东北证券–精雕细琢:如何精准刻画个股分红预期【投资策略】_研报

【研究报告内容摘要】 报告摘要:目前红利指数大都采用股息率加权,而股息率TTM指标在计算方法上天然存在一些缺陷,以及会受到公司异常分红的影响,所以该指标并不能及时地对个股分红预期做出调整,这会导致个股或指数的股息率虛高。本篇报告主要解决股息率TTM无法准确反映个股分红预期的问题。 本文第一部分将公司异常分红行为归为三类:非年报分红、连续报告期分红中断、分红稳定性不佳,并针对每一种异常情况给出了相应的处理方案。 本文第二部分对股息率TTM指标的异常情况做了分析及相应修正,我们从两个角度入手:股息率计算方法改进和异常股息率的修正。 针对股息率TTM指标可能存在分红金额的会计年度错配问题和指标变动滞后问题,我们提出应该以会计年度为口径,纳入分红预案信息构造股息率指标。结合第一部分中对异常分红情况的处理,相应地对股息率做进一步修正,最后提出两个更加合理的指标:会计年度修正股息率和滚动财报修正股息率。 本文第三部分针对上文提出的会计年度修正股息率和滚动财报修正股息率指标提出了三个应用场景。应用场景一:修正后的股息率指标并没有改变原始股息率TTM指标的风险收益特征,但能更及时地反映个股的高分红预期,可作为股息率TTM指标的替代指标。应用.场景二:用修正后的股息率指标去衡量指数或者组合的整体分红水平更加接近真实值。应用场景三:不改变组合成分股,仅将加权方式由股息率TTM加权更改为由修正后的股息率加权,就能在不伤害组合收益的情况下,为组合增加分红收益。 风险提示:以上分析均基于模型结果和历史测算,存在的风险点有:政策变化风险,模型失效风险。

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[Table_MainInfo] [Table_Title] / [Table_Summary] TTM TTM TTM TTM TTM TTM TTM [Table_Invest] [Table_PicQuote] 0 2 4 6 8 10 12 14 16 18 TTM [Table_PicQuote] 0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5 TTM [Table_Report] 2020-06-28 ETF 2020-06-21 2020-06-14 6 2020-06-07 2019-12-30 2019-09-27 [Table_Author] S0550518090001 021 2036 3215 xiaocz@nesc.cn S0550119080051 021 2036 1264 wangjq@nesc.cn 2020-06-30 2 / 30 [Table_PageTop ] 1. ……………………………………………………………………………………………….. 4 2. …………………………………………………………… 5 2.1. ………………………………………………………………………………………………………………… 5 2.2. …………………………………………………………………………………………….. 7 2.2.1. ……………………………………………………………………………………………………………………… 7 2.2.2…………………………………………………………………………………………………………………………… 9 2.3. ………………………………………………………………………………………………………… 11 2.3.1. ………………………………………………………………………………………… 11 2.3.2. ………………………………………………………………………………………… 14 3.TTM ………………………………………………………….. 15 3.1.TTM ……………………………………………………………………… 15 3.2. ……………………………………. 17 3.3. …………………………………………………………………………………. 18 3.4. …………………………………………………………………………………………………….. 20 4. …………………………………………………………….. 21 4.1.TTM…………………………………………………………………………………… 21 4.2. …………………………………………………………………………… 25 4.3. …………………………………………………………………………… 26 5. ……………………………………………………………………………………….. 28 3 / 30 [Table_PageTop ] 1A ……………………………………………………………………………………………. 5 2 ……………………………………………………………………………………………. 5 3// ………………………………………………………………………………………. 6 4// …………………………………………………………………………….. 6 5202023 …………………………………………………………………………… 7 62 ………………………………………………… 7 7N …………………………………… 9 8N ……………………………………………………. 10 9 …………………………………………………….. 10 10 …………………………………………………… 12 11……………………………………………………. 12 12G ……………………………………………. 13 13G …………………………………………………………………….. 13 14TD……………………………………………………………. 14 15TD …………………………………………………………………………… 15 16 ……………………………………………………………………… 16 17 …………………………………………………………………………. 18 18 ………………………………………………………………………………………………….. 19 19…………………………………………………………………………………………. 20 20…………………………………………………………………………………………. 20 21 ……………………………………………………………….. 22 22 …………………………………………….. 23 23 …………………………………………………………. 23 24 ……………………………………………………………….. 24 25 ……………………………………………………………………… 25 2650 ……………………………………………………………………….. 26 27300 ……………………………………………………………………… 26 28 ………………………………………………… 27 29 ………………………………………….. 