定量解读市场情绪、估值及资金面情况

定量解读市场情绪、 估值及资金面情况 分析师：包承超、邓宇林 2024年09月30日 证券研究报告 请务必阅读报告末页的重要声明 图：全A个股PB估值分布情况 市净率 未来N个月涨跌幅 图：市净率分位数从2024年8月的1.1%反弹至9月的17.4% 图：历史数据表明，市净率分位数较低时，后续反弹持续性较强 分位数 1个月 2个月 3个月 4个月 5个月 (0%,10%] 2.6% 5.0% 6.9% 11.0% 1 (10%,20%] 4.1% 6.0% 7.3% 8.4% (20%,30%] 1.9% 3.3% 4.9% (30%,40%] -1.4% -1.4% -1 (40%,50%] -0.3% -0.6% (50%,60%] 1.6% (60%,70%] -0.1% (70%,80%](80%,90 (9 图：上证指数的股权风险溢价回落至平均水平图：上证指数的股息风险溢价位于1-2倍标准差区间 图：上证指数的股权风险溢价回落至平均水平 图：全AGLDI 放量上涨 图：宽基与行业GLDI 风格 周期 制造 可选消费 必选消费 金融地产 TMT 其他 全A上证沪深中证 国证创业板科创 50300500 中证 1000 2000 指 50 大盘小盘成长价值 煤炭 石油石有色金基础建筑材建筑交通运机械设电力设 家用电轻工制国防军 社会服商贸零纺织服美容护食品饮农林牧医药生 化 钢铁 属化工料装饰输 备 备 汽车 器 造 工 环保 务 售 饰 理 料 渔 物 银行非银金 融 房地产电子计算机传媒通信事业 公用 100%100%100%100%100%99%100%100%100%100%100%100%100%100%100%100%99%100%98%98%100%100%100%99%100%99%100%100%100%99%100%100%99%100%100%100%100%100%100%99%100%99% 98%96%96%98%99%98%99%96%96%98%98%95%100%93%100%100%98%100%97%93%99%99%99%98%99%98%97%99%99%97%100%99%98%97%100%100%100%98%99%98%98%92% 日期 2024-09-30 2024-09-27 2024-09-20 32% 38% 32% 31% 32% 35% 22% 18% 30% 31% 35% 23% 29% 15% 20% 45% 25% 32% 30% 21% 28% 32% 40% 44% 31% 18% 20% 28% 63% 31% 28% 25% 30% 16% 7% 69% 81% 20% 62% 47% 49% 16% 2024-09-13 22% 26% 18% 19% 22% 23% 18% 18% 18% 20% 24% 15% 5% 13% 18% 16% 19% 11% 21% 13% 21% 32% 28% 21% 26% 11% 17% 15% 32% 27% 21% 10% 19% 19% 0% 45% 35% 15% 38% 34% 31% 9% 2024-09-06 27% 30% 21% 24% 28% 30% 21% 16% 24% 24% 27% 24% 16% 17% 13% 21% 31% 28% 21% 21% 23% 27% 35% 26% 35% 14% 16% 32% 50% 33% 21% 17% 20% 23% 10% 35% 24% 30% 39% 44% 34% 13% 2024-08-30 44% 38% 30% 37% 42% 46% 33% 36% 29% 37% 47% 31% 39% 52% 20% 56% 53% 49% 38% 21% 45% 45% 37% 49% 55% 15% 32% 39% 49% 50% 45% 40% 36% 41% 2% 44% 42% 51% 49% 59% 61% 20% 2024-08-23 16% 26% 23% 14% 14% 18% 9% 14% 29% 14% 22% 28% 11% 17% 7% 7% 13% 17% 15% 23% 15% 11% 13% 24% 14% 9% 12% 24% 15% 16% 10% 10% 7% 13% 76% 26% 10% 20% 26% 25% 34% 10% 2024-08-16 43% 38% 28% 36% 37% 44% 25% 26% 31% 34% 48% 44% 37% 52% 20% 14% 33% 40% 50% 37% 44% 29% 27% 40% 43% 25% 59% 35% 41% 50% 55% 44% 37% 68% 64% 75% 53% 37% 40% 66% 49% 30% 2024-08-09 44% 34% 30% 45% 43% 45% 33% 34% 28% 42% 43% 33% 45% 52% 38% 18% 38% 61% 64% 44% 36% 32% 29% 46% 52% 62% 55% 59% 67% 57% 62% 73% 70% 69% 5% 80% 88% 20% 24% 42% 35% 32% 2024-08-02 54% 50% 43% 51% 51% 55% 46% 52% 43% 49% 56% 37% 16% 48% 49% 32% 43% 57% 67% 68% 56% 42% 56% 61% 48% 89% 62% 56% 68% 50% 62% 51% 69% 69% 29% 89% 66% 34% 52% 58% 41% 38% 2024-07-26 24% 36% 31% 24% 20% 21% 22% 30% 31% 20% 21% 16% 3% 20% 18% 14% 