股指分红点位监控周报： IC 及 IM 主力合约年化贴水均超 10%-20251023

• The report introduces the dividend point estimation method for stock indices, emphasizing its importance in accurately calculating the premium or discount levels of stock index futures contracts, which track price indices rather than total return indices[39][12][44] - The dividend point estimation formula is provided as follows: $\text{Dividend Points} = \sum_{n=1}^{N} \frac{\text{Dividend Amount of Component Stock}}{\text{Total Market Value of Component Stock}} \times \text{Weight of Component Stock} \times \text{Index Closing Price}$ This formula requires the dividend amount, total market value, weight of component stocks, and index closing price, with the condition that the ex-dividend date of the stock must fall between the current date and the futures contract expiration date[39][44][45] - The report details the process of estimating component stock weights, transitioning from imprecise monthly data to precise daily data provided by the China Securities Index Company, ensuring accuracy in daily weight calculations[45][46] - The estimation of dividend amounts involves predicting net profits and dividend payout ratios. Net profit prediction uses historical profit distribution dynamics, categorizing companies into stable and unstable profit distribution groups, and applying respective methods for estimation[47][50][52] - Dividend payout ratio prediction employs historical averages, with adjustments based on past dividend behavior. Companies with no dividend history are assumed not to pay dividends, and ratios exceeding 100% are capped[51][53][56] - Ex-dividend date prediction uses historical intervals for linear extrapolation, considering factors like past dividend dates, shareholder meeting schedules, and default dates for companies with no dividend history[51][55][56] - The accuracy of the dividend point estimation model is validated through comparisons of predicted and actual dividend points for indices like the SSE 50, CSI 300, and CSI 500. The model demonstrates high accuracy, with errors generally within 5 points for SSE 50 and CSI 300, and slightly larger errors for CSI 500, around 10 points[57][61][66]