分紅對期指的影 響

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(zhǔn)確的獲取信息，有了過去的經(jīng)驗(yàn)，已經(jīng)有更多的投20235-75-75月，69市交易，我們有必要提前對分紅比例有一個(gè)合理的預(yù)測。51950成分股1家實(shí)施，17家股東大會(huì)通過，3230044105家股東大會(huì)通過股東大會(huì)通過，1981000184558258家發(fā)布董事會(huì)預(yù)案。5030050010006月合約的分紅點(diǎn)數(shù)25.79、24.71、31.45、31.485030050010005化對沖成本（剔除分紅，按365天計(jì)算）分別為-7.43%、-5.94%、-4.94%、-3.90%。分紅對股指期貨各指數(shù)期貨合約影響詳細(xì)如下：圖1：上證50股指期貨含分紅價(jià)差收盤價(jià)分紅點(diǎn)數(shù)實(shí)際價(jià)差含分紅價(jià)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）243IH23062622.6025.79-10.7915.000.98%-7.43%-6.92%IH230771.562.72%IH23092593.8076.10-39.5936.522.89%-4.25%-4.06%IH23122605.0076.10-28.3947.722.89%-3.15%-3.10%數(shù)據(jù)來源：&資訊圖2：滬深300股指期貨含分紅價(jià)差收盤價(jià)分紅點(diǎn)數(shù)實(shí)際價(jià)差含分紅價(jià)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）243IF23063937.8024.71-6.7417.970.63%-5.94%-5.53%IF230770.681.79%IF23093914.2081.33-30.3450.992.06%-3.96%-3.78%IF23123921.2081.33-23.3457.992.06%-2.56%-2.52%數(shù)據(jù)來源：&資訊圖3：中證500股指期貨含分紅價(jià)差收盤價(jià)收盤價(jià)分紅點(diǎn)數(shù)實(shí)際價(jià)差含分紅價(jià)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）243IC23066108.8031.45-8.2823.170.51%-4.94%-4.60%IC230773.101.20%IC23096064.4081.75-52.6829.071.34%-1.46%-1.39%IC23126014.6081.88-102.48-20.601.34%0.59%0.58%數(shù)據(jù)來源：&資訊圖4：中證1000股指期貨含分紅價(jià)差收盤價(jià)收盤價(jià)分紅點(diǎn)數(shù)實(shí)際價(jià)差含分紅價(jià)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）243IM23066590.6031.48-11.7219.760.48%-3.90%-3.64%IM230747.990.73%IM23096538.4053.68-63.92-10.230.81%0.48%0.45%IM23126487.0053.68-115.32-61.630.81%1.62%1.60%數(shù)據(jù)來源：&資訊&Wind資訊有關(guān)分析師的申明，見本報(bào)告最后部分。其他重要信息披露見分析師申明之后部分，或請與您的投資代表聯(lián)系。并請閱讀本證券研究報(bào)告最后一頁的免責(zé)申明。

80.0070.0080.0070.0060.0050.0040.0030.0020.0010.000.00&Wind資訊7&Wind資訊7500（指數(shù)點(diǎn)）IC0000IC0000IC2306IC2306IC2307IC2307IC2309IC2309IC2312IC2312

