股指分红点位监控周报：市场情绪平稳，IH升水，IF、IC及IM合约贴水-20250604

• The report tracks the dividend progress of constituent stocks in major indices such as the SSE 50, CSI 300, CSI 500, and CSI 1000, detailing the number of companies at different stages of the dividend process[1][13] - The report provides a comparison of dividend yields across different industries, highlighting that the coal, banking, and steel industries have the highest median dividend yields[2][14] - The realized and remaining dividend yields for the SSE 50, CSI 300, CSI 500, and CSI 1000 indices are presented, with specific values for each index as of June 4, 2025[3][16] - The report includes a detailed methodology for calculating the dividend points of stock indices, which is crucial for accurately estimating the premium or discount of stock index futures contracts[11][36] - The methodology involves estimating the dividend amounts and ex-dividend dates for constituent stocks, using historical data and dynamic prediction models for net profit and dividend payout ratios[40][45][49] - The accuracy of the dividend point estimation model is evaluated by comparing the predicted dividend points with the actual dividend points for the SSE 50, CSI 300, and CSI 500 indices in 2023 and 2024[55][56][59] - The report tracks the premium and discount levels of major stock index futures contracts (IH, IF, IC, IM) and provides detailed data on the current and historical basis levels, as well as the annualized premium or discount rates[4][12][17][27] Quantitative Models and Construction Methods 1. Model Name: Dividend Point Estimation Model - Construction Idea: To accurately estimate the dividend points of stock indices, which is essential for calculating the premium or discount of stock index futures contracts[11] - Construction Process: 1. Determine Constituent Stock Weights: Adjust the weights of constituent stocks based on their price changes and obtain daily closing weights from the China Securities Index Company[43][44] 2. Estimate Dividend Amounts: Use historical net profit distribution and dividend payout ratios to estimate the dividend amounts for companies that have not yet announced their dividends[45][48] 3. Predict Ex-Dividend Dates: Use historical ex-dividend dates and linear extrapolation to predict the ex-dividend dates for companies that have not yet announced them[49][54] 4. Calculate Dividend Points: Sum the dividend amounts of all constituent stocks, weighted by their index weights and adjusted for their market capitalization[36] - Formula: $\text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount}_n}{\text{Total Market Value}_n} \times \text{Stock Weight}_n \times \text{Index Closing Price} \right)$ where $N$ is the number of constituent stocks, and the dividend amount, total market value, and stock weight are specific to each stock[36] - Evaluation: The model shows high accuracy in predicting the dividend points for the SSE 50 and CSI 300 indices, with a prediction error of around 5 points, while the error for the CSI 500 index is slightly larger, around 10 points[55][56][59] Model Backtest Results 1. Dividend Point Estimation Model - SSE 50 Index: Prediction error around 5 points[55][56] - CSI 300 Index: Prediction error around 5 points[55][56] - CSI 500 Index: Prediction error around 10 points[55][56] Quantitative Factors and Construction Methods 1. Factor Name: Dividend Yield - Construction Idea: To compare the dividend yields of stocks across different industries and indices[2][14] - Construction Process: 1. Calculate Dividend Yield: For each stock, divide the announced dividend amount by the current total market value to obtain the dividend yield[14] 2. Aggregate by Industry: Calculate the median dividend yield for each industry based on the individual stock yields[14] - Evaluation: The factor highlights the industries with the highest dividend yields, providing valuable insights for dividend-focused investment strategies[2][14] Factor Backtest Results 1. Dividend Yield Factor - Coal Industry: Highest median dividend yield[2][14] - Banking Industry: Second highest median dividend yield[2][14] - Steel Industry: Third highest median dividend yield[2][14]