28 12019 ………………………………………………………… 4 22020/04/3002019…………………………………………………………. 4 2 ……………………………………………………………………………………………………………. 6 3…………………………………………………………………………….. 8 420102019 …………………………………………………. 9 52017 …………………………………………………………….. 15 6……………………………………………………………………………………….. 16 7 ………………………………………………………………………………………….. 18 8% ………………………………………… 21 9………………………………………………………… 22 10……………………………… 24 11………………………………………………………………… 27 4 / 30 [Table_PageTop ] 1. TTM TTM 201920204304 TTM22.07%2.34% TTM 12019 TTM% % 600507.S H 22.0685 2.335 2020/2/28 000157.S Z 3.6994 1.142 2020/3/31 002016.S Z 7.6104 0.913 2020/4/29 002083.S Z 1.4646 0.797 2020/4/30 Wind 202043002019 3%26 22020/04/3002019 % 01 240 12 45 23 31 34 12 45 5 510 8 10 1 Wind SmartBet a TTM TTM 5 / 30 [Table_PageTop ] 2. 2000 2.1. 97%2%3% 1A 30% 40% 50% 60% 70% 80% 90% 0 500 1000 1500 2000 2500 3000 2004200520062007200820092010201120122013201420152016201720182019 Wind 2 0 10 20 30 40 50 60 70 80 90 100 2004200520062007200820092010201120122013201420152016201720182019 Wind 6 / 30 [Table_PageTop ] A // 70% 0 80% 3// 4// 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 2000200220042006200820102012201420162018 // 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 2000200220042006200820102012201420162018 0 Wind Wind 2000102 97 854.18%8 2.32%3 1.16% 2 85 4.18% 8 2.32% 3 1.16% 6 0.67% Wind 7 / 30 [Table_PageTop ] 2.2. 2.2.1. A 2019A2608 75.14% 1859142112331058 201972019 -7.04% 15% 5202023 7.5 8.0 8.5 9.0 9.5 10.0 2020-02-032020-02-132020-02-232020-03-042020-03-142020-03-24 Wind 62 0.8 0.85 0.9 0.95 1 1.05 1.1 0 5 10 15 20 25 2020-02-032020-02-232020-03-142020-04-032020-04-232020-05-132020-06-022020-06-22 (12) Wind 8 / 30 [Table_PageTop ] N2019 2019 2811 1776 3 2 3 4 5 6 7 8 2010 21 15 12 3 4 6 9 2011 26 15 12 8 1 7 16 2012 45 23 6 10 3 3 16 2013 37 22 13 5 6 7 9 2014 50 46 25 12 8 5 19 2015 42 34 51 28 25 6 25 2016 26 11 19 14 21 7 24 2017 34 19 12 19 25 17 25 2018 81 42 31 20 34 43 84 2019 65 64 30 28 11 17 76 Wind 2004 N A 10 20 9 / 30 [Table_PageTop ] 7N -1.50% -1.00% -0.50% 0.00% 0.50% 1.00% 1.50% T+1T+2T+3T+4T+5T+6T+7T+8T+9T+10T+15T+20 23456 Wind 2.2.2. NN N 20102019N N 420102019 2 89.53% 83.36% 87.51% 3 90.46% 85.50% 88.51% 4 91.16% 86.58% 89.23% 5 91.77% 87.51% 89.89% 6 92.12% 88.20% 90.54% 7 92.77% 88.85% 91.02% 8 93.44% 89.67% 91.58% Wind A N 50% 10 / 30 [Table_PageTop ] 8N 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 200220032004200520062007200820092010201120122013201420152016201720182019 2345678 Wind 90% 50% 9 70% 75% 80% 85% 90% 95% 100% 0 200 400 600 800 1000 1200 1400 1600 1800 20032004200520062007200820092010201120122013201420152016201720182019 33 Wind 11 / 30 [Table_PageTop ] 2.3. 