аЯрЁБс>ўџ 13ўџџџ0џџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџџьЅСq` №ПbjbjqPqP 4::џџџџџџЄшшшшшшшќD D D D P ќЛюp p p p p p p p :<<<<<<$ЉhЖ`шS p p S S `шшp p uG G G S .шp шp :G S :G G Тшшp d €bџr[аШD  :к:‹0Лт,ЧЛ ‚ЧЧш,p "’ G Њ О •p p p ``= p p p ЛS S S S ќќќD@ќќќ@ќќќшшшшшшџџџџ 1. A common stock pays an annual dividend per share of $2.20. The risk-free is 7% and the risk premium for this stock is 4%. If the annual dividend is expected to remain at $2.20, what is the value of the stock? Value of Stock = $2.20 / (7% + 4%) Value of Stock = $2.20 / (11%) Value of Stock = $20.00 2. Suppose the value of the S&P 500 stock index is currently $1,300. If one-year T-bill rate is 4% and the expected dividend yield on the S&P 500 is 1%, what should the one-year maturity futures price be? One-year maturity futures price = $1,300 x (1+(4% - 1%)) One-year maturity futures price = $1,300 x 1.03 One-year maturity futures price = $1,339 3. One Chicago has just introduced a new single-stock futures contractor on the stock of Brandex, a company that currently pays no dividends. Each contract call for delivery of 1,000 shares of stock in one year. T T-bill rate is 6% per year. a. If Brandex stock sells at $120 per share, what should the futures price be? Futures Price = $120 (1.06) Futures Price = $127.20 b. If the Brandex stock price drops by 3%, what will be the change in the futures price and the change in the investor’s margin account? New Spot = $120 (1 – 0.03) New Spot = $120 x 0.97 New Spot = $116.40 New Futures = $116.40 (1.06) New Futures = $123.384 The long investor loses: $127.20 - $123.384 = $3.816 per share or $3.816 (1,000) = $3,816 per contract c. If the margin on the contract is $12,000, what is the percentage return on the investor’s position? Percentage return = $12,000 / $127,200 = 9.43% д / 0 1 4 џ  9 X h i ’ “ – е ж с х є  ˜   - C S h { | } ~ х ц њђюфюнњђнжвжвюШжњђнюнюфюнђюФМФМФМФюнЕЎІhК@ЌhК@Ќ5 hК@ЌhК@Ќ hК@Ќh•-Шh\0h\05h\0h[-Uh[-U5>*h[-U h[-Uh[-U h•-Шh•-Шh•-Шh•-Ш5>*h•-ШhК@Ќh•-Ш6 hБЬ6'деј / 0 1 џ 9 i ’ “ † з и є ˜ ™ Д Ы о п ќ   - њњњњњњњњѕѕѕѕњњњњњњњњњњњњњњњњgd[-Ugd•-Ш§- . | } х ц њњњѕѕѕgdК@Ќgd•-Ш21h:pК@ЌАа/ Ар=!А"А#ь$8%ААаАа а†œ@@ёџ@ NormalCJ_HaJmH sH tH DA@ђџЁD Default Paragraph FontRiѓџГR  Table Normalі4ж l4жaі (kєџС(No ListBўOЂёB •-Шtext15€CJOJQJ\€aJo(phџџџџдеј/01џ9i’“†зиє  ˜™ДЫопќ-.|}хц˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€˜0€€деј/01џ9i’“†зиє  ˜™ДЫќKШ00Kˆ00€Kˆ00€Kˆ00€Kˆ00€Kˆ00€Kˆ00€Kˆ00€Kˆ00€Kˆ00€Kˆ00€Kˆ00€Kˆ00€Kˆ00€Kˆ00€Kˆ0 0€Kˆ00€Kˆ00€Kˆ00&kKˆ00€Kˆ00€Kˆ00Kˆ00€Kˆ00€-   џџy™R