股指分红点位监控周报：市场短期调整，各主力合约贴水幅度加深-20251203

• The report discusses the methodology for calculating dividend points in stock indices, which is crucial for accurately estimating the premium or discount in stock index futures contracts. The calculation involves the following formula: Dividend Points = (Sum of Dividend Amounts / Total Market Value) × Component Stock Weight × Index Closing Price This formula considers only the component stocks with ex-dividend dates between the current date and the futures contract expiration date [42][45] - The weight of component stocks is dynamically adjusted to reflect daily changes in stock prices. The formula for calculating the weight is: $W_{n,t} = \frac{w_{i0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{n})}$ Here, $w_{i0}$ is the weight of stock $n$ on the last disclosed date, and $r_{n}$ is the non-adjusted return of stock $n$ from the last disclosed date to the current date [46] - The estimation of dividend amounts is based on the product of net profit and dividend payout ratio. If the company has not disclosed its dividend amount, the net profit is predicted using historical profit distribution patterns, and the dividend payout ratio is estimated using historical averages. The formula is: Dividend Amount = Net Profit × Dividend Payout Ratio For companies with stable profit distribution, historical patterns are used, while for others, the previous year's profit is used as a proxy [48][51][52] - The ex-dividend date is predicted using a linear extrapolation method based on the stability of historical intervals between announcement dates and ex-dividend dates. If no historical data is available, default dates are assigned based on typical market behavior [52][57] - The accuracy of the dividend point estimation model is evaluated by comparing predicted dividend points with actual dividend points. For indices like the SSE 50 and CSI 300, the model achieves high accuracy with errors around 5 points, while for the CSI 500, the error is slightly larger, around 10 points [58][62]