分紅對期指的影響

目錄TOC\o"1-2"\h\z\u一、2023分紅新預(yù)結(jié)果 3二、歷分紅況回顧 5三、歷分紅測準度 8四、預(yù)分紅流程 1、預(yù)估成分股的凈利潤 2、計算各股票的稅前分紅總額 123、計算分紅對指數(shù)的影響 124、預(yù)測分紅對各合約的影響值 12風險提示 14附錄：指期的理價模型 14一、2023分紅最新預(yù)測結(jié)果市場越有效，我們要戰(zhàn)勝對手就需要越早越準確的獲取信息，有了過去的經(jīng)驗，已經(jīng)有更多的投20235-75-77月、912上市交易，我們有必要提前對分紅比例有一個合理的預(yù)測。61650成分股22家實施，1315300153家實施，79家股東大會通過，68500251195會通過，54100055637866家發(fā)布董事會預(yù)案。5030050010007月合約的分紅點數(shù)50.81、55.33、33.07、21.195030050010007化對沖成本（剔除分紅，按365天計算）分別為-5.25%、-4.78%、-3.20%、-2.38%。分紅對股指期貨各指數(shù)期貨合約影響詳細如下：圖1：上證50股指期貨含分紅價差收盤價分紅點數(shù)實際價差含分紅價差分紅對合約的剩余影響年化對沖成本（剔除分紅）365年化對沖成本（剔除分紅）243IH23072563.2050.81-37.7213.091.95%-5.25%-5.32%IH230852.702.03%IH23092575.0055.45-25.9229.532.13%-4.55%-4.38%IH23122591.8055.45-9.1246.332.13%-3.57%-3.55%數(shù)據(jù)來源：&資訊圖2：滬深300股指期貨含分紅價差收盤價分紅點數(shù)實際價差含分紅價差分紅對合約的剩余影響年化對沖成本（剔除分紅）365年化對沖成本（剔除分紅）243IF23073931.2050.33-32.1518.181.27%-4.78%-4.85%IF230857.871.46%IF23093938.6061.51-24.7536.761.55%-3.72%-3.58%IF23123943.4061.51-19.9541.561.55%-2.10%-2.09%數(shù)據(jù)來源：&資訊圖3：中證500股指期貨含分紅價差收盤價分紅點數(shù)實際價差含分紅價差分紅對合約的剩余影響年化對沖成本（剔除分紅）365年化對沖成本（剔除分紅）243IC23076133.8033.07-14.2118.860.54%-3.20%-3.24%IC230841.430.67%IC23096108.0042.34-40.012.330.69%-0.15%-0.15%IC23126057.6042.49-90.41-47.920.69%1.56%1.55%數(shù)據(jù)來源：&資訊圖4：中證1000股指期貨含分紅價差收盤價分紅點數(shù)實際價差含分紅價差分紅對合約的剩余影響年化對沖成本（剔除分紅）365年化對沖成本（剔除分紅）243IM23076632.6021.19-36.41-15.220.32%2.38%2.41%IM230827.050.41%IM23096597.6027.28-71.41-44.120.41%2.65%2.55%IM23126545.8027.28-123.21-95.920.41%2.88%2.86%數(shù)據(jù)來源：&資訊61650300500100071.95%、1.27%、0.54%、0.32%。圖5：未來分紅對上證50期貨價格的剩余影響（指數(shù)點）IH0000 IH2307 IH2308 IH2309 IH231260.0050.0040.0030.0020.0010.000.00數(shù)據(jù)來源：&資訊圖6：未來分紅對滬深300期貨價格的剩余影響（指數(shù)點）IF0000 IF2307 IF2308 IF2309 IF231270.0060.0050.0040.0030.0020.0010.000.00數(shù)據(jù)來源：&資訊圖7：未來分紅對中證500期貨價格的剩余影響（指數(shù)點）IC0000 IC2307 IC2308 IC2309 IC231250.0040.0030.0020.0010.002023/6/192023/6/262023/6/192023/6/262023/6/292023/7/42023/7/72023/7/122023/7/172023/7/202023/7/252023/7/282023/8/22023/8/72023/8/102023/8/152023/8/182023/8/232023/8/282023/8/312023/9/52023/9/82023/9/132023/9/182023/9/212023/9/262023/10/92023/10/122023/10/172023/10/202023/10/252023/10/302023/11/22023/11/72023/11/102023/11/152023/11/202023/11/232023/11/282023/12/12023/12/62023/12/112023/12/142023/12/19數(shù)據(jù)來源：&資訊圖8：未來分紅對中證1000期貨價格的剩余影響（指數(shù)點）IM0000 IM2307 IM2308 IM2309 IM231230.0025.0020.0015.0010.005.000.00數(shù)據(jù)來源：&資訊需要指出，以上是稅前的分紅數(shù)據(jù)，當我們持有現(xiàn)貨的時候，我們實際到手的現(xiàn)金分紅可能是稅后的，需要注意兩者的差別。二、歷史分紅情況回顧200550300500三個指數(shù)點位的影響。從時間維度上看，各個年份的分紅呈現(xiàn)上升態(tài)勢，近兩年增幅較大。50300500需要注意的是，由于股票分紅一般由企業(yè)的分紅制度決定，相對穩(wěn)定，而股息率容易受股價波動影響，所以指數(shù)的分紅點數(shù)比股息率更加穩(wěn)定。年份圖9：指數(shù)歷史股息率和分紅點數(shù)年份股息率股息率分紅點數(shù)2005上證5021.23滬深30023.58中證50012.19上證2.67%滬深3002.55%中證5001.42%200627.2828.5414.481.51%1.40%0.84%200724.4130.0316.890.58%0.56%0.34%200833.2637.1920.232.40%2.05%1.04%200928.7731.9920.441.13%0.89%0.46%201031.8336.7421.711.61%1.17%0.44%201135.7840.9527.912.21%1.75%0.85%201244.5148.8331.112.40%1.94%0.95%201354.5858.2635.673.47%2.50%0.93%201451.9959.2140.322.01%1.68%0.76%201561.1466.8745.132.53%1.79%0.59%201663.4472.2544.132.77%2.18%0.70%201765.3772.8749.442.29%1.81%0.79%201873.5178.6963.563.21%2.61%1.52%201978.6685.0368.642.57%2.08%1.30%202081.2491.0367.032.23%1.75%1.05%202170.5289.3096.152.15%1.81%1.31%202286.9695.05107.643.30%2.46%1.84%數(shù)據(jù)來源：&資訊圖10：05年以來的指數(shù)分紅點數(shù)120100806040200 數(shù)據(jù)來源：&資訊

