Question
Assume that the spot SP500 index is 1000 on March 31 and that the September futures contract on that day is 1010.00. This futures contract
Assume that the spot SP500 index is 1000 on March 31 and that the September futures contract on that day is 1010.00. This futures contract will mature in 180 days. The 180-day riskless rate is 2.00%. If the spot and futures markets are in equilibrium, what does the market believe the future value of the dividend yield of the SP500 stocks will be over the next 180 days?
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Cornerstones Of Financial Accounting
Authors: Bertrand Piccard, Jay Rich, Jeff Jones, Maryanne Mowen, Don Hansen, Nick Jones
1st Edition
0324657730, 9780324657739
