一 、成分股分红进度 截至2026年3月4日： 上证50指数中，有0家公司处于预案阶段，0家公司处于决案阶段，0家公司进入实 施阶段，1家公司已分红，3家公司不分红； 沪深300指数中，有1家公司处于预案阶段，0家公司处于决案阶段，1家公司进入 实施阶段，1家公司已分红，24家公司不分红； 中证500指数中，有5家公司处于预案阶段，0家公司处于决案阶段，2家公司进入 实施阶段，0家公司已分红，65家公司不分红； 中证1000指数中，有4家公司处于预案阶段，1家公司处于决案阶段，0家公司进 入实施阶段，0家公司已分红，224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2026年3月4日： 上证50指数已实现股息率为0.00%，剩余股息率2.80%； 沪深300指数已实现股息率为0.00%，剩余股息率2.14%； 中证500指数已实现股息率为0.00%，剩余股息率1.14%； 中证1000指数已实现股息率为0.00%，剩余股息率0.89%。 四、股指期货升贴水情况跟踪 截至2026年3月4日， ...

证券研究报告 | 2026年03月04日 **Acknowledgments** I would like to thank my supervisor, for his kind of support. I would like to thank my supervisor, for his kind of support. 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，银行、煤炭和 钢铁行业的股息率排名前三。 已实现及剩余股息率 截至 2026 年 3 月 4 日： 核心观点 金融工程周报 成分股分红进度 截至 2026 年 3 月 4 日： 上证 50 指数中，有 0 家公司处于预案阶段，0 家公司处于决案阶段，0 家公 司进入实施阶段，1 家公司已分红，3 家公司不分红； 沪深 300 指数中，有 1 家公司处于预案阶段，0 家公司处于决案阶段，1 家 公司进入实施阶段，1 家公司已分红，24 家公司不分红； 中证 500 指数中，有 5 家公司处于预案阶段，0 家公司处于决案阶段，2 家 公司进入实施阶段，0 家公司已分红，65 家公司不分红； 中证 1000 指数中， ...

Group 1: Interest Rates and Central Bank Operations - DR001 closed at 1.38 with a 1.66 bp increase, DR007 at 1.51 with a 4.79 bp decrease, GC001 at 1.55 with a 15.50 bp decrease, GC007 at 1.59 with a 3.50 bp decrease, SHBOR 3M at 1.58 with a 0.02 bp decrease, LPR 5 - year at 3.50 with no change, 1 - year treasury at 1.32 with a 0.77 bp increase, 5 - year treasury at 1.55 with a 1.29 bp increase, 10 - year treasury at 1.82 with a 1.42 bp increase, and 10 - year US treasury at 4.04 with a 1.00 bp increase [4] - The central bank conducted 4095 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40% yesterday. With 4000 billion yuan of reverse repurchases maturing, the net injection was 95 billion yuan [4] - In February, the LPR rates remained unchanged: 1 - year LPR was 3.0%, and 5 - year and above LPR was 3.5%. From February 24th - 28th, 22524 billion yuan of reverse repurchases will mature, with 14524 billion, 4000 billion, and 4000 billion maturing on February 24th, 25th, and 26th respectively. Also, on February 25th, 3000 billion yuan of MLF and 1500 billion yuan of treasury cash fixed - term deposits will mature [5] Group 2: Stock Index and Futures Market - The CSI 300 rose 0.6% to 4735.9, the SSE 50 rose 0.45% to 3054.9, the CSI 500 rose 1.6% to 8527.6, and the CSI 1000 rose 1.52% to 8426.3. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets reached 24812 billion yuan, an increase of 2628 billion yuan from the previous day. Most industry sectors closed higher, with rare earths, small metals, energy metals, real estate services, steel, non - ferrous metals, and aerospace equipment sectors leading the gains, while the film and television theater and advertising marketing sectors leading the losses [6] - IF volume was 106320 with an 8.7% increase, IF open interest was 283440 with a 6.9% increase; IH volume was 52712 with a 24.8% increase, IH open interest was 108963 with a 9.6% increase; IC volume was 126978 with a 3.0% increase, IC open interest was 298578 with a 5.7% increase; IM volume was 166542 with a 2.9% decrease, IM open interest was 372430 with a 1.9% increase [6] - The IF basis for the current - month contract was 1.50%, next - month 1.34%, current - quarter 2.67%, and next - quarter 3.60%; the IH basis was - 1.70%, - 1.00%, 0.16%, and 2.08% respectively; the IC basis was - 0.27%, 1.07%, 3.39%, and 4.40% respectively; the IM basis was 3.90%, 4.43%, 6.80%, and 7.56% respectively [8] Group 3: Real Estate Policy and Market Outlook - Shanghai launched post - holiday real - estate regulatory optimization measures, shortening the social security or tax payment period for non - local residents to buy houses in the inner - ring area to 1 year, increasing the maximum first - home provident fund loan limit from 1.6 million yuan to 2.4 million yuan, and further increasing it to 3.24 million yuan for multi - child families or those buying green buildings.沪籍 families buying their only new home are exempt from property tax [7] - Driven by favorable policies, the stock index is running strongly. With the expected policy benefits from the upcoming "Two Sessions", the stock index is expected to fluctuate strongly. Long - term and medium - term long positions in stock index futures are recommended to be held [7]

