分红对期指的影响20250425

Quantitative Models and Factor Analysis Dividend Impact Prediction Model - 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 financial reports, and market assumptions to calculate the theoretical impact of dividends on futures contracts[9][22][25] - Model Construction Process: 1. Estimate Component Stocks' Net Profit: Use annual reports, financial forecasts, and analysts' predictions to estimate the net profit of index component stocks[25][26] 2. Calculate Pre-Tax Dividend Total: Based on the assumption that the dividend payout ratio remains unchanged, calculate the total dividend amount using the formula: $\text{Estimated Dividend Total} = \text{Net Profit} \times \text{Dividend Payout Ratio}$ If no dividends were issued in the previous year, assume no dividends for the current year[29] 3. Calculate Dividend Impact on Index: - Dividend Yield: $\text{Dividend Yield} = \frac{\text{Tax-Adjusted Dividend Total}}{\text{Latest Market Value}}$ - Dividend Points: $\text{Dividend Points Impact} = \text{Stock Weight} \times \text{Dividend Yield}$ Stock weights are adjusted using the formula: $\mathrm{w_{it}={\frac{w_{i0}\times\ (\ 1+R\ )}{\sum_{1}^{n}w_{i0}\times\ (\ 1+R\ )}}}$ where $R$ is the stock's price change over time[27] 4. Predict Impact on Futures Contracts: Aggregate the dividend points for all component stocks before the contract's settlement date to estimate the total dividend impact on the futures contract[31] - Model Evaluation: The model is robust in incorporating historical data and market assumptions, but its accuracy depends on the reliability of financial forecasts and the stability of dividend payout ratios[9][25][31] --- Backtesting Results of the Model Dividend Impact on Futures Contracts (May 2025 Contracts) - Shanghai 50 Index Futures (IH): - Dividend Points: 0.43 - Remaining Impact: 0.02% - Annualized Hedging Cost (365 days): 2.22% - Annualized Hedging Cost (243 days): 2.58%[10][14] - CSI 300 Index Futures (IF): - Dividend Points: 5.76 - Remaining Impact: 0.15% - Annualized Hedging Cost (365 days): 2.95% - Annualized Hedging Cost (243 days): 3.44%[10][11] - CSI 500 Index Futures (IC): - Dividend Points: 3.49 - Remaining Impact: 0.06% - Annualized Hedging Cost (365 days): 12.82% - Annualized Hedging Cost (243 days): 14.93%[10][12] - CSI 1000 Index Futures (IM): - Dividend Points: 5.93 - Remaining Impact: 0.10% - Annualized Hedging Cost (365 days): 14.22% - Annualized Hedging Cost (243 days): 16.56%[10][13] --- Theoretical Pricing Model for Futures Discrete Dividend Distribution Model - Model Construction Process: - Assumes discrete dividend payments at specific time points during the contract period - Formula: $\mathbf{D}=\sum_{\mathrm{i=1}}^{\mathrm{m}}\mathbf{D}_{\mathrm{i}}\,/(1+\phi)$ where $\phi$ is the risk-free rate between two dividend payment dates - Futures Pricing Formula: $F_t = (S_t - D)(1 + r)$ where $S_t$ is the spot price, $D$ is the present value of dividends, and $r$ is the risk-free rate[34] Continuous Dividend Distribution Model - Model Construction Process: - Assumes dividends are distributed continuously over the contract period - Formula: $F_t = S_t e^{(r-d)(T-t)}$ where $d$ is the annualized dividend yield, $r$ is the risk-free rate, and $T-t$ is the time to maturity[35]