Consider these futures market data for the June delivery S&P 500 contract, exactly one year from today. The S&P 500 index is at 2,145, and the June maturity contract is at Fo = 2,146. a. If the current interest rate is 2.5%, and the average dividend rate of the stocks in the index is 1.9%, what fraction of the proceeds of stock short sales would need to be available to you to earn arbitrage profits? (Enter your answer in numbers and not in percentage. Eg: Enter 0.12 and not 12%. Do not round intermediate calculations. Round your answer to 4 decimal places.) Answer is complete but not entirely correct. 0.7787 Fraction
Consider these futures market data for the June delivery S&P 500 contract, exactly one year from today. The S&P 500 index is at 2,145, and the June maturity contract is at Fo = 2,146. a. If the current interest rate is 2.5%, and the average dividend rate of the stocks in the index is 1.9%, what fraction of the proceeds of stock short sales would need to be available to you to earn arbitrage profits? (Enter your answer in numbers and not in percentage. Eg: Enter 0.12 and not 12%. Do not round intermediate calculations. Round your answer to 4 decimal places.) Answer is complete but not entirely correct. 0.7787 Fraction
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:Consider these futures market data for the June delivery S&P 500 contract, exactly one year from today.
The S&P 500 index is at 2,145, and the June maturity contract is at Fo=2,146.
a. If the current interest rate is 2.5%, and the average dividend rate of the stocks in the index is 1.9%, what
fraction of the proceeds of stock short sales would need to be available to you to earn arbitrage profits?
(Enter your answer in numbers and not in percentage. Eg; Enter 0.12 and not 12% . Do not round
intermediate calculations. Round your answer to 4 decimal places.)
Answer is complete but not entirely correct.
Fraction
0.7787
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