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分红对期指的影响20250403
Orient Securities·2025-04-05 03:05

Quantitative Models and Construction Methods - Model Name: Dividend Impact Prediction Model Model Construction Idea: The model aims to predict the impact of dividends on stock index futures contracts by estimating the dividend points and their influence on futures pricing. It incorporates historical dividend patterns, company financials, and theoretical pricing models to derive the expected impact [9][12][24] Model Construction Process: 1. Estimate Component Stocks' Net Profit: Use annual reports, financial forecasts, and other available data to estimate the net profit of index component stocks [27][28] 2. Calculate Pre-Tax Dividend Total: Based on the assumption that the dividend payout ratio remains unchanged, calculate the total pre-tax dividend for each stock as: - Pre-Tax Dividend Total = Estimated Net Profit × Dividend Payout Ratio [32] 3. Calculate Dividend Impact on Index: - Dividend Yield = Tax-Adjusted Dividend Total / Latest Market Value - Dividend Points Impact = Stock Weight × Dividend Yield - Adjust stock weights using the formula: \mathrm{w_{it}={\frac{w_{i0}\times\mathrm{\scriptsize{\left(\mathrm{\scriptsize{\normalsize1+R\mathrm{\scriptsize{\normalsize1}}}\right)}}}{\sum_{1}^{n}w_{i0}\times\mathrm{\scriptsize{\left(\mathrm{\scriptsize{\normalsize1+R\mathrm{\scriptsize{\normalsize1}}}\right)}}}}}} where wi0w_{i0} is the initial weight, and RR is the stock's return over the period [29] 4. Predict Impact on Futures Contracts: Aggregate the dividend impacts for all component stocks and adjust for contract-specific factors such as ex-dividend dates and settlement timelines [30][34] Model Evaluation: The model is robust in incorporating historical dividend patterns and financial forecasts, but its accuracy depends on the reliability of input data and assumptions [12][27][32] - Model Name: Theoretical Pricing Model for Futures Model Construction Idea: This model calculates the theoretical price of stock index futures by accounting for dividends and risk-free rates under no-arbitrage conditions [36][37] Model Construction Process: 1. Discrete Dividend Distribution: - For mm discrete dividend payments during the contract period, the present value of dividends is: D=i=1mDi/(1+ϕ)\mathbf{D}=\sum_{\mathrm{i=1}}^{\mathrm{m}}\mathbf{D}_{\mathrm{i}}\,/(1+\phi) where ϕ\phi is the risk-free rate for the period between dividend payments [36] - The theoretical futures price is then: Ft=(StD)(1+r)F_t = (S_t - D)(1 + r) where StS_t is the spot price, DD is the present value of dividends, and rr is the risk-free rate [36] 2. Continuous Dividend Distribution: - For continuous dividend yields, the theoretical price is: Ft=Ste(rd)(Tt)F_t = S_t e^{(r-d)(T-t)} where dd is the annualized dividend yield, and rr is the annualized risk-free rate [37] Model Evaluation: The model provides a theoretical benchmark for futures pricing, but deviations may occur due to market frictions and unexpected dividend changes [36][37] Model Backtesting Results - Dividend Impact Prediction Model: - April Contracts: Dividend points for major indices are as follows: - SSE 50: 0.00 - CSI 300: 0.26 - CSI 500: 0.30 - CSI 1000: 0.19 [12][16] - Annualized Hedging Costs (Excluding Dividends): - SSE 50: -1.96% - CSI 300: -0.23% - CSI 500: 9.49% - CSI 1000: 13.60% [12][16] - Theoretical Pricing Model for Futures: - SSE 50 Futures: - IH2504: Dividend Points = 0.00, Actual Spread = 2.15, Dividend-Adjusted Spread = 2.15 - IH2505: Dividend Points = 0.34, Actual Spread = 0.35, Dividend-Adjusted Spread = 0.69 [12][13] - CSI 300 Futures: - IF2504: Dividend Points = 0.26, Actual Spread = 0.10, Dividend-Adjusted Spread = 0.36 - IF2505: Dividend Points = 8.42, Actual Spread = -5.70, Dividend-Adjusted Spread = 2.71 [13][14] - CSI 500 Futures: - IC2504: Dividend Points = 0.30, Actual Spread = -23.10, Dividend-Adjusted Spread = -22.81 - IC2505: Dividend Points = 4.69, Actual Spread = -66.10, Dividend-Adjusted Spread = -61.41 [14][15] - CSI 1000 Futures: - IM2504: Dividend Points = 0.19, Actual Spread = -34.86, Dividend-Adjusted Spread = -34.66 - IM2505: Dividend Points = 8.96, Actual Spread = -96.46, Dividend-Adjusted Spread = -87.50 [15][16]