股指分红点位监控周报：市场情绪企稳，各主力合约贴水幅度收窄-20251217

• The report introduces a quantitative model for estimating dividend points in stock indices, which is crucial for accurately assessing the basis and premium/discount levels of stock index futures contracts. The model incorporates key variables such as component stock weights, dividend amounts, total market capitalization, and index closing prices[43][48][12] - The model's construction process involves several steps: 1. Determining whether a company has announced dividend amounts and ex-dividend dates. If not, the ex-dividend date is estimated based on historical patterns[46] 2. Estimating dividend amounts for companies that have not disclosed them, which involves predicting net profits and dividend payout ratios. Net profit predictions are based on historical profit distributions, while payout ratios are estimated using historical averages[51][55] 3. Predicting ex-dividend dates using a linear extrapolation method based on the stability of historical intervals between announcement and ex-dividend dates[60] 4. Calculating the dividend points for the index using the formula: $\text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount}_n}{\text{Market Cap}_n} \times \text{Weight}_n \times \text{Index Closing Price} \right)$ Here, $N$ represents the number of component stocks, and the calculation only includes stocks with ex-dividend dates between the current date and the futures contract expiration date[43][48][49] - The model's accuracy was evaluated by comparing predicted dividend points with actual dividend points for indices like the SSE 50, CSI 300, and CSI 500. The prediction error for the SSE 50 and CSI 300 indices was approximately 5 points, while the error for the CSI 500 index was around 10 points, indicating high accuracy for the first two indices and slightly larger deviations for the latter[65][66][70] - The model's application to stock index futures contracts showed strong predictive performance. For the SSE 50 and CSI 300 futures, the predicted dividend points closely matched the actual values, while the CSI 500 futures exhibited slightly larger deviations. This demonstrates the model's robustness, particularly for indices with larger market capitalization coverage[65][66][70]