Question
In December 2014, 9-month futures on the Australian S&P/ASX 200 Index traded at 5,532. Spot was 5,490. The annual interest rate was 3.11% and the
In December 2014, 9-month futures on the Australian S&P/ASX 200 Index traded at 5,532. Spot was 5,490. The annual interest rate was 3.11% and the annual dividend yield was about 3.9%.
a. Based on the current spot price, what should be the futures price? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
Calculated futures price $
b. Are the futures underpriced or overpriced?
| Overpriced | |
| Underpriced |
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Real Estate Finance
Authors: John P. Wiedemer
8th Edition
0324142900, 9780324142907
