Question
The S&P 500 Index is currently at 1,500. You manage a $18 million indexed equity portfolio. The S&P 500 futures contract has a multiplier of
The S&P 500 Index is currently at 1,500. You manage a $18 million indexed equity portfolio. The S&P 500 futures contract has a multiplier of $250.
a. If you are temporarily bearish on the stock market, how many contracts should you sell to fully eliminate your exposure over the next six months? Number of contracts - 48
b. If T-bills pay 2.0% per six months and the semiannual dividend yield is 1.8%, what is the parity value of the futures price? (Round your answer to 2 decimal places. Do not round intermediate calculations.) Parity value - 18.09?
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Advanced Accounting
Authors: Joe Hoyle, Thomas Schaefer, Timothy Doupnik
10th edition
0-07-794127-6, 978-0-07-79412, 978-0077431808
