證券行業(yè)研究框架及

行業(yè)研究框架及估值方法欽、2融資融券業(yè)務驅動因素分析行業(yè)業(yè)務結構及競爭態(tài)勢經紀業(yè)務 驅動因素分析投行業(yè)務 驅動因素分析行業(yè)估值方法行業(yè) 及凈資產營業(yè)收入（億元）凈利潤（億元）凈資產（億元）ROE-7001,4002,1002,8003,5002007200820092010經紀收入

承銷收入

資管收入

利息收入

投資收入

其他收入1,3565219917792007200820092010凈利潤3,5113,6975,0195,7522007200820092010凈資產39%14%20%14%2007200820092010ROE3傭金 化推動行業(yè)1976年

經紀業(yè)務傭金

化杠桿率擴大支持資本消耗型新業(yè)務創(chuàng)新業(yè)務的發(fā)展保證了收入的持續(xù)增長1.57%0.97%0.91%0.82%%0.730%.740.75%

0.800.72%1.17%

1.08%1.26%1.35%1.50%1.59%1.58%2.05%2.05%1.80%1.65%1.76%1.72%1980

1982

1984

1986

1988

19900%25%50%75%100%90

1994

1998

2002經紀業(yè)務收入占比持續(xù)下降經紀 承銷 自營 直投 利息 其他-4

008

0012

0016

0020

001970

1972

1974

1976

1978

1980

1982

1984

1986

1988

1990

1992

1994

1996

1998

2000

20020%10%20%30%40%50%杠桿率ROE-1970

1974

1978

19821986

1990

1994

1998

2002營業(yè)收入350,000

$mn300,000250,000200,000150,000100,00050,0004行業(yè)市場集中度趨向分散經紀業(yè)務TOP10份額承銷業(yè)務TOP10份額自營業(yè)務TOP10份額集合

TOP10份額經紀業(yè)務44.12%41.33%40.64%200820092010承銷業(yè)務72.53%71.31%60.48%200820092010自營業(yè)務229.50%54.92%62.85%200820092010集合86.62%71.72%61.41%20082009201056融資融券業(yè)務驅動因素分析行業(yè)業(yè)務結構及競爭態(tài)勢經紀業(yè)務 驅動因素分析投行業(yè)務 驅動因素分析行業(yè)估值方法經紀業(yè)務驅動因素經紀收入費率市值換手率化率市場成交投資者結構集中度新增市值存量市值服務水平節(jié)奏 市場漲跌交易方式7新興市場新增市值增速更快市值

$

Billions化率IPO規(guī)模

$BillionsIPO規(guī)模/

市值17,2833,6133,8284,0081,5971,546USUKJPNCHNINDBRA119%185%65%77%90%65%USUKJPNCHNINDBRA3791572116USUKJPNCHNINDBRA0

21%0.25%0.38%1.80%0.67%0.42%USUKJPNCHNINDBRA8經紀業(yè)務驅動因素經紀收入費率市值換手率化率市場成交投資者結構集中度新增市值存量市值服務水平節(jié)奏 市場漲跌交易方式9換手率高于全球平均2010年全球主要市場平均持股期限0%100%200%300%400%500%600%700%800%900%982002200620100%100%200%300%400%500%600%700%800%

900%全球主要市場換手率變化US

UK

JPNCHN

TW

HK194469343116300612USUKJPNCHNTWHK10-1,0002,0003,0004,0005,0006,0007,000Jan-06

Oct-06

Jul-07

Apr-08

Jan-09

Oct-09

Jul-10

Apr-110.00%1.00%2.00%3.00%4.00%5.00%6.00%7.00%上證指數(shù)換手率受指數(shù)漲跌影響顯著市場指數(shù)與換手率ⅠⅡ

Ⅲ日均換手率Ⅳ區(qū)間漲幅

換手率Ⅰ373%2.97%Ⅱ-69%1.58%Ⅲ82%2.68%Ⅳ區(qū)間段指數(shù)漲幅與

換手率時間

月數(shù)2006.01-2007.10

222007.11-2008.11

132008.12-2009.07

82009.08-2011.07

24-21%1.43%11投資者結構影響了 換手率市場公募與個人投資者持有市值占比市場機構與個人投資者持有市值占比384%219%401%1219%466%578%321%