- 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 considers the dividend impact of index constituent stocks, which naturally causes the index level to drop in price indices but is reinvested in total return indices[12][42][45] - The dividend points are calculated using the formula: $$\text{Dividend Points} = \sum_{n=1}^{N} \frac{\text{Dividend Amount of Stock}_n}{\text{Total Market Value of Stock}_n} \times \text{Weight of Stock}_n \times \text{Index Closing Price}$$ Here, \(N\) represents the number of constituent stocks, and the calculation only includes stocks with ex-dividend dates between the current date and the futures contract expiration date[42][45] - The methodology for estimating key parameters includes: 1. **Constituent Stock Weights**: Adjusted daily 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 \(n\) since that date[46] 2. **Dividend Amounts**: Estimated as the product of net profit and dividend payout ratio. If not disclosed, net profit is predicted using historical profit distribution patterns, and the payout ratio is estimated using historical averages[48][51] 3. **Ex-Dividend Dates**: Predicted using historical patterns and linear extrapolation based on the stability of the time interval between announcement and ex-dividend dates[52][57] - The accuracy of the dividend point estimation model is evaluated by comparing predicted and actual dividend points for indices like SSE 50, CSI 300, CSI 500, and CSI 1000. The model shows high accuracy, with errors generally within 5 points for SSE 50 and CSI 300, and within 10 points for CSI 500 and CSI 1000[58][62][65]

- The report introduces the dividend point estimation method for stock indices, emphasizing its importance in accurately calculating the premium or discount of stock index futures contracts. The method involves estimating dividend points based on constituent stock dividends, total market capitalization, stock weights, and index closing prices[48][49][51] - The calculation formula for dividend points is provided as: $$\text{Dividend Points} = \sum_{n=1}^{N} \frac{\text{Dividend Amount of Constituent Stock}}{\text{Total Market Capitalization of Constituent Stock}} \times \text{Stock Weight} \times \text{Index Closing Price}$$ This formula ensures that only stocks with ex-dividend dates between the current date and the futures contract expiration date are considered[48] - The report details the process of estimating constituent stock weights, transitioning from approximate monthly data to precise daily weights using data disclosed by the China Securities Index Company. The formula for weight estimation is: $$W_{n,t} = \frac{w_{n0} \times (1 + r_{n})}{\sum_{i=1}^{N} w_{i0} \times (1 + r_{i})}$$ Here, \(w_{n0}\) represents the weight of stock \(n\) at the last disclosed date, and \(r_{n}\) is the non-reinvested return of stock \(n\) during the period[52][53] - The report explains the dynamic prediction method for estimating net profits of constituent stocks. For companies with stable profit distributions, historical patterns are used, while for others, the previous year's profit is adopted. Dividends are calculated as: $$\text{Dividend Amount} = \text{Net Profit} \times \text{Dividend Payout Ratio}$$ This approach ensures accurate dividend estimation for stocks without disclosed data[54][56] - Historical dividend payout ratios are used to predict current ratios, with adjustments for companies that have not paid dividends in recent years or have payout ratios exceeding 100%. The prediction process includes linear extrapolation based on historical intervals between dividend announcement and ex-dividend dates[57][60][63] - The report evaluates the accuracy of the dividend point estimation model, showing minimal errors for indices like the SSE 50 and CSI 300 (around 5 points), while slightly larger errors (around 10 points) are observed for CSI 500 and CSI 1000 indices. The model demonstrates strong predictive performance for stock index futures contracts[64][68] - Backtesting results for stock index futures contracts reveal varying annualized premium or discount rates across indices. For example, IH contracts show a premium of 1.27%, IF contracts a premium of 0.79%, IC contracts a discount of 0.94%, and IM contracts a discount of 4.48%[4][13][25]