2.3.1. PEEPSD rNP Δr/rΔNP/NP 1002012 4100 Δr/r>0 ΔNP/NP>0 24%16.17%25.03% 0.65 Δr/r0 44% 14.59%25.62%0.57 Δr/r>0 ΔNP/NP<0 20%12.03% 27.54%0.44 Δr/r<0 ΔNP/NP<0 12%11.27% 28.90%0.39 12 / 30 [Table_PageTop ] 10 0% 10% 20% 30% 40% 50% 60% 70% 20032004200520062007200820092010201120122013201420152016201720182019 1234 Wind 11 0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 2012-042013-042014-042015-042016-042017-042018-042019-042020-04 1234 Wind G2019 -48.27%106.55%400% 30% 13 / 30 [Table_PageTop ] 12G -100 -50 0 50 100 150 2010201120122013201420152016201720182019 (%)(%) Wind 13G 0.85 0.9 0.95 1 1.05 1.1 1.15 1.2 1.25 1.3 1.35 2020-01-022020-02-012020-03-022020-04-012020-05-012020-05-31 Wind 10%-x r 14 / 30 [Table_PageTop ] 2.3.2. TD 35%2019D33% T192%D rm 14TD 0 40 80 120 160 200 201420152016201720182019 TD Wind 15 / 30 [Table_PageTop ] 15TD 0.8 0.9 1 1.1 1.2 1.3 1.4 2020-04-302020-05-072020-05-142020-05-212020-05-282020-06-042020-06-11 TD Wind 3. TTM 3.1. TTM TTM12 TTM 20 1TTM2 201677201520177 52016TTM 20172016 0201820198 62018 52017 2017-01-01 2017-07-04 2015 2017-07-05 2017-07-07 2015 + 2016 2017-07-08 2018-07-06 2016 2018-07-07 2019-02-24 020161 16 / 30 [Table_PageTop ] 2019-02-25 2019-08-05 2018 2019-08-06 2020-02-25 2018 + 2018 2020-02-26 2018 Wind 16 ​​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ 2015 2015+ 2016 2016 ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​​​​​​​​​​​​​​​​​​​​​​​​​​​​​​​ 2018 ​ ​ ​ ​​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ 2018+ 2018 ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ 2018 ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ 0 1 2 3 4 5 6 7 8 9 10 2017-012017-052017-092018-012018-052018-092019-012019-052019-092020-012020-05 Wind 2000 4719 TTM 6 2004 2 0 2005 7 1 2006 5 0 2007 0 1 2008 1 2 2009 0 2 2010 0 1 2011 0 0 2012 1 1 2013 3 1 2014 2 1 2015 2 1 2016 9 1 2017 8 4 2018 6 3 2019 1 0 Wind 17 / 30 [Table_PageTop ] 3.2. TTM = / 1 D 2 0D D 3 D 4 = D/ 1 DD 2 D0 D TTM = / 1 D 2 0D D 3 D 4 = D/ 1 18 / 30 [Table_PageTop ] TTM 7 TTM Wind TTM 17 0 1 2 3 4 5 6 7 8 9 10 2017-012017-052017-092018-012018-052018-092019-012019-052019-092020-012020-05 TTM Wind 3.3. 1 min(2*rm, 1) 19 / 30 [Table_PageTop ] 2 r/(1-x)*1.1 3 11 18 Wind 82002019 272 20 / 30 [Table_PageTop ] 19 0 50 100 150 200 250 300 20002001200220032004200520062007200820092010201120122013201420152016201720182019 Wind 20 0 50 100 150 200 250 300 Wind 3.4. 3.2 3.3 21 / 30 [Table_PageTop ] 3.89%4.10%TTM 4.00%4.35% 44.19% 4.39% 8% TTM 2009/4/30 2.30 2.26 2.63 2010/4/30 2.93 2.88 3.11 2011/4/29 3.08 3.30 3.42 2012/4/27 3.73 3.87 4.02 2013/4/26 4.59 4.78 5.00 2014/4/30 6.16 6.21 6.35 2015/4/30 3.02 3.39 3.54 2016/4/29 4.41 4.60 4.76 2017/4/28 4.45 4.30 4.53 2018/4/27 4.03 4.10 4.36 2019/4/30 4.10 4.35 4.39 3.89 4.00 4.19 Wind 4. TTM 4.1. TTM 100 2005-122020-05 TTM TTM 21.81%29.58%0.74 23.14%28.67%0.81 22 / 30 [Table_PageTop ] 23.21%28.65%0.81 TTM 21 0 5 10 15 20 25 TTM Wind 9 TTM 2006 81.56% 90.29% 8.72% 89.95% 8.39% 2007 249.85% 256.06% 6.21% 260.60% 10.74% 2008 -55.15% -56.38% -1.23% -56.43% -1.28% 2009 143.03% 153.75% 10.72% 151.50% 8.47% 2010 -2.99% -0.64% 2.34% 0.19% 3.17% 2011 -24.47% -21.43% 3.05% -21.61% 2.87% 2012 8.05% 1.74% -6.31% 2.77% -5.28% 2013 14.82% 13.11% -1.71% 13.67% -1.15% 2014 62.00% 69.56% 7.56% 