分红对期指的影响20250620

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 and their influence on futures contracts[6][10][18] - Model Construction Process: 1. Estimate Component Stocks' Net Profit: Use annual reports, quick reports, earnings warnings, or analysts' profit forecasts to estimate net profits[21][22] 2. Calculate Pre-Tax Dividend Total: Based on the assumption that the dividend payout ratio remains unchanged, calculate the total dividend amount as: $\text{Estimated Dividend Total} = \text{Estimated Net Profit} \times \text{Dividend Payout Ratio}$ If no dividends were distributed in the previous year, assume no dividends this year[26] 3. Calculate Dividend Impact on Index: - Dividend Yield: $\text{Dividend Yield} = \frac{\text{Tax-Adjusted Dividend Total}}{\text{Latest Market Value}}$ - Dividend Points: $\text{Dividend Points Impact} = \text{Stock Weight} \times \text{Dividend Yield}$ - Adjust stock weights using the formula: $w_{it} = \frac{w_{i0} \times (1 + R_1)}{\sum_{1}^{n} w_{i0} \times (1 + R_1)}$ where $w_{i0}$ is the initial weight, and $R_1$ is the stock's return[23] 4. Predict Dividend Impact on Futures Contracts: Aggregate all dividends before the contract's delivery date to calculate the total impact on futures contracts[28] - Model Evaluation: The model provides a systematic and logical approach to estimate dividend impacts, but its accuracy depends on the reliability of input assumptions and historical data[18][26] --- Model Backtesting Results 1. Dividend Impact Prediction Model - Dividend Points for July Contracts: - SSE 50: 40.84 - CSI 300: 38.26 - CSI 500: 19.23 - CSI 1000: 17.88[6][10] - Annualized Hedging Costs (Excluding Dividends): - SSE 50: -1.91% - CSI 300: 1.35% - CSI 500: 7.37% - CSI 1000: 10.19%[6][10] - Remaining Dividend Impact on July Contracts: - SSE 50: 1.53% - CSI 300: 0.99% - CSI 500: 0.34% - CSI 1000: 0.30%[14] --- Quantitative Factors and Construction Methods 1. Factor Name: Theoretical Pricing Model for Stock Index Futures - Factor Construction Idea: This factor calculates the theoretical price of stock index futures based on the no-arbitrage principle, considering dividends and risk-free rates[30][31] - Factor Construction Process: 1. Discrete Dividend Distribution: $D = \sum_{i=1}^{m} \frac{D_i}{(1 + r_i)}$ where $D_i$ is the dividend amount at time $t_i$, and $r_i$ is the risk-free rate between $t_i$ and $t$[30] The theoretical futures price is: $F_t = (S_t - D)(1 + r)$ 2. Continuous Dividend Distribution: $F_t = S_t \cdot e^{(r-d)(T-t)}$ where $d$ is the annualized dividend yield, and $r$ is the annualized risk-free rate[31] - Factor Evaluation: The model is robust under the no-arbitrage assumption but may deviate in real markets due to transaction costs and market frictions[30][31] --- Factor Backtesting Results 1. Theoretical Pricing Model for Stock Index Futures - Annualized Hedging Costs (Excluding Dividends): - SSE 50: -1.91% - CSI 300: 1.35% - CSI 500: 7.37% - CSI 1000: 10.19%[6][10] - Remaining Dividend Impact on July Contracts: - SSE 50: 1.53% - CSI 300: 0.99% - CSI 500: 0.34% - CSI 1000: 0.30%[14]