314%2007200820092010市場公募與個人投資者換手率公募

個人50%25%0%100%75%市場機構與個人投資者持有市值占比個人

機構67.28%65.63%83.56%87.98%2007200820092010公募非公募25%0%50%75%100%199019941998200220062010個人機構12經紀業(yè)務驅動因素經紀收入費率市值換手率化率市場成交投資者結構集中度新增市值存量市值服務水平節(jié)奏 市場漲跌交易方式13網點供給增加是傭金率下降傭金率持續(xù)下降網點的無限供給是傭金率的0.085%0.102%0.131%0.142%0.159%0.04%0.06%0.08%0.10%0.12%0.14%0.16%0.18%200720082009201020111H-1.7個BP-1.1個BP-2.9個BP-1.7個BP3106311936624477553420002500300035004000450050002007200820092010201102+13+543+815+7614傭金率企穩(wěn)的同時成本率上升月度調研數(shù)據顯示傭金率短期企穩(wěn)傭金率企穩(wěn)的同時成本率在上升0.600.700.800.901.001.101.201.301.4009.0109.0309.0509.0709.0909.1110.0110.0310.0510.0710.0910.1111.0111.0311.0511.0750%55%60%65%70%75%80%2007200820092010-10203040506070海通營業(yè)收入海通利潤率長江營業(yè)收入長江利潤率15經紀業(yè)務億元

20072008200920102011E上證指數(shù)5,2621,8213,27728082800換手率770%384%542%315%281%融資額7,4412,9625,1498,4886,000總市值327,140121,366243,939265,423272,667有效流通市值93,06445,214151,259193,110192,560化率123%39%72%67%63%日均 成交

1,8591,0712,1852,2432,250股基權凈傭金率

0.159%0.142%0.131%0.102%0.087%傭金收入

1,7239681,5551,160975經紀業(yè)務收入1617融資融券業(yè)務驅動因素分析行業(yè)業(yè)務結構及競爭態(tài)勢經紀業(yè)務 驅動因素分析投行業(yè)務 驅動因素分析行業(yè)估值方法投行業(yè)務 驅動承銷保薦收入費率化率節(jié)奏規(guī)模項目規(guī)模政策超募比例市場漲跌市盈率財務顧問收入投行收入18市場漲跌和 政策影響 規(guī)模--9793733072,0434,0977341,3181,900485595528200720084572472009201020111H創(chuàng)業(yè)板中小板主板19承銷費率受規(guī)模和市盈率影響大項目承銷費率低、小項目承銷費率高市盈率決定超募比例2009

2010超募比例影響承銷費率6.28%7.57%5.42%5.47%5.22%5.94%5.50%5.94%1.68%1.92%2.35%2.17%4.03%200720082009201020111H創(chuàng)業(yè)板中小板主板53.3359.3326.8468%29.6719%81%127%124%

120%51.87

90%02040608020111H0%30%60%150%市盈率超募比例2

96%3.12%19%2.71%81%68%1.99%127%124%3.41%90%0.00%1.00%2.00%3.00%4.00%5.00%200720082009201020111H0%30%60%120%150%承銷費率超募比例20投行業(yè)務投行業(yè)務收入億元20072008200920102011E承銷規(guī)模7,4412,9625,0148,4886,000其中：首發(fā)融資額4,5911,0372,0224,8923,599增發(fā)融資額2,8501,9262,9933,5962,401家數(shù)（家）299201243519500其中：首發(fā)家數(shù)12177111349350增發(fā)家數(shù)178124132170150市盈率（倍）29.6726.8453.3359.3351.87超募比例68%19%81%127%124%承銷凈費率1.99%2.96%2.71%3.12%3.41%傭金收入102771252482052122融資融券業(yè)務驅動因素分析行業(yè)業(yè)務結構及競爭態(tài)勢經紀業(yè)務 驅動因素分析投行業(yè)務 驅動因素分析行業(yè)估值方法融資融券業(yè)務驅動因素融資融券收入傭金收入利差收入融資融券額換手率傭金率市場漲跌投資者門檻標的范圍轉融通制度利差23投資者門檻、標的數(shù)量比較大陸客戶門檻：

