股指分红点位监控周报：IC及IM主力合约贴水小幅收窄-20251029

• The report discusses the methodology for calculating index dividend points, which is crucial for accurately estimating the premium or discount of stock index futures contracts. The formula for dividend points is: $ Dividend\ Points = \sum_{n=1}^{N} \frac{Dividend\ Amount}{Total\ Market\ Value} \times Component\ Weight \times Index\ Closing\ Price $ This calculation considers the dividend amount, total market value, component weight, and index closing price, ensuring precision in estimating the impact of dividends on index points[39][44][57] - Component weights are refined from rough estimates to precise daily data. The formula for adjusting weights is: $ W_{n,t} = \frac{w_{n0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{i})} $ Here, $ w_{n0} $ represents the weight of component $ n $ at the last disclosed date, and $ r_{n} $ is the non-adjusted return of the component stock. This ensures daily accuracy in weight calculations[45][46] - Net profit prediction is based on historical profit distribution dynamics. Companies are categorized into stable and unstable profit distribution groups. Stable companies use historical patterns for prediction, while unstable ones rely on the previous year's profit as the forecast value[47][50] - Dividend payout ratio prediction uses historical averages. For companies with stable operations, the previous year's payout ratio is used. If no dividends were issued in the past, the average of the last three years is applied. If the payout ratio exceeds 100%, it is capped[51][53] - Ex-dividend date prediction employs a linear extrapolation method based on historical intervals. If a company has not disclosed its ex-dividend date, historical data is used, or default dates are applied based on the calendar year[51][56] - The accuracy of the dividend point estimation model is evaluated. For the Shanghai 50 and CSI 300 indices, the annual prediction error is approximately 5 points, while for the CSI 500 index, the error is around 10 points. The model demonstrates high accuracy for stock index futures contracts, particularly for Shanghai 50 and CSI 300 futures[57][61][66]