上證50滬深300中證500圖11：05年以來的指數(shù)股息率 數(shù)據(jù)來源：&資訊

從分紅的時間分布來看，分紅主要集中分布在每年的5-7月份，基本上所有的年報分紅都會在9月前完成。而中報分紅主要在9-12月進行，但所占比例非常小，可以忽略不計。圖12：分紅點數(shù)在各月份的分布（2022年）4035302520151050 數(shù)據(jù)來源：&資訊

上證50滬深300中證500三、歷史分紅預(yù)測準確度針對歷年每個合約，將我們預(yù)測出的每日分紅點數(shù)，與歷史實際的股息點指數(shù)進行對比，檢驗預(yù)測模型的準確度，并觀察隨著時間遞進，預(yù)測偏差如何收斂。股息點指數(shù)衡量掛鉤母指數(shù)所有成分股的總現(xiàn)金股息，并以指數(shù)點表示。將股息點指數(shù)的收盤價做一階差分，即可得到實際每日的股息點。報告期指數(shù)=上日股息點指數(shù)+當日股息點當日股息點=當日總現(xiàn)金分紅/除數(shù)=∑（每股分紅*A股總股本*自由流通靠檔比率）/除數(shù)。下面我們展示2017-2022年每個指數(shù)的預(yù)測股息點，跟實際股息點的走勢。走勢圖由不同到期日的合約走勢圖拼接而成，上一個合約到期后，切換為下一個合約?？梢钥闯觯悍旨t模型整體預(yù)測準確度較高，對滬深300股指期貨分紅的預(yù)測準確度最高，其次是上證50和中證500。如需往年各合約的詳細數(shù)據(jù)，可聯(lián)系報告作者。圖13：2022證50股指期預(yù)測股息點與實際股息點走勢 圖14：2021證50股指期預(yù)測股息點與實際股息點走勢real predict5040302010202204152022041820220415202204182022041920220422202204292022050620220520202205272022060220220610202206172022062420220701202207082022071520220718

real predict403530252015105202104162021042320210416202104232021050620210513202105252021060120210607202106112021062120210625202107012021070720210713202107202021072620210730202108052021081120210817數(shù)據(jù)來源：&資訊 數(shù)據(jù)來源：&資訊圖15：2020證50股指期預(yù)測股息點與實際股息點走勢 圖16：2019證50股指期預(yù)測股息點與實際股息點走勢real predict5040302010202004172020042420200417202004242020043020200518202005222020052920200604202006102020061620200623202007012020070720200713202007202020072420200731202008062020081220200819

real predict403530252015105201905172019052320190517201905232019052920190604201906112019062120190627201907032019070920190715201907232019073020190806201908122019081920190823數(shù)據(jù)來源：&資訊 數(shù)據(jù)來源：&資訊圖17：2018證50股指期預(yù)測股息點與實際股息點走勢 圖18：2017證50股指期預(yù)測股息點與實際股息點走勢real predict35302520151052018051820180531201805182018053120180608201806152018062220180627201806292018070420180706201807102018071220180716201807202018072720180810

real predict35302520151050數(shù)據(jù)來源：&資訊 數(shù)據(jù)來源：&資訊圖19：2022深300股指貨預(yù)測股息點與實際股息點走勢 圖20：2021深300股指貨預(yù)測股息點與實際股息點走勢real predict504030201020220415202204182022041520220418202204192022042220220429202205062022051320220520202205272022060220220610202206172022062420220701202207082022071520220718

