Suppose the value of the S&P 500 stock index is currently 2,000. a. If the 1-year T-bill

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Suppose the value of the S&P 500 stock index is currently 2,000.

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%?

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Investments

ISBN: 9781259277177

11th Edition

Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

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