(b) The DAX cash price is 12,000, the interest rate or 'risk-free' rate is 4% and the dividend yield on the DAX index is 2% presently. What are the expected prices of the 3, 6 and 9 month DAX financial futures contracts?

(b) The DAX cash price is 12,000, the interest rate or 'risk-free' rate is 4% and the dividend yield on the DAX index is 2% presently. What are the expected prices of the 3, 6 and 9 month DAX financial futures contracts?

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter24: Enterprise Risk Management

Section: Chapter Questions

Problem 2P: A Treasury bond futures contract has a settlement price of 89’08. What is the implied annual yield?

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Concept explainers

Market Efficiency

Market efficiency refers to the market's ability to provide investors with all available information about investment options for buying and selling securities. Market efficiency reflects the true value of securities without undervaluing or overvaluing them. When the quality and quantity of information increase, the market becomes more efficient, allowing it to reduce arbitrage and obtain higher market returns from investment. In a well-functioning market, everyone receives all information completely and immediately at no cost. It opens up a plethora of opportunities for investors to access various investment options.

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(b) The DAX cash price is 12,000, the interest rate or 'risk-free' rate is 4% and the
dividend yield on the DAX index is 2% presently. What are the expected prices of
the 3, 6 and 9 month DAX financial futures contracts?

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