67.16% 5.16% 2015 59.41% 62.90% 3.49% 66.04% 6.63% 2016 -1.35% -2.34% -0.99% -2.14% -0.79% 2017 5.62% 8.60% 2.99% 7.99% 2.37% 2018 -19.26% -17.95% 1.31% -19.49% -0.23% 2019 21.85% 23.43% 1.58% 22.89% 1.04% 2020 -4.81% -7.69% -2.88% -6.83% -2.02% 21.81% 23.14% 1.32% 23.21% 1.40% Wind 23 / 30 [Table_PageTop ] TTM 22 0 2 4 6 8 10 12 14 16 18 TTM Wind TTM 7.96% 12.33%12.86% TTM 23 0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5 TTM Wind 24 / 30 [Table_PageTop ] 10 TTM 2006 2.11% 5.57% 5.94% 2007 0.65% 2.15% 2.18% 2008 0.97% 2.49% 2.69% 2009 0.91% 2.33% 2.38% 2010 0.97% 2.20% 2.25% 2011 1.17% 2.70% 2.96% 2012 0.98% 3.48% 3.64% 2013 1.94% 4.27% 4.47% 2014 2.18% 4.95% 5.08% 2015 1.50% 2.85% 3.08% 2016 2.12% 4.17% 4.25% 2017 1.68% 4.02% 4.27% 2018 2.08% 5.34% 6.29% 2019 2.48% 6.17% 6.37% 2020 1.17% 2.27% 2.33% Wind TTM 45678 TTM 9101112 24 0.00% 0.20% 0.40% 0.60% 0.80% 1.00% 1.20% 1.40% 123456789101112 TTM Wind 25 / 30 [Table_PageTop ] 4.2. TTM TTM TTM 12/ 50300 TTM29.01% 19.80% 20.05% 25 0 1 2 3 4 5 6 7 2009-042010-042011-042012-042013-042014-042015-042016-042017-042018-042019-04 TTM Wind 50TTM26.97% 20.60%22.09% 50 26 / 30 [Table_PageTop ] 2650 0 1 2 3 4 5 6 2009-042010-042011-042012-042013-042014-042015-042016-042017-042018-042019-04 TTM Wind 300TTM24.07% 17.24% 18.53%300 27300 0 1 2 3 4 5 6 2008-122009-122010-122011-122012-122013-122014-122015-122016-122017-122018-12 TTM Wind 4.3. SmartBeta ++ 27 / 30 [Table_PageTop ] 13 0 2A80% 3A80% 150% 2eps100 3ttm 50TTM TTM 11 TTM 24.92% 25.65% 0.97 24.55% 25.61% 0.96 24.64% 25.61% 0.96 Wind 28 0 2 4 6 8 10 12 14 2008-122009-122010-122011-122012-122013-122014-122015-122016-122017-122018-122019-12 TTM Wind TTM6.43% 7.82% 7.72% 28 / 30 [Table_PageTop ] 29 0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 2008-122009-122010-122011-122012-122013-122014-122015-122016-122017-122018-122019-12 TTM Wind 5. 29 / 30 [Table_PageTop ] 20164 2019 “” R3AB AAABS “” 615% 65%15% 6-5%5% 65%15% 615% 6 6 6 30 / 30 [Table_PageTop ] 6666 130119 28D 100033 729 200127 100622A 518038 12215 510630 021-20361121 13636606340 ruanmin@nesc. cn 021-20361229 17717370432 wuxiaoy in@nesc.cn 021-20361258 18221628116 qijian@n esc.cn 021-20361267 13262728598 chen_ xh@nesc.cn 021-20361258 13120758587 Lilq@nesc. cn 021-20361112 18801903156 lir x@nesc.cn 021-20361133 18516728369 zhoujq@nesc.cn 021-20361133 13122617959 liuy q@nesc.cn 021-20361229 15213310661 jiny ue@nesc.cn 010-58034553 18515018255 lihan g@nesc. cn 010-58034557 18501954588 y inlulu@nesc.cn 010-58034555 13701194494 wenzc@nesc.cn 010-58034563 18501944669 zengy g@nesc.cn 010-63210813 18153683452 zhouy ing1@nesc.cn 0755-33975865 18938029743 liu_ xuan@nesc. cn 0755-33975865 15989508876 liuman@n esc.cn 0755-33975865 18516772531 wangquan@n esc.cn 0755-33975865 18620093160 zhoujy @nesc.cn 0755-33975865 18664323108 Chenli1@nesc. cn 021-20361229 18616369028 liy iny in@nesc.cn 021-20361229 15921911962 zhaojiahen g@nesc. cn ]

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