apf_jingrui_li

When it comes to futures pricing, the basic cost and carry model tells us holders of futures contract losses because of dividend yield provided by the underlying equity. However, in the case you described above, it is the unexpected dividend GROWTH RATE, which naturally reminds me of the very basic valuation principle of future cash flow discounted at stochastic discount rate, which in practice or CFA approach will be r-g, or required return minus dividend growth rate in DDM. And the  seemingly minor change in the discount factor will result in huge valuation results. Thus, in this sense, the underlying equity index will increase A LOT, long position gains.