2023/5/22550（指數(shù)點(diǎn)）&Wind資訊6550（指數(shù)點(diǎn)）&Wind資訊6300（指數(shù)點(diǎn)）2023/5/262023/5/302023/6/12023/6/52023/6/7IH2306IF00002023/6/9IH2306IF00002023/6/132023/6/152023/6/19IH23072023/6/21IH2307IF23072023/6/27IF23072023/6/292023/7/32023/7/5IH2309IF23122023/7/7IH2309IF23122023/7/112023/7/132023/7/17IH2312IF23062023/7/19IH2312IF23062023/7/212023/7/252023/7/27IF23092023/7/31IF2309IH00002023/8/2IH00002023/8/42023/8/82023/8/102023/8/142023/8/162023/8/182023/8/222023/8/24|20230519|202305195195030050010006到0.98%、0.63%、0.51%、0.48%。4圖8：未來分紅對中證1000期貨價(jià)格的剩余影響（指數(shù)點(diǎn)）IM0000 IM2306 IM2307 IM2309 IM231260.0050.0040.0030.0020.0010.002023/5/222023/5/242023/5/222023/5/242023/5/262023/5/302023/6/12023/6/52023/6/72023/6/92023/6/132023/6/152023/6/192023/6/212023/6/272023/6/292023/7/32023/7/52023/7/72023/7/112023/7/132023/7/172023/7/192023/7/212023/7/252023/7/272023/7/312023/8/22023/8/42023/8/82023/8/102023/8/142023/8/162023/8/182023/8/222023/8/242023/8/282023/8/302023/9/1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(dāng)我們持有現(xiàn)貨的時(shí)候，我們實(shí)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(gè)指數(shù)點(diǎn)位的影響。從時(shí)間維度上看，各個(gè)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(jià)波動(dòng)影響，所以指數(shù)的分紅點(diǎn)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(diǎn)數(shù)年份股息率股息率分紅點(diǎn)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(diǎn)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(shí)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(bào)分紅都會(huì)在9月前完成。而中報(bào)分紅主要在9-12月進(jìn)行，但所占比例非常小，可以忽略不計(jì)。圖12：分紅點(diǎn)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(zhǔn)確度針對歷年每個(gè)合約，將我們預(yù)測出的每日分紅點(diǎn)數(shù)，與歷史實(shí)際的股息點(diǎn)指數(shù)進(jìn)行對比，檢驗(yàn)預(yù)測模型的準(zhǔn)確度，并觀察隨著時(shí)間遞進(jìn)，預(yù)測偏差如何收斂。股息點(diǎn)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(diǎn)表示。將股息點(diǎn)指數(shù)的收盤價(jià)做一階差分，即可得到實(shí)際每日的股息點(diǎn)。報(bào)告期指數(shù)=上日股息點(diǎn)指數(shù)+當(dāng)日股息點(diǎn)當(dāng)日股息點(diǎn)=當(dāng)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(gè)指數(shù)的預(yù)測股息點(diǎn)，跟實(shí)際股息點(diǎn)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(gè)合約到期后，切換為下一個(gè)合約?？梢钥闯觯悍旨t模型整體預(yù)測準(zhǔn)確度較高，對滬深300股指期貨分紅的預(yù)測準(zhǔn)確度最高，其次是上證50和中證500。如需往年各合約的詳細(xì)數(shù)據(jù)，可聯(lián)系報(bào)告作者。圖13：2022證50股指期預(yù)測股息點(diǎn)與實(shí)際股息點(diǎn)走勢 圖14：2021證50股指期預(yù)測股息點(diǎn)與實(shí)際股息點(diǎn)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(diǎn)與實(shí)際股息點(diǎn)走勢 圖16：2019證50股指期預(yù)測股息點(diǎn)與實(shí)際股息點(diǎn)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(diǎn)與實(shí)際股息點(diǎn)走勢 圖18：2017證50股指期預(yù)測股息點(diǎn)與實(shí)際股息點(diǎn)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(diǎn)與實(shí)際股息點(diǎn)走勢 圖20：2021深300股指貨預(yù)測股息點(diǎn)與實(shí)際股息點(diǎn)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(diǎn)與實(shí)際股息點(diǎn)走勢 圖22：2019深300股指貨預(yù)測股息點(diǎn)與實(shí)際股息點(diǎn)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(diǎn)與實(shí)際股息點(diǎn)走勢 圖24：2017深300股指貨預(yù)測股息點(diǎn)與實(shí)際股息點(diǎn)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(diǎn)與實(shí)際股息點(diǎn)走勢 圖26：2021證500股指貨預(yù)測股息點(diǎn)與實(shí)際股息點(diǎn)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(diǎn)與實(shí)際股息點(diǎn)走勢 圖28：2019證500股指貨預(yù)測股息點(diǎn)與實(shí)際股息點(diǎn)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(diǎn)與實(shí)際股息點(diǎn)走勢 圖30：2017證500股指貨預(yù)測股息點(diǎn)與實(shí)際股息點(diǎn)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(bào)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(bào)、快報(bào)、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(jì)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(jì)算分紅對指數(shù)的影響。4、假設(shè)分紅時(shí)間與去年(或前年)一致，計(jì)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(dāng)前，尚有部分公司未公布年報(bào)，因此，我們需要綜合采用已掌握的相關(guān)信息對凈利潤進(jìn)行預(yù)估；信息采用的優(yōu)先順序?yàn)椋耗陥?bào)>快報(bào)>預(yù)警>三季報(bào)凈利潤TTM>分析師盈利預(yù)測：? 202220222022項(xiàng)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(xiàng)信息皆無，則采用研究機(jī)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(jì)算各股票的稅前分紅總額在估計(jì)了凈利潤的基礎(chǔ)之上，我們采用以下原則計(jì)算個(gè)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(jì)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(diǎn)：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(zhǔn)確的評估分紅對當(dāng)前指數(shù)的影響，我們采用以下方法對最新權(quán)重進(jìn)行估計(jì)：? 設(shè)i股票（i1ton）t0日的準(zhǔn)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∑nwi0×（1+R）