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分红对期指的影响20250620
Orient Securities· 2025-06-22 09:49
Quantitative Models and Construction Methods 1. Model Name: Dividend Impact Prediction Model - **Model Construction Idea**: The model aims to predict the impact of dividends on stock index futures pricing by estimating the dividend points and their influence on futures contracts[6][10][18] - **Model Construction Process**: 1. **Estimate Component Stocks' Net Profit**: Use annual reports, quick reports, earnings warnings, or analysts' profit forecasts to estimate net profits[21][22] 2. **Calculate Pre-Tax Dividend Total**: Based on the assumption that the dividend payout ratio remains unchanged, calculate the total dividend amount as: $$ \text{Estimated Dividend Total} = \text{Estimated Net Profit} \times \text{Dividend Payout Ratio} $$ If no dividends were distributed in the previous year, assume no dividends this year[26] 3. **Calculate Dividend Impact on Index**: - Dividend Yield: $$ \text{Dividend Yield} = \frac{\text{Tax-Adjusted Dividend Total}}{\text{Latest Market Value}} $$ - Dividend Points: $$ \text{Dividend Points Impact} = \text{Stock Weight} \times \text{Dividend Yield} $$ - Adjust stock weights using the formula: $$ w_{it} = \frac{w_{i0} \times (1 + R_1)}{\sum_{1}^{n} w_{i0} \times (1 + R_1)} $$ where \( w_{i0} \) is the initial weight, and \( R_1 \) is the stock's return[23] 4. **Predict Dividend Impact on Futures Contracts**: Aggregate all dividends before the contract's delivery date to calculate the total impact on futures contracts[28] - **Model Evaluation**: The model provides a systematic and logical approach to estimate dividend impacts, but its accuracy depends on the reliability of input assumptions and historical data[18][26] --- Model Backtesting Results 1. Dividend Impact Prediction Model - **Dividend Points for July Contracts**: - SSE 50: 40.84 - CSI 300: 38.26 - CSI 500: 19.23 - CSI 1000: 17.88[6][10] - **Annualized Hedging Costs (Excluding Dividends)**: - SSE 50: -1.91% - CSI 300: 1.35% - CSI 500: 7.37% - CSI 1000: 10.19%[6][10] - **Remaining Dividend Impact on July Contracts**: - SSE 50: 1.53% - CSI 300: 0.99% - CSI 500: 0.34% - CSI 1000: 0.30%[14] --- Quantitative Factors and Construction Methods 1. Factor Name: Theoretical Pricing Model for Stock Index Futures - **Factor Construction Idea**: This factor calculates the theoretical price of stock index futures based on the no-arbitrage principle, considering dividends and risk-free rates[30][31] - **Factor Construction Process**: 1. **Discrete Dividend Distribution**: $$ D = \sum_{i=1}^{m} \frac{D_i}{(1 + r_i)} $$ where \( D_i \) is the dividend amount at time \( t_i \), and \( r_i \) is the risk-free rate between \( t_i \) and \( t \)[30] The theoretical futures price is: $$ F_t = (S_t - D)(1 + r) $$ 2. **Continuous Dividend Distribution**: $$ F_t = S_t \cdot e^{(r-d)(T-t)} $$ where \( d \) is the annualized dividend yield, and \( r \) is the annualized risk-free rate[31] - **Factor Evaluation**: The model is robust under the no-arbitrage assumption but may deviate in real markets due to transaction costs and market frictions[30][31] --- Factor Backtesting Results 1. Theoretical Pricing Model for Stock Index Futures - **Annualized Hedging Costs (Excluding Dividends)**: - SSE 50: -1.91% - CSI 300: 1.35% - CSI 500: 7.37% - CSI 1000: 10.19%[6][10] - **Remaining Dividend Impact on July Contracts**: - SSE 50: 1.53% - CSI 300: 0.99% - CSI 500: 0.34% - CSI 1000: 0.30%[14]
分红对期指的影响20250606
Orient Securities· 2025-06-07 07:26
- The report discusses the impact of dividends on stock index futures, specifically for the contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices [1][2][3][4] - The latest dividend forecast model predicts the dividend points for the June contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices to be 12.10, 16.30, 18.75, and 17.78, respectively [8][11] - The annualized hedging costs (excluding dividends, calculated on a 365-day basis) for the June contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices are 3.05%, 1.54%, 8.11%, and 14.77%, respectively [8][11] - The report provides detailed data on the closing prices, dividend points, actual spreads, and dividend-inclusive spreads for the June, July, September, and December contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices [2][3][4] - The remaining impact of dividends on the June contracts of the SSE 50, CSI 300, CSI 500, and CSI 1000 indices is 0.45%, 0.42%, 0.33%, and 0.29%, respectively [12][13][14][15][16] - The report outlines the process for predicting dividends, which includes estimating the net profit of constituent stocks, calculating the total pre-tax dividends for each stock, and determining the impact of dividends on the index and each contract [9][21][24][25][26][27][28][29][30] - The theoretical pricing model for stock index futures is provided, including formulas for both discrete and continuous dividend