分红对期指的影响20250516

Quantitative Models and Construction Methods 1. Model Name: Dividend Impact Prediction Model - Model Construction Idea: The model aims to predict the impact of dividends on stock index futures pricing by estimating the dividend points for different contracts and calculating their influence on futures prices[7][10][19] - Model Construction Process: 1. Estimate Component Stocks' Net Profit: Use available financial data in the following priority: annual reports > quick reports > earnings warnings > trailing twelve-month (TTM) net profit from Q3 reports > analysts' earnings forecasts[21][22] 2. Calculate Pre-Tax Dividend Total: Based on the estimated net profit, calculate the total dividend amount using historical dividend payout ratios or directly use announced dividend plans[23][26] 3. Assess Dividend Impact on Index: - Dividend Yield = Post-Tax Dividend Total / Latest Market Value - Dividend Points Impact = Stock Weight × Dividend Yield - Adjust stock weights using the formula: $\mathrm{w_{it}={\frac{w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}{\sum_{1}^{n}w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}}}$ where $w_{i0}$ is the initial weight, and $R$ is the stock's return over the period[24] 4. Predict Contract-Specific Impact: Aggregate dividend impacts for all component stocks within the contract's maturity period, considering historical ex-dividend dates and adjustments for shareholder meeting schedules[25][27][28] 5. Theoretical Pricing Formula: - For discrete dividends: $\mathbf{D}=\sum_{\mathrm{i=1}}^{\mathrm{m}}\mathbf{D}_{\mathrm{i}}\,/(1+\phi)$ $F_t = (S_t - D)(1 + r)$ - For continuous dividends: $F_t = S_t e^{(r-d)(T-t)}$ where $F_t$ is the futures price, $S_t$ is the spot price, $D$ is the dividend value, $r$ is the risk-free rate, and $d$ is the annualized dividend yield[30][31] - Model Evaluation: The model provides a systematic and logical framework for estimating dividend impacts, leveraging historical data and reasonable assumptions to enhance prediction accuracy[19][22][26] --- Model Backtesting Results 1. Dividend Impact Prediction Model - Dividend Points for June Contracts: - SSE 50: 18.48 - CSI 300: 23.58 - CSI 500: 44.47 - CSI 1000: 36.22[10][13] - Annualized Hedging Costs (Excluding Dividends): - SSE 50: 1.14% - CSI 300: 5.23% - CSI 500: 12.69% - CSI 1000: 16.86%[7][10][13] - Remaining Impact on June Contracts: - SSE 50: 0.68% - CSI 300: 0.61% - CSI 500: 0.78% - CSI 1000: 0.60%[13]