Suppose the value of the S&P 500 stock index is currently 4,000. a. If the 1-year T-bill
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Suppose the value of the S&P 500 stock index is currently 4,000.
a. If the 1-year T-bill rate is 3% and the expected dividend yield on the S&P 500 is 2%, what should the 1-year maturity futures price be?
b. What if the T-bill rate is less than the dividend yield, for example, 1%? P-636
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ISE Investments
ISBN: 9781266085963
13th International Edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus
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