15% 21% 24% 39% 33% 26% 33% 27% 15% 59% 38% 19% 29% 16% 21% 17% 24% 19% 17% 54% 14% 18% 24% 15% 14% 25% 2024-07-19 24% 66% 51% 25% 20% 17% 34% 44% 54% 22% 22% 22% 3% 22% 27% 26% 20% 22% 20% 34% 23% 17% 27% 14% 15% 25% 23% 25% 28% 20% 17% 27% 31% 30% 48% 36% 15% 39% 21% 11% 20% 17% 2024-07-12 24% 44% 34% 22% 21% 22% 23% 32% 35% 20% 25% 24% 0% 37% 27% 40% 21% 21% 21% 28% 20% 16% 42% 16% 19% 14% 21% 32% 21% 17% 28% 12% 16% 22% 31% 12% 18% 43% 28% 9% 29% 24% 2024-07-05 12% 22% 21% 12% 9% 10% 8% 22% 23% 9% 14% 22% 8% 22% 11% 17% 7% 14% 13% 20% 10% 9% 12% 9% 8% 5% 7% 9% 12% 6% 10% 5% 7% 8% 26% 4% 5% 17% 19% 12% 16% 23% 2024-06-28 13% 24% 23% 12% 9% 10% 9% 20% 26% 9% 17% 18% 8% 17% 2% 8% 6% 9% 16% 18% 15% 14% 13% 5% 4% 11% 9% 8% 4% 6% 10% 2% 2% 4% 21% 6% 6% 36% 19% 7% 22% 22% 2024-06-21 15% 20% 20% 12% 13% 12% 11% 44% 20% 11% 19% 13% 16% 9% 0% 7% 7% 8% 15% 14% 14% 11% 16% 5% 6% 12% 10% 5% 4% 7% 3% 4% 4% 10% 12% 4% 7% 52% 22% 6% 27% 16% 2024-06-14 15% 22% 24% 17% 13% 12% 22% 40% 23% 14% 14% 19% 42% 11% 2% 6% 8% 4% 9% 11% 11% 18% 8% 5% 4% 26% 10% 9% 7% 8% 3% 2% 5% 7% 10% 13% 8% 57% 11% 13% 20% 32% 2024-06-07 11% 34% 31% 20% 12% 9% 17% 24% 35% 15% 9% 33% 47% 9% 0% 13% 7% 5% 10% 30% 7% 11% 5% 6% 3% 22% 8% 8% 9% 9% 7% 2% 10% 8% 36% 6% 15% 28% 5% 5% 9% 36% 2024-05-31 37% 38% 38% 27% 33% 36% 30% 50% 40% 29% 38% 43% 61% 26% 13% 35% 35% 32% 30% 32% 39% 49% 32% 29% 30% 57% 35% 24% 20% 32% 34% 15% 30% 26% 74% 16% 43% 67% 29% 16% 37% 52% 2024-05-24 39% 44% 44% 37% 36% 38% 34% 34% 44% 35% 30% 58% 53% 28% 22% 27% 46% 57% 48% 42% 30% 48% 24% 44% 44% 45% 42% 21% 31% 32% 52% 44% 59% 34% 93% 21% 83% 42% 20% 18% 32% 68% 2024-05-17 62% 66% 64% 66% 64% 61% 66% 48% 66% 62% 55% 71% 50% 43% 42% 49% 79% 78% 75% 68% 53% 56% 53% 74% 81% 63% 71% 43% 61% 62% 76% 65% 65% 68% 95% 92% 93% 60% 43% 34% 50% 67% 2024-05-10 61% 76% 69% 72% 67% 62% 66% 66% 71% 67% 54% 75% 76% 57% 44% 68% 78% 60% 58% 78% 54% 65% 57% 75% 65% 75% 68% 41% 54% 47% 83% 69% 72% 81% 83% 86% 81% 49% 28% 21% 33% 79% 2024-04-30 48% 66% 60% 62% 55% 49% 52% 42% 62% 57% 40% 61% 45% 52% 38% 43% 60% 34% 42% 60% 39% 40% 54% 66% 49% 46% 49% 32% 37% 43% 66% 54% 41% 63% 88% 78% 56% 49% 31% 22% 41% 52% 2024-04-26 33% 68% 55% 50% 40% 33% 31% 32% 60% 46% 26% 56% 29% 52% 38% 46% 42% 22% 36% 60% 27% 26% 39% 55% 30% 52% 32% 33% 21% 26% 38% 35% 20% 38% 69% 76% 18% 28% 18% 10% 27% 45% 2024-04-19 23% 54% 42% 46% 30% 23% 16% 22% 49% 39% 13% 73% 66% 70% 62% 53% 32% 22% 28% 55% 19% 17% 23% 54% 24% 26% 26% 26% 15% 27% 17% 20% 20% 19% 93% 20% 9% 8% 5%