股指分红点位监控周报：IH及IF主力合约升水，IC及IM合约贴水收窄-20250828

• The report introduces a dividend point estimation model for stock indices, which is crucial for accurately assessing the premium or discount levels of stock index futures contracts. The model incorporates key factors such as component stock weights, dividend amounts, total market capitalization, and index closing prices[40][43][12] - Component stock weights are refined from monthly estimates to daily precision using data disclosed by the China Securities Index Company, ensuring accuracy in daily weight calculations[44][45] - Dividend amounts are estimated using historical net profit distributions and dynamic prediction methods. For companies with stable profit distributions, historical patterns are used, while for others, prior-year profits serve as the basis for estimation[46][49] - Dividend payout ratios are predicted using historical averages, with adjustments for companies that have never paid dividends or exhibit extreme payout ratios[50][52] - Ex-dividend dates are forecasted using historical interval stability and linear extrapolation methods, considering factors like prior dividend dates and shareholder meeting schedules[55][54] - The model demonstrates high accuracy in predicting dividend points for major indices like the SSE 50 and CSI 300, with errors generally within 5 points. Predictions for the CSI 500 index show slightly larger deviations, around 10 points[56][60][64] - Historical percentile analysis of futures contracts reveals varying sentiment levels among institutional investors. For example, the IH contract is at the 72% historical percentile, indicating higher premium levels, while the IM contract is at the 19% percentile, reflecting deeper discounts[28][30][37] - The annualized premium or discount rates for futures contracts as of August 27, 2025, are as follows: IH (2.56%), IF (0.59%), IC (-5.51%), and IM (-10.35%)[4][13][12]