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Business, 05.05.2020 04:25 barloase5747

Consider the futures contract written on the S&P 500 index and maturing in one year. The interest rate is 5.8%, and the future value of dividends expected to be paid over the next year is $21. The current index level is 1,453. Assume that you can short sell the S&P index. a. Suppose the expected rate of return on the market is 11.6%. What is the expected level of the index in one year?

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Consider the futures contract written on the S&P 500 index and maturing in one year. The interes...
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