分红对期指的影响20250530

• The report predicts dividend points for June contracts of major indices: 16.98 for SSE 50, 19.41 for CSI 300, 27.05 for CSI 500, and 23.76 for CSI 1000[12][9][17] - The annualized hedging costs (excluding dividends, calculated on a 365-day basis) for June contracts are -3.56% for SSE 50, -0.71% for CSI 300, 4.97% for CSI 500, and 10.61% for CSI 1000[12][13][14][15] - The dividend prediction process involves estimating component stocks' net profits, calculating pre-tax dividend totals, assessing dividend impacts on indices, and forecasting impacts on contracts[22][25][26] - The formula for estimating stock weight changes over time is: $\mathrm{w_{it}={\frac{w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}{\sum_{1}^{n}w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}}}$ where $w_{i0}$ is the initial weight, $R$ is the return, and $w_{it}$ is the estimated weight[27] - The theoretical pricing model for futures under discrete dividend distribution is: $\mathbf{D}=\sum_{\mathrm{i=1}}^{\mathrm{m}}\mathbf{D}_{\mathrm{i}}\,/(1+\phi)$ $F (S D)(1 r) t = t − +$ where $F_t$ is the futures price, $S_t$ is the spot price, $D$ is the present value of dividends, and $r$ is the risk-free rate[35] - The theoretical pricing model for futures under continuous dividend distribution is: $F_t = S_t e^{(r-d)(T-t)}$ where $F_t$ is the futures price, $S_t$ is the spot price, $r$ is the risk-free rate, $d$ is the annualized dividend rate, and $T-t$ is the time to maturity[36] - The remaining dividend impact on June contracts is 0.63% for SSE 50, 0.51% for CSI 300, 0.48% for CSI 500, and 0.39% for CSI 1000[17][13][14][15] - The dividend impact on futures contracts is calculated by summing all dividends before the contract's delivery date[32][28][31] - For companies without announced dividends, assumptions are made based on historical dividend rates, profitability, and other financial data[30][34][26] - The dividend impact on indices is calculated using stock weights and dividend yields, with adjustments for weight changes over time[27][25][26]