分红对期指的影响20250523

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 index futures pricing by estimating the dividend points for each contract and incorporating them into the theoretical pricing framework[7][10][20] - Model Construction Process: 1. Estimate Component Stocks' Net Profit: Use annual reports, quick reports, earnings warnings, or analysts' forecasts to estimate net profits[23][24] 2. Calculate Pre-Tax Total Dividends: Based on the assumption that the dividend payout ratio remains unchanged, calculate the total dividend amount as: $\text{Estimated Dividend Amount} = \text{Estimated Net Profit} \times \text{Dividend Payout Ratio}$ If no dividends were distributed in the previous year, assume no dividends this year[28] 3. Calculate Dividend Impact on Index: - Dividend Yield: $\text{Dividend Yield} = \frac{\text{Tax-Adjusted Total Dividend}}{\text{Latest Market Value}}$ - Dividend Points: $\text{Dividend Points Impact} = \text{Stock Weight} \times \text{Dividend Yield}$ - Adjust stock weights using the formula: $w_{it} = \frac{w_{i0} \times (1 + R)}{\sum_{1}^{n} w_{i0} \times (1 + R)}$ where $w_{i0}$ is the initial weight, and $R$ is the return over the period[25] 4. Predict Contract Impact: Aggregate all dividend impacts before the contract's delivery date to estimate the total dividend effect on the futures contract[30] 5. Theoretical Pricing: - For discrete dividends: $F_t = (S_t - D)(1 + r)$ where $D$ is the present value of dividends, and $r$ is the risk-free rate[33] - For continuous dividends: $F_t = S_t e^{(r-d)(T-t)}$ where $d$ is the annualized dividend yield[34] - Model Evaluation: The model provides a systematic approach to incorporate dividend forecasts into futures pricing, enhancing accuracy in predicting contract price movements[7][10][20] --- Model Backtesting Results 1. Dividend Impact Prediction Model - Dividend Points for June Contracts: - SSE 50: 17.28 - CSI 300: 20.75 - CSI 500: 35.79 - CSI 1000: 32.06[7][10][15] - Annualized Hedging Costs (Excluding Dividends): - SSE 50: 0.76% - CSI 300: 5.14% - CSI 500: 12.79% - CSI 1000: 18.63%[7][10][15] - Remaining Impact of Dividends on June Contracts: - SSE 50: 0.64% - CSI 300: 0.53% - CSI 500: 0.63% - CSI 1000: 0.54%[15]