | 3、公司场外衍生品业务的发展情况？ | | 答：公司作为场外衍生品业务一级交易商，立足衍生品 | | 定价和交易的专业优势，持续强化团队及系统建设，深耕产 | | 品创设、策略创新、交易销售及客户服务能力，丰富和拓展 | | 产品体系、挂钩标的种类及收益结构，持续为机构客户提供 | | 以场外衍生品为载体的资产配置和风险管理解决方案。 | | 4、公司投资管理业 ...

中信建投（601066）证券(06066)发布公告，中信建投证券股份有限公司2025年面向专业投资者公开发 行永续次级债券(第六期)发行规模不超过30亿元(含30亿元)，根据网下向专业机构投资者询价簿记结果 经发行人和主承销商充分协商和审慎判断，最终确定本期债券(债券简称:25信投Y6，代码:244197)票面 利率为2.25%。 ...

- The report provides a snapshot of the performance of broad-based indices in the A-share market, highlighting daily, monthly, and yearly changes in index values, with indices like CSI 2000 showing the highest daily increase of 0.63% and CSI 1000 at 0.27%[10][11][14] - CSI 2000 demonstrated a relatively independent trend, breaking through its 250-day high, while other indices remained below their 5-day moving averages[14] - Turnover rates and trading volume proportions were analyzed, with CSI 2000 having the highest turnover rate at 4.4 and the largest trading volume proportion at 25.29%[16] - The distribution of daily returns was examined, showing that CSI 2000 had the smallest negative skewness, while the ChiNext Index had the largest negative kurtosis[22][24] - Risk premium analysis was conducted using the 10-year government bond yield as a risk-free rate benchmark, revealing that CSI 2000 and CSI 1000 had relatively high risk premiums at 64.29% and 56.75%, respectively, over the past five years[26][30][33] - PE-TTM values were evaluated as a valuation metric, with CSI 1000 and CSI 500 showing high historical percentiles at 98.1% and 95.95%, respectively[36][39][40] - Dividend yield analysis indicated that the ChiNext Index had the highest 5-year historical percentile at 69.5%, while CSI 2000 had the lowest at 10.0%[44][49][50] - Current net-breaking rates were reported, with CSI 2000 having the lowest rate at 2.2%, reflecting market valuation attitudes[51][53]

近期停牌核查个股明显增多，11月18日就有平潭发展、海峡创新两只大牛股同步停牌核查。市场上，不 少投资者将停牌核查视为"走过场"，复牌后依旧盲目追高。殊不知，停牌核查不是对股市热点的降温， 而是对投资者的一种保护，投资者不应忽视其中的风险提示意义。 当然，也有部分投资者对停牌核查存在误解，认为停牌会影响自己的交易计划，限制投资的灵活性。然 而，从长远来看，停牌核查所带来的积极影响远远大于其带来的短期不便。它能够避免投资者因盲目追 涨杀跌而遭受投资损失。 停牌核查的核心意义，在于穿透股价异动表象，揭示背后潜在风险。当个股脱离业绩支撑，仅凭概念炒 作实现非理性飙升时，停牌核查既是对上市公司信息披露的全面核验，也是对资金交易行为的合规审 查。 对于投资者而言，停牌核查提供了一个冷静反思的契机。在热门股的狂热炒作氛围中，投资者很容易受 到其他投资者情绪的影响，盲目跟风追涨，从而忽略了对股票内在价值的理性分析。当一只股票连续涨 停，成为市场热点时，投资者很容易被短期的预期收益所诱惑，忽视可能存在的投资风险。 目前，部分市场参与者对停牌核查的认知存在严重偏差。 一方面，一些投资者将核查结果"不存在应披露而未披露信息"等同 ...

2025年11月18日，本公司完成了本期短期融资券的本息兑付工作。 国泰海通（601211）(02611)发布公告，国泰海通证券股份有限公司(曾用名：国泰君安证券股份有限公 司，以下简称本公司)于2024年11月18日成功发行了国泰君安证券股份有限公司2024年度第七期短期融 资券(以下简称本期短期融资券)，本期短期融资券发行额为人民币40亿元，票面利率为1.93%，短期融 资券期限为1年，兑付日期为2025年11月18日。 ...

Quantitative Models and Construction Methods 1. **Model Name**: Industry Crowding Monitoring Model **Model Construction Idea**: This model is designed to monitor the crowding levels of industries on a daily basis, focusing on the Shenwan First-Level Industry Index. It identifies industries with high or low crowding levels to provide actionable insights for investors. [3] **Model Construction Process**: The model calculates the crowding level of each industry based on specific metrics, such as fund flows and other market indicators. The daily crowding levels are ranked, and industries with significant changes in crowding levels are highlighted. For example, the model identified that the crowding levels of military and media industries experienced significant changes recently. [3] **Model Evaluation**: The model provides a useful tool for identifying industry trends and potential investment opportunities by analyzing crowding dynamics. [3] 2. **Model Name**: Premium Rate Z-Score Model **Model Construction Idea**: This model is used to screen ETF products by identifying potential arbitrage opportunities based on the Z-score of their premium rates. [4] **Model Construction Process**: The Z-score is calculated using rolling measurements of the premium rate of ETF products. The model flags ETFs with significant deviations from their historical averages, indicating potential arbitrage opportunities or risks of price corrections. [4] **Model Evaluation**: The model effectively identifies ETFs with potential arbitrage opportunities, but it also warns of potential price correction risks. [4] --- Model Backtesting Results 1. **Industry Crowding Monitoring Model**: No specific numerical backtesting results were provided in the report. [3] 2. **Premium Rate Z-Score Model**: No specific numerical backtesting results were provided in the report. [4] --- Quantitative Factors and Construction Methods No specific quantitative factors were explicitly mentioned or constructed in the report. --- Factor Backtesting Results No specific quantitative factor backtesting results were provided in the report.

证 券 研 究 报 告 如何构建含有预期的多资产配置组合？ 基于BootStrap的配置方式探讨 —— 金融产品每周见20251118 证券分析师：蒋辛 A0230521080002 邓虎 A0230520070003 白皓天 A0230525070001 联系人： 蒋辛 A0230521080002 jiangxin@swsresearch.com 2025.11.18 主要内容 1. 资产配置模型概述 02基础模型-均值方差模型 2 2. 纳入预期的多资产配置模型——采用BootStrap方法 进行映射分析 3. 风险提示及声明 1.1 资产配置模型——从现代资产组合理论入手 图：代表性资产配置模型概述 01固定比例配置 运作方式：股债20/80指数等 优势：运作简单，满足基础分散化投资诉求 劣势：不够灵活，环境变动下收益差距可能较大 04风险平价模型 运作方式：仅关注风险端，追求各资产风险配置均衡 优势：强化风险控制；可引入宏观风险、汇率风险等多 维度的风险，用多维风控信息做组合 劣势：依赖风控模型，当出现难以识别的风险时，没有 收益兜底的风险平价模型较难及时做调整。 运作方式：给定收益/风险，确定组合 ...