Question
The S&P 500 Index is currently at 1,600. You manage a $12 million indexed equity portfolio. The S&P 500 futures contract has a multiplier of
The S&P 500 Index is currently at 1,600. You manage a $12 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 30
b. If T-bills pay 1.5% per six months and the semiannual dividend yield is 1.4%, what is the parity value of the futures price? (Round your answer to 2 decimal places. Do not round intermediate calculations.) Parity value ?
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Handbook Of Research Methods And Applications In Empirical Finance
Authors: Adrian R. Bell, Chris Brooks, Marcel Prokopczuk
1st Edition
1782540172, 978-1782540175
