Key Points - The article provides an overview of the dividend progress of constituent stocks in major indices as of July 15, 2025, highlighting the number of companies at various stages of dividend declaration and implementation [1][3][9] - It compares the dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [4] - The realized and remaining dividend yields for major indices are detailed, with the Shanghai 50 Index showing a realized yield of 1.80% and a remaining yield of 0.46% [7][8] - The article tracks the annualized premium/discount of stock index futures, indicating the market sentiment and risk appetite of institutional investors [2][14][15] Dividend Progress of Constituent Stocks - As of July 15, 2025, the dividend progress for major indices is as follows: - Shanghai 50 Index: 0 companies in the proposal stage, 7 in the decision stage, 5 in the implementation stage, 35 have paid dividends, and 3 will not pay dividends [1] - CSI 300 Index: 2 in the proposal stage, 51 in the decision stage, 31 in the implementation stage, 190 have paid dividends, and 26 will not pay dividends [1] - CSI 500 Index: 1 in the proposal stage, 51 in the decision stage, 17 in the implementation stage, 354 have paid dividends, and 77 will not pay dividends [1] - CSI 1000 Index: 1 in the proposal stage, 54 in the decision stage, 44 in the implementation stage, 691 have paid dividends, and 210 will not pay dividends [1] Industry Dividend Yield Comparison - The article presents a statistical analysis of the current dividend yields of stocks with disclosed dividend proposals, ranking coal, banking, and steel industries as the top three [4] Realized and Remaining Dividend Yields - The realized and remaining dividend yields for major indices as of July 15, 2025, are as follows: - Shanghai 50 Index: Realized yield of 1.80%, remaining yield of 0.46% [7] - CSI 300 Index: Realized yield of 1.35%, remaining yield of 0.53% [7] - CSI 500 Index: Realized yield of 1.09%, remaining yield of 0.20% [7] - CSI 1000 Index: Realized yield of 0.83%, remaining yield of 0.12% [7] Stock Index Futures Premium/Discount Tracking - As of July 15, 2025, the annualized premiums/discounts for major stock index futures are: - IH main contract: annualized discount of 0.44% [2] - IF main contract: annualized discount of 2.48% [2] - IC main contract: annualized discount of 11.78% [2] - IM main contract: annualized discount of 15.26% [2]

Key Points - The article discusses the dividend progress of constituent stocks in major indices as of July 9, 2025, highlighting the number of companies at various stages of dividend declaration and implementation [1][3][9] - It provides a comparison of dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [4] - The realized and remaining dividend yields for major indices are presented, with the Shanghai 50 Index having a realized yield of 1.39% and a remaining yield of 0.88% [8] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 11.15% while the IC main contract has an annualized discount of 11.69% [1][3] Group 1: Dividend Progress of Constituent Stocks - As of July 9, 2025, in the Shanghai 50 Index, there are 0 companies in the proposal stage, 10 in the decision stage, 8 in the implementation stage, 29 that have paid dividends, and 3 that have not [1] - In the CSI 300 Index, there are 2 companies in the proposal stage, 73 in the decision stage, 31 in the implementation stage, 168 that have paid dividends, and 26 that have not [1] - The CSI 500 Index shows 1 company in the proposal stage, 64 in the decision stage, 34 in the implementation stage, 324 that have paid dividends, and 77 that have not [1][9] - The CSI 1000 Index has 1 company in the proposal stage, 83 in the decision stage, 67 in the implementation stage, 639 that have paid dividends, and 210 that have not [1][9] Group 2: Dividend Yield Comparison - The article presents a statistical analysis of the current dividend yields of stocks with disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [4] - The realized dividend yields for major indices as of July 9, 2025, are as follows: Shanghai 50 Index at 1.39% with a remaining yield of 0.88%, CSI 300 Index at 1.13% with a remaining yield of 0.78%, CSI 500 Index at 1.03% with a remaining yield of 0.26%, and CSI 1000 Index at 0.79% with a remaining yield of 0.17% [8] Group 3: Stock Index Futures Premium and Discount - The article tracks the annualized premium and discount of stock index futures as of July 9, 2025, with the IH main contract at 11.15% premium, IF main contract at 1.48% premium, IC main contract at 11.69% discount, and IM main contract at 16.65% discount [1][3] - It emphasizes the importance of considering the impact of constituent stock dividends on the calculation of futures premiums and discounts [2]