distributions [32][33] Model and Factor Construction - **Model Name**: Dividend Impact Prediction Model - **Model Construction Idea**: The model aims to predict the impact of dividends on stock index futures contracts by estimating the dividends of constituent stocks and calculating their effect on the index and futures contracts [9][21] - **Model Construction Process**: 1. Estimate the net profit of constituent stocks using available information such as annual reports, quick reports, warnings, and analyst forecasts [23][24] 2. Calculate the total pre-tax dividends for each stock based on the estimated net profit and historical dividend rates [25][28] 3. Determine the impact of dividends on the index by calculating the dividend yield and the dividend points for each stock [26] 4. Estimate the ex-dividend dates and calculate the theoretical impact of dividends on each futures contract [27][29][30] 5. Use the theoretical pricing model for stock index futures to incorporate the impact of dividends into the futures prices [32][33] - **Model Evaluation**: The model provides a systematic approach to predict the impact of dividends on stock index futures, considering various factors such as net profit estimates, dividend rates, and ex-dividend dates [9][21][24] Model Backtesting Results - **SSE 50 Futures (June Contract)**: - Closing Price: 2673.60 - Dividend Points: 12.10 - Actual Spread: -15.25 - Dividend-Inclusive Spread: -3.15 - Remaining Impact: 0.45% - Annualized Hedging Cost (365 days): 3.05% - Annualized Hedging Cost (243 days): 2.84% [2][12] - **CSI 300 Futures (June Contract)**: - Closing Price: 3855.40 - Dividend Points: 16.30 - Actual Spread: -18.58 - Dividend-Inclusive Spread: -2.28 - Remaining Impact: 0.42% - Annualized Hedging Cost (365 days): 1.54% - Annualized Hedging Cost (243 days): 1.43% [2][13] - **CSI 500 Futures (June Contract)**: - Closing Price: 5725.40 - Dividend Points: 18.75 - Actual Spread: -36.68 - Dividend-Inclusive Spread: -17.93 - Remaining Impact: 0.33% - Annualized Hedging Cost (365 days): 8.11% - Annualized Hedging Cost (243 days): 7.56% [3][14] - **CSI 1000 Futures (June Contract)**: - Closing Price: 6100.20 - Dividend Points: 17.78 - Actual Spread: -52.64 - Dividend-Inclusive Spread: -34.87 - Remaining Impact: 0.29% - Annualized Hedging Cost (365 days): 14.77% - Annualized Hedging Cost (243 days): 13.77% [4][15]
分红对期指的影响20250516
Orient Securities· 2025-05-17 12:16
Quantitative Models and Construction Methods 1. Model Name: Dividend Impact Prediction Model - **Model Construction Idea**: The model aims to predict the impact of dividends on stock index futures pricing by estimating the dividend points for different contracts and calculating their influence on futures prices[7][10][19] - **Model Construction Process**: 1. **Estimate Component Stocks' Net Profit**: Use available financial data in the following priority: annual reports > quick reports > earnings warnings > trailing twelve-month (TTM) net profit from Q3 reports > analysts' earnings forecasts[21][22] 2. **Calculate Pre-Tax Dividend Total**: Based on the estimated net profit, calculate the total dividend amount using historical dividend payout ratios or directly use announced dividend plans[23][26] 3. **Assess Dividend Impact on Index**: - Dividend Yield = Post-Tax Dividend Total / Latest Market Value - Dividend Points Impact = Stock Weight × Dividend Yield - Adjust stock weights using the formula: $$\mathrm{w_{it}={\frac{w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}{\sum_{1}^{n}w_{i0}\times\mathrm{\scriptsize{\boldmath~(~1+R~)}~}}}}$$ where \( w_{i0} \) is the initial weight, and \( R \) is the stock's return over the period[24] 4. **Predict Contract-Specific Impact**: Aggregate dividend impacts for all component stocks within the contract's maturity period, considering historical ex-dividend dates and adjustments for shareholder meeting schedules[25][27][28] 5. **Theoretical Pricing Formula**: - For discrete dividends: $$\mathbf{D}=\sum_{\mathrm{i=1}}^{\mathrm{m}}\mathbf{D}_{\mathrm{i}}\,/(1+\phi)$$ $$F_t = (S_t - D)(1 + r)$$ - For continuous dividends: $$F_t = S_t e^{(r-d)(T-t)}$$ where \( F_t \) is the futures price, \( S_t \) is the spot price, \( D \) is the dividend value, \( r \) is the risk-free rate, and \( d \) is the annualized dividend yield[30][31] - **Model Evaluation**: The model provides a systematic and logical framework for estimating dividend impacts, leveraging historical data and reasonable assumptions to enhance prediction accuracy[19][22][26] --- Model Backtesting Results 1. Dividend Impact Prediction Model - **Dividend Points for June Contracts**: - SSE 50: 18.48 - CSI 300: 23.58 - CSI 500: 44.47 - CSI 1000: 36.22[10][13] - **Annualized Hedging Costs (Excluding Dividends)**: - SSE 50: 1.14% - CSI 300: 5.23% - CSI 500: 12.69% - CSI 1000: 16.86%[7][10][13] - **Remaining Impact on June Contracts**: - SSE 50: 0.68% - CSI 300: 0.61% - CSI 500: 0.78% - CSI 1000: 0.60%[13]