股指分红点位监控周报：各主力合约均处于深度贴水-20251210

• The report introduces a method for calculating the dividend points of stock indices, which is crucial for accurately estimating the premium or discount of stock index futures contracts. The formula for dividend points is as follows: $ \text{Dividend Points} = \sum_{n=1}^{N} \left( \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} \right) $ This calculation considers only the component stocks with ex-dividend dates between the current date (t) and the futures contract expiration date (T) [41] - The weight of component stocks is dynamically adjusted to reflect daily changes. The formula for calculating the weight is: $ W_{n,t} = \frac{w_{n0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{i})} $ Here, $w_{n0}$ 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 [45] - The estimation of dividend amounts involves predicting net profits and dividend payout ratios. The dividend amount is calculated as: $ \text{Dividend Amount} = \text{Net Profit} \times \text{Dividend Payout Ratio} $ For companies with stable profit distributions, historical patterns are used for prediction. For others, the previous year's profit is used as the estimate [47][50] - The dividend payout ratio is estimated using historical averages. If a company paid dividends in the previous year, the last year's ratio is used. If not, the average of the past three years is applied. If no historical data exists, the company is assumed not to pay dividends [51][53] - 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 reliable historical data is available, default dates are assigned based on typical dividend schedules [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 predicting dividend points of stock index futures contracts [57][61]