22.Which is the correct representation of the forward-spot price-parity relation if we are considering the maturity of a forward contract and a pure discount bond with maturity equal to Tyears? (a)F=S1-r' (b)F=S1+r) (c)F=S(r) (d)F=(1+r） Answer:(b) 23.What is the cost of carry for stocks? (a)the square root of the dividend (b)the negative of the dividend (c)the inverse of the dividend (d)the square of the dividend Answer:(b) 24.Suppose the spot price of S&P is $150 and the one year forward price is $161.What is the implied risk-free rate? (a)6.83% (b)7.33% (c)9.50% (d)11% Answer:(b) 25.The one year forward price for S&P is $172 and the spot price is $159.What is the implied risk-free rate? (a)7.6% (b)7.9% (c)8.2% (d)13.0% Answer:(c) 14-6
14-6 22. Which is the correct representation of the forward-spot price-parity relation if we are considering the maturity of a forward contract and a pure discount bond with maturity equal to T years? (a) F = S(1 – r) T (b) F = S(1 + r) T (c) F =S(r) T (d) F = S T (1 + r) Answer: (b) 23. What is the cost of carry for stocks? (a) the square root of the dividend (b) the negative of the dividend (c) the inverse of the dividend (d) the square of the dividend Answer: (b) 24. Suppose the spot price of S&P is $150 and the one year forward price is $161. What is the implied risk-free rate? (a) 6.83% (b) 7.33% (c) 9.50% (d) 11% Answer: (b) 25. The one year forward price for S&P is $172 and the spot price is $159. What is the implied risk-free rate? (a) 7.6% (b) 7.9% (c) 8.2% (d) 13.0% Answer: (c)
26.The correct representation of the forward-spot price-parity with cash payouts is: (a)F=S+rS-D (b)F=S+rD-rS (c)F=S-rD (d)F=rS+D-S Answer:(a) 27.Grainne stock has a spot price of $115.The risk-free rate is 8%per year compounded annually and the expected dividend to be received one year from now is $2.80.What is the one year futures price? (a)$121.40 (b)$124.20 (c)$127.00 (d)$127.22 Answer:(a) 28.William JoFish stock has a current spot price of $92.One year from now,the expected dividend to be received is $1.70.The risk-free interest rate is 7%per year compounded annually.Calculate the one year futures price. (a)$96.74 (b)$98.44 (c)$100.14 (d)$101.84 Answer:(a) 29.The share price of OzDesign Press is currently $112,while the forward price for delivery of a share in four months is $118.50.If the yield of the risk-free zero-coupon security with term to maturity of four months is 7.5%,calculate the implied dividend for OzDesign Press. (a)$1.34 (b)$1.90 (c)$6.99 (d)$15.39 Answer:(b) 14-7
14-7 26. The correct representation of the forward-spot price-parity with cash payouts is: (a) F = S + rS – D (b) F = S + rD – rS (c) F = S – rD (d) F = rS + D – S Answer: (a) 27. Grainne stock has a spot price of $115. The risk-free rate is 8% per year compounded annually and the expected dividend to be received one year from now is $2.80. What is the one year futures price? (a) $121.40 (b) $124.20 (c) $127.00 (d) $127.22 Answer: (a) 28. William JoFish stock has a current spot price of $92. One year from now, the expected dividend to be received is $1.70. The risk-free interest rate is 7% per year compounded annually. Calculate the one year futures price. (a) $96.74 (b) $98.44 (c) $100.14 (d) $101.84 Answer: (a) 29. The share price of OzDesign Press is currently $112, while the forward price for delivery of a share in four months is $118.50. If the yield of the risk-free zero-coupon security with term to maturity of four months is 7.5%, calculate the implied dividend for OzDesign Press. (a) $1.34 (b) $1.90 (c) $6.99 (d) $15.39 Answer: (b)
30.The holds that the forward price of a currency equals its expected future spot price. (a)Foreign Currency Hypothesis (b)Foreign Currency Futures (c)Expectations Hypothesis (d)Currency Hypothesis Answer:(c) 31.Which of the following price-parity relations carry causal implications? (a)forward-spot price-parity for stocks (b)forward-spot price-parity for bonds (c)forward-spot price-parity for foreign exchange (d)none of the above Answer:(d) 32.Determine the forward price of the euro(EUR)if the current spot price is $1.5715 per euro, the USD interest rate is 6%per year and the EUR interest rate is 7%per year. (a)$1.5568 per EUR (b)$1.5863 per EUR (c)$1.6658 per EUR (d)$1.6815 per EUR Answer:(a) 33.Determine the spot price of the Swiss Franc(CHF)if the one-year forward price is $0.9701 per Swiss Franc,the CHF interest rate is 7%and the USD interest rate is 8%. (a)$1.0477 per CHF (b)$1.0380 per CHF (c)$0.9792 per CHF (d)$0.9611 per CHF Answer:(d) 34.Determine the forward price of the shekel if the current spot price is $0.3033 per shekel;the ILS interest rate is 7.5%and the USD interest rate is 6.25%per year. (a)$0.3223 per ILS (b)$0.3260 per ILS (c)$0.3069 per ILS (d)$0.2998 per ILS Answer:(d) 14-8
14-8 30. The ________ holds that the forward price of a currency equals its expected future spot price. (a) Foreign Currency Hypothesis (b) Foreign Currency Futures (c) Expectations Hypothesis (d) Currency Hypothesis Answer: (c) 31. Which of the following price-parity relations carry causal implications? (a) forward-spot price-parity for stocks (b) forward-spot price-parity for bonds (c) forward-spot price-parity for foreign exchange (d) none of the above Answer: (d) 32. Determine the forward price of the euro (EUR) if the current spot price is $1.5715 per euro, the USD interest rate is 6% per year and the EUR interest rate is 7% per year. (a) $1.5568 per EUR (b) $1.5863 per EUR (c) $1.6658 per EUR (d) $1.6815 per EUR Answer: (a) 33. Determine the spot price of the Swiss Franc (CHF) if the one-year forward price is $0.9701 per Swiss Franc, the CHF interest rate is 7% and the USD interest rate is 8%. (a) $1.0477 per CHF (b) $1.0380 per CHF (c) $0.9792 per CHF (d) $0.9611 per CHF Answer: (d) 34. Determine the forward price of the shekel if the current spot price is $0.3033 per shekel; the ILS interest rate is 7.5% and the USD interest rate is 6.25% per year. (a) $0.3223 per ILS (b) $0.3260 per ILS (c) $0.3069 per ILS (d) $0.2998 per ILS Answer: (d)