If the price of the S&P/ASX200 index futures contract exceeds its theoretical level an arbitrageur should...
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If the price of the S&P/ASX200 index futures contract exceeds its theoretical level an arbitrageur should be able to earn a riskless profit by: selling short treasury bills and buying S&P/ASX200 index futures. selling short all the stocks in the S&P/ASX200 index and buying treasury bills buying S&P/ASX200 index futures contracts and selling short all the stocks in the S&P/ASX200 index selling S&P/ASX200 index futures and buying all the stocks in the S&P/ASX200 index If the price of the S&P/ASX200 index futures contract exceeds its theoretical level an arbitrageur should be able to earn a riskless profit by: selling short treasury bills and buying S&P/ASX200 index futures. selling short all the stocks in the S&P/ASX200 index and buying treasury bills buying S&P/ASX200 index futures contracts and selling short all the stocks in the S&P/ASX200 index selling S&P/ASX200 index futures and buying all the stocks in the S&P/ASX200 index
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Related Book For
Fundamentals of Investing
ISBN: 978-0133075359
12th edition
Authors: Scott B. Smart, Lawrence J. Gitman, Michael D. Joehnk
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