分红对期指的影响20250613

• The report discusses the impact of dividends on stock index futures, specifically for the Shanghai Stock Exchange 50 (SSE 50), CSI 300, CSI 500, and CSI 1000 index futures[1][2][3] - The latest dividend forecast model predicts the dividend points for the June contracts of SSE 50, CSI 300, CSI 500, and CSI 1000 indices to be 3.70, 4.71, 10.68, and 10.32 respectively[10] - The annualized hedging costs (excluding dividends, calculated on a 365-day basis) for the June contracts of SSE 50, CSI 300, CSI 500, and CSI 1000 indices are 14.67%, 4.14%, 0.51%, and 9.81% respectively[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 (excluding dividends, calculated on both 365-day and 243-day bases)[10][11][12][13] - The process for predicting dividends involves estimating the net profit of component stocks, calculating the total pre-tax dividends for each stock, calculating the impact of dividends on the index, and predicting the impact of dividends on each contract[19][22][23][24][25][26][27][28][30] - The theoretical pricing model for stock index futures is discussed, including both discrete and continuous dividend distribution scenarios[31][32] Model and Factor Construction - Model Name: Dividend Impact Prediction Model - Construction Idea: The model aims to predict the impact of dividends on stock index futures by estimating the net profit of component stocks and calculating the total pre-tax dividends[19][22] - Construction Process: 1. Estimate the net profit of component stocks using annual reports, quick reports, warnings, and analyst profit forecasts[22][23] 2. Calculate the total pre-tax dividends for each stock based on the estimated net profit and dividend rate[22][23] 3. Calculate the impact of dividends on the index using the formula: \text{w_{it} = \frac{w_{i0} \times (1+R)}{\sum_{1}^{n} w_{i0} \times (1+R)}} where $w_{i0}$ is the accurate weight of stock $i$ at time $t0$, and $R$ is the rate of change in stock price[24] 4. Predict the impact of dividends on each contract by summing up all dividends before the contract's delivery date[28][30] - Evaluation: The model provides a systematic approach to predict the impact of dividends on stock index futures, considering various factors such as net profit estimation and dividend rates[19][22][23][24][25][26][27][28][30] Model Backtest Results - SSE 50 Index Futures (June Contract): - Dividend Points: 3.70 - Actual Spread: -11.23 - Dividend-Adjusted Spread: -7.53 - Remaining Impact of Dividends: 0.14% - Annualized Hedging Cost (365 days): 14.67% - Annualized Hedging Cost (243 days): 13.67%[10] - CSI 300 Index Futures (June Contract): - Dividend Points: 4.71 - Actual Spread: -7.78 - Dividend-Adjusted Spread: -3.07 - Remaining Impact of Dividends: 0.12% - Annualized Hedging Cost (365 days): 4.14% - Annualized Hedging Cost (243 days): 3.86%[11] - CSI 500 Index Futures (June Contract): - Dividend Points: 10.68 - Actual Spread: -11.24 - Dividend-Adjusted Spread: -0.56 - Remaining Impact of Dividends: 0.19% - Annualized Hedging Cost (365 days): 0.51% - Annualized Hedging Cost (243 days): 0.48%[12] - CSI 1000 Index Futures (June Contract): - Dividend Points: 10.32 - Actual Spread: -21.81 - Dividend-Adjusted Spread: -11.49 - Remaining Impact of Dividends: 0.17% - Annualized Hedging Cost (365 days): 9.81% - Annualized Hedging Cost (243 days): 9.15%[13]