分红对期指的影响20250430

• The report discusses the impact of dividends on stock index futures, specifically for the contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices[1][2][3] - The latest dividend prediction model estimates the dividend points for the May contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices to be 0.00, 5.16, 3.54, and 4.58 respectively[7][10] - The annualized hedging costs (excluding dividends, calculated on a 365-day basis) for the May contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices are 5.16%, 8.11%, 15.43%, and 15.39% respectively[7][10] - The report provides detailed calculations of the impact of dividends on the futures contracts, including the remaining impact of dividends on the contracts and the annualized hedging costs[11][12][13][14] - The process for predicting dividends involves estimating the net profit of constituent stocks, calculating the total pre-tax dividends for each stock, and then determining the impact of dividends on the index and each futures contract[24][27][28][29][30][31][32][33] - The theoretical pricing model for stock index futures is also discussed, including both discrete and continuous dividend distribution scenarios[35][36] Model and Factor Construction - Model Name: Dividend Prediction Model - Construction Idea: The model predicts the impact of dividends on stock index futures by estimating the net profit of constituent stocks and calculating the total pre-tax dividends[24][27] - Construction Process: 1. Estimate the net profit of constituent stocks using available information such as annual reports, quick reports, warnings, and analyst forecasts[26][27] 2. Calculate the total pre-tax dividends for each stock based on the estimated net profit and the dividend rate[28][31] 3. Determine the impact of dividends on the index by calculating the dividend points and the weight of each stock in the index[29] 4. Predict the impact of dividends on each futures contract by estimating the ex-dividend dates and summing the dividends before the contract's delivery date[30][32][33] - Formula: $\mathrm{w_{it}={\frac{w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}{\sum_{1}^{n}w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}}}$ - $w_{it}$: Estimated weight of stock $i$ at time $t$ - $w_{i0}$: Accurate weight of stock $i$ at initial time $t0$ - $R$: Return rate of stock $i$ from $t0$ to $t$[29] - Evaluation: The model provides a systematic approach to predict the impact of dividends on stock index futures, considering various factors such as net profit estimates and dividend rates[24][27][28][29][30][31][32][33] Model Backtest Results - SSE 50 Futures (IH2505): - Dividend Points: 0.00 - Actual Spread: -5.96 - Dividend-Adjusted Spread: -5.96 - Remaining Impact: 0.00% - Annualized Hedging Cost (365 days): 5.16% - Annualized Hedging Cost (243 days): 6.11%[11] - CSI 300 Futures (IF2505): - Dividend Points: 5.16 - Actual Spread: -18.57 - Dividend-Adjusted Spread: -13.41 - Remaining Impact: 0.14% - Annualized Hedging Cost (365 days): 8.11% - Annualized Hedging Cost (243 days): 9.60%[12] - CSI 500 Futures (IC2505): - Dividend Points: 3.54 - Actual Spread: -41.62 - Dividend-Adjusted Spread: -38.09 - Remaining Impact: 0.06% - Annualized Hedging Cost (365 days): 15.43% - Annualized Hedging Cost (243 days): 18.26%[13] - CSI 1000 Futures (IM2505): - Dividend Points: 4.58 - Actual Spread: -44.72 - Dividend-Adjusted Spread: -40.14 - Remaining Impact: 0.08% - Annualized Hedging Cost (365 days): 15.39% - Annualized Hedging Cost (243 days): 18.21%[14]