- The report introduces the dividend point estimation method for stock indices, emphasizing its importance in accurately calculating the premium or discount levels of stock index futures contracts, which track price indices rather than total return indices[43][12][44] - The dividend point estimation process involves key metrics such as component stock weights, dividend amounts, total market capitalization, and index closing prices. While some data like market capitalization and closing prices are directly accessible, component stock weights and dividend amounts require further estimation[48][43][44] - Component stock weights are refined from monthly data provided by mainstream data providers to daily weights using a formula that adjusts for non-reinvested price changes. The formula is: $$W_{n,t}={\frac{w_{i0}\times(1+r_{n})}{\sum_{i=1}^{N}w_{i0}\times(1+r_{n})}}$$ where \(w_{i0}\) represents the weight of stock \(n\) at the last disclosed date, and \(r_{n}\) is the non-reinvested price change of stock \(n\) during the period[49][50] - Dividend amounts are estimated using the formula: Dividend Amount = Net Profit × Dividend Payout Ratio Net profit is dynamically predicted based on historical profit distributions, categorizing companies into stable and unstable profit distribution groups. Stable companies follow historical patterns, while unstable ones use prior-year data as a reference[51][53][56] - Dividend payout ratios are predicted using historical averages. If a company paid dividends last year, the previous year's ratio is used; otherwise, a three-year average is applied. Companies with no dividend history are assumed not to pay dividends[54][57][55] - Ex-dividend dates are forecasted using historical intervals and linear extrapolation methods. If historical dates are deemed unreasonable, default dates are applied based on typical dividend announcement timelines[55][60][58] - The accuracy of the dividend point estimation model is validated by comparing predicted dividend points with actual points for major indices like the SSE 50, CSI 300, CSI 500, and CSI 1000. The model demonstrates high accuracy, with errors generally within 5 points for SSE 50 and CSI 300, and within 10 points for CSI 500 and CSI 1000[61][65][43] - The report highlights the predictive accuracy of the model for stock index futures contracts, showing minimal deviation between forecasted and actual dividend points for contracts across different indices[65][68][70]

Group 1: Dividend Progress of Constituent Stocks - As of January 7, 2026, there are no companies in the proposal, decision, or implementation stages for dividends in the Shanghai 50 Index, and 4 companies do not plan to distribute dividends [1][3] - In the CSI 300 Index, there are also no companies in the proposal, decision, or implementation stages, with 25 companies not distributing dividends [1][3] - The CSI 500 Index has 1 company in the proposal stage, with 63 companies not distributing dividends [1][3] - The CSI 1000 Index has 1 company in the proposal stage, with 187 companies not distributing dividends [1][3] Group 2: Dividend Yield Comparison by Industry - The current dividend yield statistics show that the coal, banking, and steel industries rank the highest in terms of dividend yield among disclosed dividend proposals [4] Group 3: Realized and Remaining Dividend Yields - As of January 7, 2026, the realized dividend yield for the Shanghai 50 Index is 0.00%, with a remaining yield of 2.34% [8] - The CSI 300 Index has a realized yield of 0.00% and a remaining yield of 1.85% [8] - The CSI 500 Index shows a realized yield of 0.00% and a remaining yield of 1.14% [8] - The CSI 1000 Index has a realized yield of 0.00% and a remaining yield of 0.89% [8] Group 4: Tracking of Index Futures Premium/Discount - As of January 7, 2026, the annualized discount for the IH main contract is 0.28%, for the IF main contract is 2.69%, for the IC main contract is 2.47%, and for the IM main contract is 12.36% [1][3] - The report will regularly track the premium/discount levels of index futures, considering the impact of dividends on the index [2] Group 5: Methodology for Dividend Point Estimation - The report outlines a methodology for estimating dividend points, which is crucial for accurately assessing the premium/discount of index futures [28] - The methodology includes obtaining constituent stock weights, dividend amounts, total market capitalization, and index closing prices [30] - The estimation process involves predicting net profits and dividend payout ratios based on historical data [33][38] Group 6: Historical Accuracy of Dividend Point Estimation - The accuracy of the dividend point estimation model has been analyzed, showing that predictions for the Shanghai 50 and CSI 300 indices are generally accurate within 5 points, while the CSI 500 and CSI 1000 indices have a slightly larger error margin of around 10 points [44] - The model demonstrates good predictive accuracy for the main contracts of index futures [44]

