Suppose the value of the S&P/TSX 60 stock index is currently 955. If the 1-year T-bill rate

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Suppose the value of the S&P/TSX 60 stock index is currently 955. If the 1-year T-bill rate is 3% and the expected dividend yield on the S&P/TSX 60 index is 3%, what should the 1-year maturity futures price be? What if the T-bill rate is less than the dividend yield, for example, 1 %?

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Investments

ISBN: 9781259271939

9th Canadian Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus, Lorne Switzer, Maureen Stapleton, Dana Boyko, Christine Panasian

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