real predict504030201020210416202104262021041620210426202105102021051920210528202106042021061120210622202106292021070620210713202107212021072820210804202108112021081820210826數(shù)據(jù)來源：&資訊 數(shù)據(jù)來源：&資訊圖21：2020深300股指貨預(yù)測股息點與實際股息點走勢 圖22：2019深300股指貨預(yù)測股息點與實際股息點走勢real predict40353025201510520200417202004242020041720200424202004302020051120200519202005262020060120200605202006112020061720200624202007022020070820200714202007212020072720200803202008072020081320200821

real predict40353025201510520190425201905172019042520190517201905232019052920190604201906112019062120190627201907032019070920190715201907232019073020190806201908122019081920190823數(shù)據(jù)來源：&資訊 數(shù)據(jù)來源：&資訊圖23：2018深300股指貨預(yù)測股息點與實際股息點走勢 圖24：2017深300股指貨預(yù)測股息點與實際股息點走勢real predict403530252015105201804202018042720180420201804272018050820180518201805312018060820180615201806222018062720180629201807042018070620180710201807122018071620180718201807262018080320180821

real predict4035302520151052017042120170428201704212017042820170505201705262017060220170609201706162017062320170630201707072017071420170721201707282017080420170811數(shù)據(jù)來源：&資訊 數(shù)據(jù)來源：&資訊圖25：2022證500股指貨預(yù)測股息點與實際股息點走勢 圖26：2021證500股指貨預(yù)測股息點與實際股息點走勢real predict504030201020220415202204182022041520220418202204192022042220220429202205062022051320220520202205272022060220220610202206172022062420220701202207082022071520220718

real predict353025201510520210416202104262021041620210426202105102021051920210528202106042021061120210622202106292021070620210713202107212021072820210804202108112021081820210826數(shù)據(jù)來源：&資訊 數(shù)據(jù)來源：&資訊圖27：2020證500股指貨預(yù)測股息點與實際股息點走勢 圖28：2019證500股指貨預(yù)測股息點與實際股息點走勢real predict40353025201510520200417202004242020041720200424202004302020051120200518202005222020052920200604202006102020061620200623202007012020070720200713202007202020072420200731202008062020081220200819

real predict353025201510520190425201905172019042520190517201905232019052920190604201906112019062120190627201907032019070920190715201907232019073020190806201908122019081920190823數(shù)據(jù)來源：&資訊 數(shù)據(jù)來源：&資訊圖29：2018證500股指貨預(yù)測股息點與實際股息點走勢 圖30：2017證500股指貨預(yù)測股息點與實際股息點走勢real predict3530252015105201804202018042720180420201804272018050820180518201805312018060820180615201806222018062720180629201807042018070620180710201807122018071620180718201807262018080320180821

real predict20151052017042120170428201704212017042820170505201705262017060220170609201706162017062320170630201707072017071420170721201707282017080420170811數(shù)據(jù)來源：&資訊 數(shù)據(jù)來源：&資訊四、預(yù)測分紅的流程由于目前指數(shù)成分股公司尚有部分未公布分紅預(yù)案，我們基于現(xiàn)有的一些信息，在合理的假設(shè)下，盡可能的預(yù)估分紅比例，本報告將采取以下方法預(yù)測分紅對各期指合約的影響：1、通過年報、快報、預(yù)警以及分析師盈利預(yù)測等綜合信息預(yù)估成分股的凈利潤；2、在分紅率（分紅金額/凈利潤）不變的假設(shè)前提下，去計算各股票的稅后分紅總額。3、根據(jù)各成分股的最新市值以及權(quán)重計算分紅對指數(shù)的影響。4、假設(shè)分紅時間與去年(或前年)一致，計算分紅對各合約的理論影響值。圖31：分紅流程的預(yù)測數(shù)據(jù)來源：1、預(yù)估成分股的凈利潤截止當前，尚有部分公司未公布年報，因此，我們需要綜合采用已掌握的相關(guān)信息對凈利潤進行預(yù)估；信息采用的優(yōu)先順序為：年報>快報>預(yù)警>三季報凈利潤TTM>分析師盈利預(yù)測：? 202220222022項作為預(yù)估凈利潤。20222022與下限的中間值作為預(yù)估值。若以上三項信息皆無，則采用研究機構(gòu)分析師的盈利預(yù)測平均值作為凈利潤預(yù)估值。2、計算各股票的稅前分紅總額在估計了凈利潤的基礎(chǔ)之上，我們采用以下原則計算個成分股的分紅總金額：202220222020020222020紅。0。A=分紅總額*A股股本/總股本3、計算分紅對指數(shù)的影響股息率：稅后分紅總額/最新市值股息點：單只股票分紅對指數(shù)的影響（%）=股票權(quán)重×股息率由于我們只有指數(shù)成分股權(quán)重的月數(shù)據(jù)，為了減少誤差，更準確的評估分紅對當前指數(shù)的影響，我們采用以下方法對最新權(quán)重進行估計：? 設(shè)i股票（i1ton）t0日的準確權(quán)重為wi0，在t0至tt日的漲跌幅度為R，那么股票it日的預(yù)估權(quán)重為wit=

wi0×（1+R）1∑n