分红对期指的影响20250718：IH轻度升水，IC及IM深贴水，关注中小盘贴水套利机会

Quantitative Models and Construction Methods 1. Model Name: Dividend Forecast Model - Model Construction Idea: The model aims to predict the impact of dividends on index futures contracts by estimating the dividend points based on historical and current financial data of index constituent stocks[7][18][21] - Model Construction Process: 1. Estimate Net Profit: Use annual reports, earnings forecasts, and other financial disclosures to estimate the net profit of constituent stocks[19][21] 2. Calculate Pre-Tax Dividend Total: Assume a constant dividend payout ratio (dividend amount/net profit) to calculate the pre-tax dividend total for each stock[21][22] 3. Impact on Index: - Calculate the dividend yield: $\text{Dividend Yield} = \frac{\text{Post-Tax Dividend Total}}{\text{Latest Market Value}}$ - Calculate the dividend points' impact on the index: $\text{Dividend Points Impact (\%)} = \text{Stock Weight} \times \text{Dividend Yield}$ - Adjust stock weights using the formula: \mathrm{w_{it}={\frac{w_{i0}\times\mathrm{ 1+R }}{\sum_{1}^{n}w_{i0}\times\mathrm{ 1+R }}}} where $w_{i0}$ is the initial weight, and $R$ is the stock's return over the period[22] 4. Forecast Dividend Impact on Contracts: - Estimate ex-dividend dates based on historical patterns or announced schedules - Aggregate dividend impacts before the contract's settlement date to calculate the total dividend points and percentage impact on the futures contract[23][24][26] - Model Evaluation: The model provides a systematic approach to quantify dividend impacts, but its accuracy depends on assumptions about dividend payout ratios and ex-dividend dates[18][21][24] 2. Model Name: Futures Pricing Model with Discrete Dividends - Model Construction Idea: This model calculates the theoretical price of index futures by incorporating the present value of discrete dividend distributions during the contract period[27] - Model Construction Process: 1. Assume the following parameters: - $F_t$: Futures price at time $t$ - $S_t$: Spot price at time $t$ - $D$: Present value of dividends during the contract period - $r$: Risk-free rate over the contract period 2. Calculate the present value of dividends: $\mathbf{D}=\sum_{\mathrm{i=1}}^{\mathrm{m}}\mathbf{D}_{\mathrm{i}}\,/(1+\phi)$ where $\phi$ is the risk-free rate for the interval between dividend payments[27] 3. Derive the futures price using the no-arbitrage pricing formula: $F_t = (S_t - D)(1 + r)$[27] - Model Evaluation: This model is effective for scenarios with discrete dividend distributions but may require adjustments for continuous dividend flows or irregular dividend schedules[27] 3. Model Name: Futures Pricing Model with Continuous Dividends - Model Construction Idea: This model assumes dividends are distributed continuously and uniformly over the contract period, simplifying the pricing process[28] - Model Construction Process: 1. Assume the following parameters: - $F_t$: Futures price at time $t$ - $S_t$: Spot price at time $t$ - $d$: Annualized dividend yield - $r$: Annualized risk-free rate - $T-t$: Time to maturity 2. Derive the theoretical futures price: $F_t = S_t e^{(r-d)(T-t)}$[28] - Model Evaluation: This model is suitable for markets with frequent and evenly distributed dividends but may oversimplify real-world scenarios with irregular dividend patterns[28] --- Model Backtesting Results 1. Dividend Forecast Model - Dividend Points Prediction for August Contracts: - SSE 50 (IH): 3.62 points - CSI 300 (IF): 7.76 points - CSI 500 (IC): 9.18 points - CSI 1000 (IM): 6.25 points[3][8][10] - Annualized Hedging Costs (Excluding Dividends): - SSE 50 (IH): -3.44% - CSI 300 (IF): -1.03% - CSI 500 (IC): 7.79% - CSI 1000 (IM): 11.11%[3][8][10] 2. Futures Pricing Model with Discrete Dividends - Remaining Dividend Impact on August Contracts: - SSE 50 (IH): 0.13% - CSI 300 (IF): 0.19% - CSI 500 (IC): 0.15% - CSI 1000 (IM): 0.10%[11][18][24] 3. Futures Pricing Model with Continuous Dividends - Not explicitly tested in the report --- Quantitative Factors and Construction Methods 1. Factor Name: Dividend Yield Factor - Factor Construction Idea: Measures the dividend yield of index constituent stocks to assess their contribution to the overall index dividend impact[22] - Factor Construction Process: 1. Calculate the dividend yield for each stock: $\text{Dividend Yield} = \frac{\text{Post-Tax Dividend Total}}{\text{Latest Market Value}}$ 2. Aggregate the weighted dividend yields of all constituent stocks to determine the index-level dividend yield[22] - Factor Evaluation: Provides a direct measure of dividend contributions but may be sensitive to changes in stock weights and market values[22] --- Factor Backtesting Results 1. Dividend Yield Factor - Dividend Yield Impact on August Contracts: - SSE 50 (IH): 3.62 points - CSI 300 (IF): 7.76 points - CSI 500 (IC): 9.18 points - CSI 1000 (IM): 6.25 points[3][8][10]