Quantitative Models and Construction Methods - **Model Name**: Index Dividend Points Estimation Model **Model Construction Idea**: This model estimates the dividend points of index constituents to account for the natural drop in index levels caused by dividend ex-dates, which is critical for accurately calculating the basis and premium/discount levels of stock index futures[12][38][44] **Model Construction Process**: 1. Identify the index constituents and their weights. If daily weights are unavailable, adjust monthly weights using the formula: $$ W_{n,t} = \frac{w_{n0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{i})} $$ where \( w_{n0} \) 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][46] 2. Estimate the dividend amount for each constituent: - If disclosed, use the reported dividend amount - If not disclosed, estimate using: $$ \text{Dividend Amount} = \text{Net Profit} \times \text{Dividend Payout Ratio} $$ - Net profit is predicted using historical profit distribution patterns, distinguishing between stable and unstable profit distributions[47][50] - Dividend payout ratio is estimated using historical averages or prior-year values, with adjustments for outliers[51][53] 3. Predict the ex-dividend date using historical intervals and linear extrapolation, or default to specific dates if historical data is unavailable[55][56] 4. Calculate the dividend points for the index: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount}_n}{\text{Market Cap}_n} \times \text{Weight}_n \times \text{Index Closing Price} \right) $$ where \( n \) represents each constituent, and only constituents with ex-dividend dates between the current date and the futures contract expiration date are included[38][44] **Model Evaluation**: The model demonstrates high accuracy for indices like the SSE 50 and CSI 300, with prediction errors generally within 5 points. However, the error margin for the CSI 500 index is slightly larger, around 10 points[57][61] Model Backtesting Results - **Index Dividend Points Estimation Model**: - SSE 50 Index: Prediction error ~5 points[61] - CSI 300 Index: Prediction error ~5 points[61] - CSI 500 Index: Prediction error ~10 points[61] Quantitative Factors and Construction Methods - **Factor Name**: Historical Profit Distribution Factor **Factor Construction Idea**: This factor predicts net profit by analyzing historical profit distribution patterns, distinguishing between stable and unstable distributions[50] **Factor Construction Process**: 1. Classify companies into stable or unstable profit distribution categories based on historical quarterly profit data 2. For stable distributions, use historical patterns to predict future profits 3. For unstable distributions, use the previous year's profit as the prediction[50] **Factor Evaluation**: Effective for companies with consistent profit patterns but less reliable for those with volatile earnings[50] - **Factor Name**: Historical Dividend Payout Ratio Factor **Factor Construction Idea**: This factor estimates the dividend payout ratio using historical averages or prior-year values, with adjustments for extreme values[51] **Factor Construction Process**: 1. Use the prior year's payout ratio if the company paid dividends last year 2. Use the average payout ratio of the last three years if no dividends were paid last year 3. Assume no dividends if the company has never paid dividends 4. Apply truncation if the estimated payout ratio exceeds 100%[53] **Factor Evaluation**: Reliable for companies with stable dividend policies but may overestimate for companies with irregular payouts[51][53] - **Factor Name**: Ex-Dividend Date Prediction Factor **Factor Construction Idea**: This factor predicts ex-dividend dates using historical intervals and linear extrapolation[55] **Factor Construction Process**: 1. Use the disclosed ex-dividend date if available 2. If unavailable, estimate based on historical intervals between announcement and ex-dividend dates 3. Default to specific dates (e.g., July 31, August 31, or September 30) if historical data is insufficient[56] **Factor Evaluation**: Accurate for most companies, with 90% of predictions falling within expected timeframes[56] Factor Backtesting Results - **Historical Profit Distribution Factor**: Effective for stable profit companies, less so for volatile ones[50] - **Historical Dividend Payout Ratio Factor**: Reliable for stable dividend policies, prone to overestimation for irregular payouts[51][53] - **Ex-Dividend Date Prediction Factor**: 90% accuracy for companies with historical data, with most predictions aligning with expected timelines[56]

