股指分红点位监控周报：微盘股稳健上涨，IC及IM主力合约持续深贴水-20250730

• The report introduces the dividend point estimation method for stock indices, emphasizing its importance in accurately assessing the premium or discount levels of stock index futures contracts. The calculation involves the weighted sum of dividend amounts divided by total market capitalization, adjusted by index closing prices[39][40][42] - The methodology for estimating dividend points includes key steps such as obtaining constituent stock weights, estimating dividend amounts, predicting net profits using historical distributions, and forecasting dividend payout ratios based on historical averages. Additionally, the ex-dividend date is predicted using linear extrapolation of historical intervals[42][44][47] - The formula for constituent stock weight adjustment is provided as: $W_{n,t}={\frac{w_{i0}\times(1+r_{n})}{\sum_{i=1}^{N}w_{i0}\times(1+r_{n})}}$ where $w_{i0}$ represents the weight at the last disclosed date, and $r_{n}$ denotes the non-reinvested return of stock $n$[45][46] - The report evaluates the accuracy of the dividend point estimation model, showing that for indices like SSE 50 and CSI 300, the annual prediction error is within 5 points, while for CSI 500, the error is slightly larger at around 10 points[57][61] - Historical data analysis reveals that the prediction model performs well for stock index futures contracts, with minimal deviation between forecasted and actual dividend points for SSE 50 and CSI 300 futures. CSI 500 futures exhibit slightly higher deviation[61][65][66]