Group 1 - The core viewpoint of the article highlights the dividend progress of constituent stocks in major indices as of December 24, 2025, indicating a lack of active dividend distributions across various indices [1][3] - In the Shanghai Stock Exchange 50 Index, no companies are in the proposal, decision, or implementation stages for dividends, with 4 companies not distributing dividends [1] - The Shanghai and Shenzhen 300 Index has 1 company in the proposal stage, while 21 companies are not distributing dividends [1] - The China Securities 500 Index and the China Securities 1000 Index show similar trends, with no companies in any dividend stages and a significant number not distributing dividends [1] Group 2 - The article provides a comparison of dividend yields across industries, with coal, banking, and steel sectors ranking the highest in terms of dividend yield [2][4] - As of December 24, 2025, the realized dividend yields for major indices are as follows: Shanghai Stock Exchange 50 Index at 2.70% with a remaining yield of 0.15%, Shanghai and Shenzhen 300 Index at 2.19% with a remaining yield of 0.08%, China Securities 500 Index at 1.23% with a remaining yield of 0.02%, and China Securities 1000 Index at 0.97% with a remaining yield of 0.01% [1][9] Group 3 - The article tracks the annualized premium and discount of stock index futures as of December 24, 2025, with the IH main contract showing an annualized premium of 2.65%, while the IF, IC, and IM main contracts show annualized discounts of 4.05%, 5.50%, and 8.67% respectively [1][4] - The article emphasizes the importance of considering dividend impacts when calculating the premium and discount of stock index futures, as dividend distributions can lead to a natural decline in index points [2][24] Group 4 - The article outlines the methodology for estimating dividend points in stock indices, noting that the price index reflects the impact of dividend distributions differently than total return indices [24][29] - It discusses the need for accurate data on constituent stock weights and dividend amounts to improve the precision of dividend point estimations [31][32] - The article also highlights the predictive accuracy of the dividend point estimation model, showing that it performs well for the Shanghai Stock Exchange 50 and Shanghai and Shenzhen 300 indices, with a deviation of around 5 points [42][44]

========= - The report tracks the dividend progress of constituent stocks in major indices such as the SSE 50, CSI 300, CSI 500, and CSI 1000, noting the number of companies at different stages of the dividend process[1][13] - The dividend yield of stocks with announced dividend plans is highest in the coal, banking, and steel industries[2][14] - The realized and remaining dividend yields for the SSE 50, CSI 300, CSI 500, and CSI 1000 indices as of December 24, 2025, are provided, with the SSE 50 having the highest realized yield at 2.70%[3][16] - The annualized premium and discount rates for the main contracts of IH, IF, IC, and IM futures as of December 24, 2025, are tracked, with IM having the highest annualized discount rate at -8.67%[4][12] - The methodology for calculating index dividend points is briefly reviewed, including the use of constituent stock weights, dividend amounts, and total market value[5][41] - The process for estimating constituent stock weights, including adjustments for stock price changes and the use of daily closing weights from the China Securities Index Company, is detailed[6][45][46] - The dynamic prediction method for net profit based on historical profit distribution is explained, including the classification of companies into stable and unstable profit distribution categories[7][47][50] - The prediction of dividend payout ratios using historical data and the linear extrapolation method for predicting ex-dividend dates are described[8][51][55] - The accuracy of the index dividend point estimation model is analyzed, showing higher accuracy for the SSE 50 and CSI 300 indices compared to the CSI 500 index[9][57][61] - The report includes charts showing the historical premium and discount rates of the main contracts for IH, IF, IC, and IM futures from 2020 to 2025[10][17][18][22] - The historical percentile positions of the basis for IH, IF, IC, and IM contracts are provided, indicating the relative premium levels of these contracts[11][27][29][35] =========

- 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]