Key Points - The article discusses the dividend progress of constituent stocks in major indices as of July 2, 2025, highlighting the number of companies at various stages of dividend declaration and implementation [1][3][9] - It provides a comparison of dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [4] - The realized and remaining dividend yields for major indices are presented, with the Shanghai 50 Index having a realized yield of 1.28% and a remaining yield of 0.99% [7][18] - The article tracks the premium/discount situation of stock index futures, indicating annualized discounts for various contracts, with the IC contract showing a discount of 10.65% [1][8][12] Dividend Progress of Constituent Stocks - As of July 2, 2025, the dividend status for the Shanghai 50 Index includes 0 companies in the proposal stage, 18 in the decision stage, 2 in the implementation stage, 27 that have paid dividends, and 3 that will not pay dividends [1][3] - For the CSI 300 Index, there are 2 companies in the proposal stage, 102 in the decision stage, 16 in the implementation stage, 154 that have paid dividends, and 26 that will not pay dividends [1][3] - The CSI 500 Index has 2 companies in the proposal stage, 98 in the decision stage, 26 in the implementation stage, 297 that have paid dividends, and 77 that will not pay dividends [1][9] - The CSI 1000 Index shows 1 company in the proposal stage, 148 in the decision stage, 57 in the implementation stage, 584 that have paid dividends, and 210 that will not pay dividends [1][9] Industry Dividend Yield Comparison - The article presents statistics on the current dividend yields of stocks with disclosed dividend proposals, ranking coal, banking, and steel industries as the top three sectors [4] Realized and Remaining Dividend Yields - The realized and remaining dividend yields for major indices as of July 2, 2025, are as follows: - Shanghai 50 Index: Realized yield of 1.28%, remaining yield of 0.99% [7] - CSI 300 Index: Realized yield of 1.07%, remaining yield of 0.87% [7] - CSI 500 Index: Realized yield of 0.95%, remaining yield of 0.35% [7] - CSI 1000 Index: Realized yield of 0.73%, remaining yield of 0.23% [7] Stock Index Futures Premium/Discount Tracking - The article tracks the annualized discounts for stock index futures as of July 2, 2025: - IH main contract: annualized discount of 0.28% [1] - IF main contract: annualized discount of 2.35% [1] - IC main contract: annualized discount of 10.65% [1] - IM main contract: annualized discount of 14.77% [1]

Quantitative Models and Construction Methods - **Model Name**: Index Dividend Points Estimation Model **Model Construction Idea**: This model estimates the dividend points of index constituents to account for the natural decline in index levels caused by dividend ex-dates, which is critical for accurately calculating the basis and premium/discount levels of stock index futures[12][40][43] **Model Construction Process**: 1. **Formula**: $$ \text{Dividend Points} = \sum_{n=1}^{N} \left( \frac{\text{Dividend Amount of Constituent Stock}}{\text{Total Market Value of Constituent Stock}} \times \text{Constituent Stock Weight} \times \text{Index Closing Price} \right) $$ - \(N\): Number of constituent stocks - Dividend amount, total market value, and weight are calculated for each constituent stock[40] 2. **Steps**: - Identify constituent stocks and their weights - For stocks with announced dividend amounts and ex-dates, use the provided data - For stocks without announced data, estimate dividend amounts using historical net profit and payout ratios, and predict ex-dates using historical patterns[41][46][50] - Adjust weights dynamically based on daily price changes using the formula: $$ W_{n,t} = \frac{w_{n0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{i})} $$ - \(w_{n0}\): Initial weight of stock \(n\) - \(r_{n}\): Non-adjusted return of stock \(n\) since the last weight update[44][45] **Model Evaluation**: The model demonstrates high accuracy for indices like the SSE 50 and CSI 300, with prediction errors generally within 5 points. However, the error for the CSI 500 index is slightly larger, around 10 points[56][60] Model Backtesting Results - **Index Dividend Points Estimation Model**: - SSE 50 Index: Prediction error ~5 points[60] - CSI 300 Index: Prediction error ~5 points[60] - CSI 500 Index: Prediction error ~10 points[60] Quantitative Factors and Construction Methods - **Factor Name**: Net Profit Prediction Factor **Factor Construction Idea**: Predict net profit dynamically based on historical profit distribution patterns to estimate dividend amounts for constituent stocks[46][49] **Factor Construction Process**: 1. Classify companies into "stable" and "unstable" profit distribution categories based on historical data 2. For stable companies, use historical profit distribution patterns for prediction 3. For unstable companies, use the previous year's profit as the prediction value[49][51] **Factor Evaluation**: The dynamic prediction method effectively captures profit trends for most companies, providing a reliable basis for dividend estimation[49] - **Factor Name**: Dividend Payout Ratio Prediction Factor **Factor Construction Idea**: Use historical payout ratios to estimate the current year's payout ratio for companies without announced data[50] **Factor Construction Process**: 1. If the company paid dividends last year, use last year's payout ratio 2. If no dividends were paid last year, use the average payout ratio of the past three years 3. If the company has never paid dividends, assume no dividends for the current year 4. Cap the payout ratio at 100% if it exceeds this threshold[52] **Factor Evaluation**: Historical payout ratios provide a stable and effective basis for prediction, especially for companies with consistent dividend policies[50][52] - **Factor Name**: Ex-Dividend Date Prediction Factor **Factor Construction Idea**: Predict ex-dividend dates using historical intervals between announcement and ex-dividend dates, with adjustments for outliers[50][55] **Factor Construction Process**: 1. If the ex-dividend date is announced, use the provided date 2. If not announced, estimate based on historical intervals between announcement and ex-dividend dates 3. Apply default dates (e.g., July 31, August 31, or September 30) if historical data is insufficient or inconsistent[55] **Factor Evaluation**: The method captures the majority of ex-dividend dates accurately, with over 90% of companies completing dividends by the end of July[55] Factor Backtesting Results - **Net Profit Prediction Factor**: High accuracy for stable companies; less reliable for companies with volatile profit distributions[49] - **Dividend Payout Ratio Prediction Factor**: Effective for companies with consistent payout policies; less applicable for companies with irregular dividend histories[50][52] - **Ex-Dividend Date Prediction Factor**: Accurately predicts dates for over 90% of companies, with most dividends completed by July[55]

