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]

Quantitative Models and Construction Methods - **Model Name**: Theoretical Pricing Model for Stock Index Futures **Model Construction Idea**: This model aims to calculate the theoretical price of stock index futures by considering the impact of dividends and risk-free interest rates under no-arbitrage conditions [35][36] **Model Construction Process**: 1. **Discrete Dividend Distribution**: - Assume the futures price at time \( t \) is \( F_t \), the spot price is \( S_t \), and the futures contract expires at \( T \). The present value of dividends during \( T-t \) is \( D \), and the risk-free rate during \( T-t \) is \( r \). - If there are \( m \) dividend payments at times \( t_1, t_2, ..., t_m \), with amounts \( D_1, D_2, ..., D_m \), the present value of dividends is: $$ \mathbf{D} = \sum_{\mathrm{i=1}}^{\mathrm{m}} \mathbf{D}_{\mathrm{i}} / (1 + \phi) $$ where \( \phi \) is the risk-free rate between two dividend payments. - The theoretical futures price is: $$ F_t = (S_t - D)(1 + r) $$ [35] 2. **Continuous Dividend Distribution**: - When dividends are distributed continuously, the model assumes the annualized dividend yield is \( d \), and the annualized risk-free rate is \( r \). The theoretical futures price is: $$ F_t = S_t e^{(r-d)(T-t)} $$ [36] Quantitative Factors and Construction Methods - **Factor Name**: Dividend Impact Factor **Factor Construction Idea**: This factor estimates the impact of dividends on stock index futures pricing by predicting the dividend points for index components and their contribution to the index [12][27] **Factor Construction Process**: 1. **Estimate Net Profit**: Use available financial data in the following order of priority: annual reports, quick reports, earnings warnings, trailing twelve-month (TTM) net profit, or analysts' forecasts [27][31] 2. **Calculate Total Dividends**: Assume the dividend payout ratio remains constant for companies with historical dividends. For companies with no prior dividends or negative profits, assume zero dividends [31] 3. **Calculate Dividend Impact on Index**: - Dividend yield: \( \text{Tax-adjusted dividends} / \text{Latest market cap} \) - Dividend points: \( \text{Stock weight} \times \text{Dividend yield} \) - Adjust stock weights using the formula: $$ w_{it} = \frac{w_{i0} \times (1 + R)}{\sum_{1}^{n} w_{i0} \times (1 + R)} $$ where \( w_{i0} \) is the initial weight, and \( R \) is the stock's return [29] 4. **Predict Impact on Futures Contracts**: Aggregate the dividend points for all components before the contract's settlement date [33] Model Backtesting Results - **Theoretical Pricing Model**: - Annualized hedging costs (excluding dividends) for May contracts: - SSE 50: 0.27% - CSI 300: 7.07% - CSI 500: 15.59% - CSI 1000: 18.88% [12][13][15][16] Factor Backtesting Results - **Dividend Impact Factor**: - Remaining impact of dividends on May contracts: - SSE 50: 0.01% - CSI 300: 0.02% - CSI 500: 0.04% - CSI 1000: 0.06% [17]