股指分红点位监控周报：小盘红利领涨，IC及IM主力合约贴水幅度均超10%-20251112

• The report introduces the methodology for calculating index dividend points, which is crucial for accurately estimating the premium or discount of stock index futures contracts. The calculation considers the dividend impact of index constituent stocks, using the formula: Dividend Points = Σ (Dividend Amount / Total Market Value × Stock Weight × Index Closing Price) This formula ensures that only stocks with ex-dividend dates between the current date and the futures contract expiration date are included[42][43][45] - The report details the process for estimating key components of the dividend points calculation, including: 1. Stock Weight: Transitioning from approximate monthly estimates to precise daily weights using data disclosed by the China Securities Index Company[48][49] 2. Dividend Amount: Estimation based on historical net profit distribution and dynamic prediction methods, considering whether companies have disclosed annual reports or profit forecasts[50][53] 3. Dividend Payout Ratio: Using historical payout ratios for stable companies and applying truncation for ratios exceeding 100%[54][56] 4. Ex-Dividend Date: Predicting dates based on historical intervals and linear extrapolation, with default dates applied for companies without prior dividend history[54][59] - The report evaluates the accuracy of the dividend points estimation model, showing that for 2023 and 2024, the model achieved high accuracy for the Shanghai 50 and CSI 300 indices, with errors around 5 points. However, the CSI 500 index had slightly larger errors, approximately 10 points. The model also demonstrated strong predictive accuracy for stock index futures contracts across these indices[60][64][65]