Key Points - The article discusses the dividend progress of constituent stocks in various indices as of June 25, 2025, highlighting the number of companies at different stages of dividend declaration and implementation [1][4][27] - It provides a comparison of dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [2][3] - The realized and remaining dividend yields for major indices are presented, with the Shanghai 50 Index having a realized yield of 0.81% and a remaining yield of 1.45% [11][10] - The article tracks the premium and discount of stock index futures, indicating that the IH main contract has an annualized premium of 7.56% while the IC main contract has an annualized discount of 3.62% [1][22] Dividend Progress of Constituent Stocks - As of June 25, 2025, the Shanghai 50 Index has 9 companies in the proposal stage, 13 in the decision stage, 5 in the implementation stage, 20 that have paid dividends, and 3 that have not [1][4] - The CSI 300 Index has 44 companies in the proposal stage, 77 in the decision stage, 30 in the implementation stage, 123 that have paid dividends, and 26 that have not [1][4] - The CSI 500 Index has 37 companies in the proposal stage, 89 in the decision stage, 39 in the implementation stage, 258 that have paid dividends, and 77 that have not [1][4] - The CSI 1000 Index has 40 companies in the proposal stage, 159 in the decision stage, 54 in the implementation stage, 529 that have paid dividends, and 218 that have not [1][4] Industry Dividend Yield Comparison - The article provides statistics on the dividend yields of stocks that have disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [2][3] Realized and Remaining Dividend Yields - The realized dividend yields as of June 25, 2025, are as follows: - Shanghai 50 Index: 0.81% realized, 1.45% remaining [11] - CSI 300 Index: 0.79% realized, 1.14% remaining [11] - CSI 500 Index: 0.86% realized, 0.47% remaining [11] - CSI 1000 Index: 0.71% realized, 0.32% remaining [11] Stock Index Futures Premium and Discount Tracking - The article tracks the annualized premium and discount of stock index futures as of June 25, 2025: - IH main contract: 7.56% premium [1][22] - IF main contract: 2.64% premium [1][22] - IC main contract: 3.62% discount [1][22] - IM main contract: 6.77% discount [1][22]

一 、成分股分红进度 截至2025年6月18日： 上证50指数中，有11家公司处于预案阶段，16家公司处于决案阶段，6家公司进入 实施阶段，14家公司已分红，3家公司不分红； 沪深300指数中，有65家公司处于预案阶段，87家公司处于决案阶段，23家公司 进入实施阶段，99家公司已分红，26家公司不分红； 中证500指数中，有55家公司处于预案阶段，107家公司处于决案阶段，46家公司 进入实施阶段，215家公司已分红，77家公司不分红； 中证1000指数中，有59家公司处于预案阶段，195家公司处于决案阶段，81家公 司进入实施阶段，447家公司已分红，218家公司不分红。 二、行业成分股股息率比较 我们对当前已披露分红预案的个股股息率进行了统计，其中，煤炭、银行和钢铁行业的股 息率排名前三。 三、已实现及剩余股息率 截至2025年6月18日： 上证50指数已实现股息率为0.43%，剩余股息率1.90%； 沪深300指数已实现股息率为0.61%，剩余股息率1.37%； 中证500指数已实现股息率为0.74%，剩余股息率0.61%； 中证1000指数已实现股息率为0.60%，剩余股息率0.45%。 四、股指期 ...