1）通過融資融券業(yè)務基礎知識測試；2）開立

賬戶18個月以上，

賬戶6個月以上；

3）個人投資者賬戶資產價值50萬元以上標的數(shù)量：90只，占總

數(shù)的3.85%客戶門檻：1)開立受托

賬戶滿三個月；2)最近1年內委托

十筆以上。標的數(shù)量：681只，占總

數(shù)的91.90%24融資融券業(yè)務初期發(fā)展概況年份總成交額(A)融資交易額(B)B/2A％融券交易額(C)C/2A%(B+C)/2A％198925,40819503.841980.394.23199019,031481712.668422.2114.8719919,683449223.195002.5825.7719925,917350429.612792.3631.9719939,200743940.426033.2843.70199419,4761344234.5111502.9537.46199510,301819439.7710134.9244.69199613,1351100341.898223.1344.98199737,7052849837.7930844.0941.88199829,7622384440.0633255.5945.64199929,4242407040.9019413.3044.20融資融券交易概況25市場漲跌影響融資融券額融資融券余額隨指數(shù)漲跌而變化融資融券交易額隨指數(shù)漲跌而變化01,0002,0003,0004,0005,0006,0007,0001989-011990-041991-071992-101994-011995-041996-071997-101999-012000-042001-072002-102004-012005-042006-072007-102009-012010-0402,0004,0006,0008,00010,00012,00014,000融資融券余額（億元）左軸指數(shù)右軸-10,00020,00030,00040,00050,00060,00070,0001994-7

1997-1

1999-7

2002-1

2004-7

2007-1

2009-702,0004,0006,0008,00010,00012,000融資融券交易額（億元左軸）股價指數(shù)（右軸）26A市場融資融券規(guī)模統(tǒng)計融資融券余額持續(xù)增長-501001502002503002010.03

2010.06

2010.09

2010.12

2011.03

2011.060.00%0.10%0.20%0.30%0.40%融資融券交易額及占比持續(xù)增加融資融券交易額

交易額占比350

億元-501001502002503003502010.03

2010.06

2010.09

2010.12

2011.03

2011.06融資融券余額億元2011年以來月度平均余額230億27融資融券利息收入=融資融券余額×利差（3%）傭金收入=

交易額×傭金費率（2‰）=融資融券余額×換手率×傭金費率（2‰）融資融券收入貢獻敏感性兩融余額持股天數(shù)300350400450500827.2331.7636.3040.8445.381023.5827.5131.4435.3739.301221.1524.6828.2031.7335.251419.4122.6525.8929.1232.361817.1019.9522.8025.6528.502829融資融券業(yè)務驅動因素分析行業(yè)業(yè)務結構及競爭態(tài)勢經紀業(yè)務 驅動因素分析投行業(yè)務 驅動因素分析行業(yè)估值方法PE、PB估值法行業(yè)PE、PBEPS（元）PE（倍）BVPS（元）PB（倍）簡稱200920102011E200920102011E200920102011E200920102011E中信謹慎1.351.140.998.5810.2211.799.297.088.171.251.641.42海通中性0.550.450.4114.1817.5019.165.285.405.681.491.451.38華泰中性0.790.610.4713.0316.7921.982.895.876.193.551.751.66廣發(fā)中性2.351.611.0313.2919.4030.268.197.7412.213.814.032.55光大中性0.830.640.5713.5717.4319.626.576.657.231.711.691.55招商中性1.040.900.8311.5713.3614.486.306.697.221.911.801.67宏源中性0.790.890.6318.4316.2423.224.485.007.863.242.911.85東北中性1.430.820.4412.6521.9241.534.785.425.653.783.333.20國元中性0.530.470.4318.3320.5522.287.707.637.761.261.271.25長江中性0.630.590.5013.7214.6717.334.204.395.272.061.981.64國金中性0.520.440.4123.5527.7529.532.593.023.434.694.033.54中性0.600.360.3024.3940.6649.062.613.824.015.573.813.62成大中性1.491.401.1810.5011.1913.267.208.339.512.171.881.64敖東中性2.382.161.5811.6412.8617.6010.6213.5815.162.612.041.83平均中性---14.8218.6123.65---2.792.402.06注：假設中信2011年以75.63億元出售華夏基金51%股權后的資產；凈利潤中已考慮華夏基金股權出售收益；假設廣發(fā)

2011年以27.41元/股價格發(fā)行6億股；假設宏源

以15.10元/股增發(fā)4.64億股。30傭金份額市價估值法簡稱總市值(億元)經紀業(yè)務市場份額（%）單位份額市價指數(shù)凈傭金率（%）傭金份額市價指數(shù)中信1,1567.261590.0692,315海通6454.101570.0861,836華泰5753.781520.0732,079廣發(fā)9684.172320.0862,707光大3833.111230.0681,818招商5614.011400.0662,123宏源2851.292210.1082,049東北1160.721600.1191,350國元1901.061790.0931,932長江2401.711400.0911,547國金1220.661840.0991,8483201.721860.0573,277傭金份額市價估值法31PB與ROE估值法券商股PB與ROE具有相關性高盛PB隨ROE而波動0%3%6%9%15%18%21%24%-1.002.003.004.005.006.00ROEPB國金廣發(fā)東北成大敖東招商宏源光大長江海通國元12%華泰

中信PB=11.31*ROE+0.88-1.002.003.004.005.001999