Question
The S&P/TSX 60 index stands at 764.89. Dividend yield on the index is 2.75%, and the T-bill yield is 5.85%. Determine the appropriate formula to
- The S&P/TSX 60 index stands at 764.89. Dividend yield on the index is 2.75%, and the T-bill yield is 5.85%.
- Determine the appropriate formula to price S&P/TSX 60 index price. Outline any assumptions invoked to arrive at your pricing formula
b. What is the theoretical price of S&P/TSX 60 index futures contract for delivery in 106 days?
c. If you observe in the market that the S&P/TSX index futures with delivery in 106 days is priced at 772.81, how could an arbitrageur take advantage of this information?
d. What is the implied dividend yield if the T-bill rate is 5.85%?
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Shareholder Empowerment A New Era In Corporate Governance
Authors: Maria Goranova, Lori Verstegen Ryan
1st Edition
1137376449,1137373938