股指分红点位监控周报 6 月合约即将到期，IH 升水，IC 及 IM 均深贴水 证券研究报告 | 2025年06月18日 成分股分红进度 截至 2025 年 6 月 18 日： 上证 50 指数中，有 11 家公司处于预案阶段，16 家公司处于决案阶段，6 家公司进入实施阶段，14 家公司已分红，3 家公司不分红； 沪深 300 指数中，有 65 家公司处于预案阶段，87 家公司处于决案阶段，23 家公司进入实施阶段，99 家公司已分红，26 家公司不分红； 中证 500 指数中，有 55 家公司处于预案阶段，107 家公司处于决案阶段， 46 家公司进入实施阶段，215 家公司已分红，77 家公司不分红； 中证 1000 指数中，有 59 家公司处于预案阶段，195 家公司处于决案阶段， 81 家公司进入实施阶段，447 家公司已分红，218 家公司不分红。 行业成分股股息率比较 我们对当前已披露分红预案的个股股息率进行了统计，其中，煤炭、银行和 钢铁行业的股息率排名前三。 已实现及剩余股息率 截至 2025 年 6 月 18 日： 上证 50 指数已实现股息率为 0.43%，剩余股息率 1.90%； 沪深 ...

Key Points - The article discusses the dividend progress of constituent stocks in major indices as of June 10, 2025, highlighting the stages of dividend announcements and distributions across various indices [1][4]. - It provides a comparison of dividend yields across different industries, noting that coal, banking, and steel sectors have the highest yields [2][3]. - The article also presents the realized and remaining dividend yields for major indices, indicating the current financial performance and future expectations [6][7]. - It tracks the premium and discount of stock index futures, emphasizing the importance of considering dividend impacts on futures pricing [2][12]. Group 1: Dividend Progress of Constituent Stocks - As of June 10, 2025, the Shanghai Stock Exchange 50 Index has 14 companies in the proposal stage, 19 in the decision stage, 3 in the implementation stage, 9 that have paid dividends, and 4 that have not [1][4]. - The CSI 300 Index has 81 companies in the proposal stage, 92 in the decision stage, 34 in the implementation stage, 65 that have paid dividends, and 27 that have not [1][4]. - The CSI 500 Index has 68 companies in the proposal stage, 146 in the decision stage, 57 in the implementation stage, 139 that have paid dividends, and 90 that have not [1][4]. - The CSI 1000 Index has 81 companies in the proposal stage, 269 in the decision stage, 93 in the implementation stage, 338 that have paid dividends, and 219 that have not [1][4]. Group 2: Dividend Yield Comparison - The article provides statistics on the dividend yields of stocks that have disclosed dividend proposals, with coal, banking, and steel industries ranking the highest [2][3]. Group 3: Realized and Remaining Dividend Yields - As of June 10, 2025, the realized dividend yield for the Shanghai Stock Exchange 50 Index is 0.33%, with a remaining yield of 2.03% [7]. - The realized dividend yield for the CSI 300 Index is 0.39%, with a remaining yield of 1.60% [7]. - The realized dividend yield for the CSI 500 Index is 0.48%, with a remaining yield of 0.86% [7]. - The realized dividend yield for the CSI 1000 Index is 0.45%, with a remaining yield of 0.59% [7]. Group 4: Stock Index Futures Premium and Discount Tracking - As of June 10, 2025, the annualized discount for the IH main contract is 2.11%, for the IF main contract is 6.35%, for the IC main contract is 13.84%, and for the IM main contract is 22.25% [1][12]. - The article emphasizes the need to account for dividend impacts when calculating the premium and discount of stock index futures [2][12].

证券研究报告 | 2025年06月10日 股指分红点位监控周报 各股指期货主力合约均贴水 核心观点 金融工程周报 成分股分红进度 截至 2025 年 6 月 10 日： 上证 50 指数中，有 14 家公司处于预案阶段，19 家公司处于决案阶段，3 家公司进入实施阶段，9 家公司已分红，4 家公司不分红； 沪深 300 指数中，有 81 家公司处于预案阶段，92 家公司处于决案阶段，34 家公司进入实施阶段，65 家公司已分红，27 家公司不分红； 中证 500 指数中，有 68 家公司处于预案阶段，146 家公司处于决案阶段， 57 家公司进入实施阶段，139 家公司已分红，90 家公司不分红； 中证 1000 指数中，有 81 家公司处于预案阶段，269 家公司处于决案阶段， 93 家公司进入实施阶段，338 家公司已分红，219 家公司不分红。 行业成分股股息率比较 我们对当前已披露分红预案的个股股息率进行了统计，其中，煤炭、银行和 钢铁行业的股息率排名前三。 已实现及剩余股息率 截至 2025 年 6 月 10 日： 上证 50 指数已实现股息率为 0.33%，剩余股息率 2.03%； 沪深 300 ...